Martingale asset management case study solution

Case 3A: Martingale Asset Management HBS Case 9-209-047. In early July of 2008, William Jacques, Chief Investment Officer at Martingale Asset Management, a quantitative value-oriented investment manager in Boston, Massachusetts, was busy preparing for an upcoming meeting with the group that made new product decisions within the firm. The objective of the meeting was to review the backtesting and real-time investment results of a new minimum-variance strategy within the framework of a 130/30 fund. The performance results were very encouraging, but Jacques still wondered if they were a fluke of the data, a result of data mining rather than the reflection of a true market anomaly. He wanted to discuss possible explanations of the phenomenon, and to decide whether Martingale should offer the strategy to its clients. Case Questions You should develop your arguments around the following questions: 1. What do you think of Martingale as a firm? Does it have an edge in investing? 2. Which issues should investors consider when deciding whether to invest in a 130/30 fund? Is Martingale well suited to manage 130/30 funds successfully? 3. In your view, are 130/30 funds just a flimsy fashion in investing? Or are they likely to replace traditional long-only investment mandates? 4. Is it a good idea to invest in low volatility strategies? If so, is a 130/30 structure a good way of doing it? 5. For which investors are low volatility strategies appropriate? Behavioral Finance (FIN 456): Course Outline: Kumar: Fall 2020 20 Case 3B: Tremblant Capital Group HBS Case 9-210-071. Brett Barakett, CEO and founder of Tremblant Capital Group, a New York-based hedge fund, must decide what to do with his fund’s position in Green Mountain Coffee Roasters, which has dropped in value by more than 40 percent in recent months. Tremblant is a hedge fund that specializes in forecasting consumer behavioral change, and capitalizes on the disconnect between stock prices and consumer behavior. In the case of Green Mountain Coffee, many other sophisticated investors have taken short positions in the stock, leading Barakett to question whether his fund had the right trade thesis. Case Questions You should provide a short report (not more than 5 pages, double-spaced) developed around the following questions: 1. What types of biases prevent analysts from updating their forecasts quickly? 2. Do you think investors can exploit these analysts’ biases even now? Why or why not? 3. Why do analysts behave in a less sophisticated manner than institutional investors? 4. Are there other market participants who exhibit similar behavior? Are there any pricing implications of their slower reaction? Behavioral Finance (FIN 456): Course Outline: Kumar: Fall 2020 21 ...
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