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. active debate?
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 management 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 place?
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 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 realization was that I can have a tremendous impact that affects thousands more lives with my current role.