What are your key responsibilities?
Research works with portfolio management and client service to develop investment strategies that align with clients’ financial and personal goals. At the highest level, that involves the humbling task of trying to understanding financial markets and the ideas and technologies that are changing them. Day to day, we build quantitative tools and analyze data from both empirical studies and client portfolios. I spend a lot of time trying to figure out which tools will be most relevant, synthesizing data into useful results, and communicating those results. I write blog posts and articles, assemble educational materials, present at conferences and forums, and meet with clients.
Describe your key previous work experience.
I began my professional life as a professor of mathematics, but my career in finance began in 1993 when I joined the research team at Barra. I spent 19 years at that firm building factor-based risk models and portfolio management tools, and supporting clients as they incorporated risk in their investment processes. At Barra, I worked in fixed income, credit, equity, and foreign exchange. I developed methods to aggregate single-asset-class risk models into enterprise-wide portfolio management systems, and I spent several years developing a model to forecast and attribute tail risk. My work generated five patents. In 2004, Barra was acquired by Morgan Stanley and merged with MSCI, giving me exposure to index construction and the opportunity to collaborate with asset and wealth managers, pension funds, investment banks, and hedge funds around the world. The experience of building Barra models has given me a strong foundation to support and extend Aperio’s portfolio construction process and to work with Aperio’s clients.
What is the most interesting aspect of the job to you?
Technology and data science are transforming financial markets and facilitating personalized investing. Aperio is at the center of this transformation, and it is great to be part of that change.
Describe some noteworthy projects you have worked on that directly impact Aperio’s clients.
Our After-Tax Back-Testing Analysis Tool (ATBAT) is a home-grown system that has revolutionized the way we evaluate strategies and communicate with clients. By measuring strategy performance over tens or even hundreds of historical periods and at multiple horizons, ATBAT provides a broad, detailed picture of the upside potential of a strategy and its risks. ATBAT elevates our ability to match clients with appropriate strategies.
What do you like most about working at Aperio?
Aperio emphasizes excellent communication and open discourse, which brings a lot of great thinking to the decisions we make. In a different direction, I am the go-to person for all kinds of math problems, and I love to work on them.
List any committees or organizations you are a member of outside Aperio.
I am Co-Director of the Consortium for Data Analytics in Risk (CDAR) and an Adjunct Professor of Economics and Statistics at the University of California, Berkeley. I’m an expert judge for the Moskowitz Prize Committee, an arXiv moderator, and a referee on numerous academic journals. I serve on the Jobs Committee for the American Mathematical Society, and I chair their Porter Public Lecture Committee.
What are some non-work-related things we should know about you?
I spend as much time as I can with my husband (a mathematician) and daughters (a materials scientist and an aspiring civil liberties attorney). I founded a book club, and we began with Judea Pearl and Dana Mackenzie’s The Book of Why: The New Science of Cause and Effect. It’s a game changer. I am an avid swimmer, and I am on track to complete a lap around the equator, 40,075 kilometers, in 2042. 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.
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- "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)