How have you been a change agent at
your organization? What have you done
that you’re particularly proud of?
Managing the assets of a retirement plan like
MMBB’s requires always being open to the
next idea to earn another basis point in performance or save another basis point in cost.
One of my largest accomplishments has been
overlaying the US equity asset class with a
dynamic derivatives strategy; I expect it to
add value over time and dampen volatility.
What is the asset class or investment
that keeps you up at night, and why?
As a global investor, we have assets—and
risks—around the world, including emerging
markets. The current market environment
does have me concerned about specific areas
of exposure, such as the credit market in
China. China has had a rapid credit expansion since the 2008-2009 Global Financial
Crisis, and I worry that misappropriations
in their credit system exist. That being said,
I am reassured by the diversification of our
overall portfolio and the volatility considerations that we build into our processes.
What methodologies have you adopted
within your institution?
I consider myself a quant, so it was natural
to incorporate more advanced concepts,
such as skewness and kurtosis, to the more
standard statistical, qualitative, and social
aspects of portfolio construction. Additional
methodologies relative to risk premia and
ESG integration have also been a focus.
Where do you fall in the passive vs.
I view asset allocation and risk management
as the largest drivers of return. Therefore, I
feel there are asset class and opportunity sets
where having beta exposure to passive index
funds makes the most sense, whereas other
situations may benefit from active man-
agement for alpha-taking opportunities. In
short, there is room for both.
What are the changes you’d like to see
the institutional investing community
make in 10 years?
The last decade has seen some great strides,
especially in quantitative approaches to
analyzing portfolio performance. Looking
ahead, it would be great if the same concepts
could be applied to aspects of forward-looking portfolio theory. Mean variance analysis is a great base, but I think we will see
enhancements to it in the next 10 years.
Who is a manager you don’t currently
work with whose brain you’d like to pick?
Ash Alankar, Ph.D., Global Head of Asset
Allocation & Risk at Janus, has developed
proprietary technologies within tail risk
parity that is managed through a unique
multi-asset class offering, which I find
extremely sophisticated in managing skew-risk and managing for risk-adjusted compounded growth.
Ideally, where would that meeting take
Wherever works for me. New York is home.
What is the software investment tool
that helps you most?
Bloomberg or MATLAB.
What would improve the relationship
Matt Sherwood, Ph.D.
Senior Investment Manager, MMBB Financial Services
(New York, NY)
Matt has successfully become one of the top public
markets/hedge fund allocators in the industry.
between you and managers?
I am proud of the relationships I have with
managers, and attribute the candor we share
to my requirement of complete transparency.
Why did you choose your current path?
It’s not every day that a hedge fund manager
chooses to become a plan sponsor, but the
opportunity to oversee a multi-billion dollar
public markets portfolio presented itself, and
I felt my background and abilities would add
value to the organization. I feel I have added
value to MMBB and, in turn, my horizons
have been expanded to a whole other sector
of institutional investing. A pleasant real-ization was that I can have a tremendous
impact that affects thousands more lives with
my current role.