The Arbor City Community Foundation (ACCF) was a moderate-sized endowment created in Illinois in the late 1970s through the hard work of several local families. The vision of the ACCF was to be a comprehensive centre for philanthropy in the greater Arbor City region. The ACCF board of trustees had named a committee to oversee investment choices relating to the foundation assets. The committee members were mostly concerned with the volatility and distribution of portfolio returns.
They relied on the worth-at-risk (VaR) methodology as a measurement of the danger of both short- and mid-term investment losses. The questions in Part (A) of the case direct the pupils to analyze the risk inherent in both one particular advantage and the entire ACCF portfolio. For this particular investigation the pupils must compute day-to-day VaR and monthly VaR values and interpret these finds in the context of ACCF's risk management. In Part (B) the foundation receives a major gift. Because of this, the danger inherent in its portfolio changes substantially. The pupils are requested to rate the risk of the fund's new portfolio and to perform a portfolio rebalancing evaluation.
PUBLICATION DATE: November 01, 2011 PRODUCT #: KEL586-HCB-ENG
This is just an excerpt. This case is about FINANCE & ACCOUNTING
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