What are your key responsibilities? I work with our strategists, portfolio managers, and fellow researchers to develop and enhance Aperio’s investment strategies. I am responsible for communicating our research externally, and I collaborate with Aperio’s relationship managers to support our clients.
Describe your key previous work experience. I began my professional life as a professor of mathematics, but my career in finance launched in 1993 when I joined Barra. I spent 19 years developing Barra’s factor-based risk models and portfolio management tools and supporting clients as they incorporated risk into their investment processes. My work generated five patents. Following Barra’s acquisition by Morgan Stanley in 2004, I moved to a more client-facing role, which gave me the opportunity to work with global asset and wealth managers, pension funds, investment banks, and hedge funds.
What is the most interesting aspect of the job to you? I am fascinated by personalized investing and how technology and data science are transforming financial markets. Aperio is at the center of this revolution, and it’s great to be a part of it.
Describe some noteworthy projects you have worked on that directly impact Aperio’s clients. Early in 2016, we launched ATBAT, our After-Tax Back-Testing Analysis Tool. ATBAT has transformed the way we evaluate investment strategies and communicate with clients. By measuring performance over tens or even hundreds of historical periods, ATBAT provides a broad, detailed picture of a tax-managed strategy’s return/risk profile. Every Aperio client has benefited from ATBAT’s insights.
What do you like most about working at Aperio? Aperio’s emphasis on transparency, integrity, and excellent communication fosters nontraditional thinking and great ideas.
List any committees or organizations you are a member of outside Aperio. I am a Professor of the Practice of Economics at the University of California, Berkeley, where I co-direct the Consortium for Data Analytics in Risk (CDAR). CDAR is an industry partnership that supports research at the intersection of financial economics and data science. Also, I am an expert judge for the Kellogg School of Management’s Moskowitz Prize, which is awarded each year for the best research paper on sustainable investing, and I moderate the quantitative finance section on arXiv. Previously, I served on the editorial board of the Financial Analysts Journal and on the Employment Opportunities and Porter Public Lecture Committees of the American Mathematical Society.
What are some non-work-related things we should know about you? I spend as much time as I can with my husband and daughters. I participate in two book groups and am an avid swimmer, on track to complete a lap around the equator—40,075 kilometers—by 2042. I am interested in behavioral economics, and I dabble in basketball statistics.
What postsecondary degrees and/or professional certifications do you possess? BA in Mathematics from the University of Rochester; PhD in Mathematics from Brandeis University.
Diversification is a foundational principle of risk management. By deploying wealth across a range of securities, an investor becomes less susceptible to a disaster that may result from holding a concentrated portfolio. Historically, investors who had a large portion of their wealth invested in...
Published Articles
"Rewards and Risks of Loss-Harvesting Strategies" – Investments & Wealth Monitor, May/June 2019
"A Guide to ESG Portfolio Construction" – Journal of Portfolio Management, April 2019
"Tax-Managed Factor Strategies" – Financial Analysts Journal, Second Quarter 2019
"Optimizing Value" – Journal of Portfolio Management, Winter 2016
"What Would Yale Do If It Were Taxable?" – Financial Analysts Journal, July/August 2015
"Factoring Profitability" – Risk-Based and Factor Investing, 2015
"Restoring Value to Minimum Variance" – Journal of Investment Management, Second Quarter 2014 (granted a Harry M. Markowitz Special Distinction Award)
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