How have you been a change agent at
your organization? What have you done
that you’re particularly proud of?
Building out an allocation philosophy for my
core areas of expertise that utilizes a combination of traditional methods, proprietary
research, and innovative approaches. I’m
also proud of the structural alpha that I’ve
negotiated for SWIB’s beneficiaries by shifting fee structures to be better aligned with
true alpha generated.
What is the asset class or investment
that keeps you up at night, and why?
If I’m overly concerned, it tells me the investment is sized too big or lacks the conviction
required in the first place. The risk factor
that does concern me isn’t an asset class, but
rather broad deleveraging because it is one
of the most difficult factors to risk manage.
What methodologies have you adopted
within your institution?
I developed a framework for evaluating
equity style factors both from a risk-monitor-ing and return-seeking perspective.
Where do you fall in the passive vs.
Both methodologies are tools in an institu-
tional investor’s toolbox, and there is ratio-
nale for both in the same diversified port-
folio. Rather than take one side broadly, it
seems appropriate to evaluate more detailed
instances as to whether active or passive is
the appropriate way to extract a certain risk
premium. The markets contain many struc-
tural and behavioral inefficiencies that allow
some portion of active managers to add
value to a portfolio through excess returns or
What are the changes you’d like to see
the institutional investing community
make in 10 years?
Think more creatively and rationally about
sources of returns across beta, alternative
beta, and alpha. An allocator’s job of constructing a portfolio to hit a certain return
and risk mandate is easier and more consistently repeatable if they think of their beta
and alpha separately rather than simply
looking at absolute returns.
Who is a manager you don’t currently
work with whose brain you’d like to pick?
James Simons. I’ve had the ability to get
to know a few of the leading quantitative
firms, but one I haven’t spent as much time
with is Renaissance, and his background is
Ideally, where would that meeting take
Ideally Augusta National, but I’ll settle for
any golf course.
What is a software investment tool that
helps you most?
Our holdings-based risk aggregation system.
Every risk system has limits, but once those
limits are understood, we can get a better
picture into portfolio positioning and risk
than any ex-post information can provide by
Analyst, State of Wisconsin Investment Board
Jason does an incredible job of marrying the quant
and fundamental analysis. He is looking for persistent,
idiosyncratic alpha, and darn it, he’s going to find it.
He is the best in the business.
itself. When used in conjunction with ex-post
data, the result is more accurate and timely
expectations for risk and return.
What would improve the relationship
between you and managers?
Better communication from both sides. Allocators need to be more forthcoming with
their philosophy and objectives such that
managers can better understand what is
expected of them, and better tailor strategies
towards meeting those objectives.
Why did you choose your current path?
Being an allocator is particularly interesting
because I get to see and learn from so many
different styles and strategies (good and bad).
Investing presents a continually evolving
challenge, which keeps me coming into work