In early August 2025, the Cavalier Fund management team (Cavalier) was in the midst of its first meeting of the new fiscal year. The team was part of the Darden Capital Management program at the University of Virginia Darden School of Business, in which MBA students were entrusted with managing endowment capital for the school foundation. The program sought to prepare its participants for careers in investment analysis and portfolio management, with the recognition that hands-on experience in investment management was an important aspect of professional training.

This case examines Cavalier’s investment strategy decisions. It is designed to provide a context for an introduction to the intuition of the capital asset pricing model (CAPM) and practical estimation methods. Students are invited to make investment recommendations based on the risk-return characteristics of a set of stock-investment alternatives. The case discussion surrounds the tension with respect to the relevant measure of risk and the method for estimating benchmark returns. The case equips students with the materials for estimating a CAPM-based benchmark for each security using market data.

At Darden, this case is taught in the core first-year MBA finance course as a way of introducing the intuition and application of the CAPM.