What are your key responsibilities?
As Aperio’s Chief Investment Officer, I oversee portfolio management, research, and trading. I divide my time among scaling Aperio’s customized investment factory, creating and improving investment strategies, and working with clients on new investment problems.
Describe your key previous work experience.
I always had a passion to solve business problems using mathematical techniques. I started my career as a management consultant at PricewaterhouseCoopers helping clients mathematically model consumer markets and large complex decisions. I then got interested in software and worked at Woosh!, a startup enabling merchants to sell their products through web channels. I spent three years at Orient Overseas Container Line and two years at Gap improving operations and inventory management through building decision analysis systems using forecasting and optimization.
What is the most interesting aspect of the job to you?
I enjoy discovering a new research insight and applying it to improve client portfolios. For example, our observation in 2012 that minimum volatility strategies were trading at high valuations led us to add value guardrails to our lower-risk strategies. This had an impact on client portfolios and also led to a paper, “Restoring Value to Minimum Variance,” that won a Harry M. Markowitz Special Distinction Award by the Journal of Investment Management.
Describe some noteworthy projects you have worked on that directly impact Aperio’s clients.
Our clients are often the best source of new projects and research ideas. Their questions and curiosity lead to new research in our domain. A couple of years ago, a few clients asked us to analyze their hedge fund portfolios in order to understand their underperformance in down markets. Our risk models and attributions pointed to an anti-quality bias of these hedge funds. The funds had exposure to more volatile securities with unstable earnings and high leverage. In times of market distress, these securities experienced larger declines because of these exposures. Our clients gained a much clearer understanding of their hedge fund exposures, and we also explored a solution to mitigate these exposures by using a low-risk, quality strategy.
What do you like most about working at Aperio?
I like the people and the firm’s ethics. Aperio always places its clients and its people ahead of other goals and objectives. We strive to have a culture that rewards entrepreneurial spirit, client service, respect, and most importantly, truth.
What are some non-work-related things we should know about you?
I enjoy being in the middle of the San Francisco Bay with a board at my feet and a kite in the air.
What postsecondary degrees and/or professional certifications do you possess?
Bachelor’s degree in Mathematics from the University of Waterloo, Canada; MBA from the University of California, Berkeley.
Over the past couple of years, the equity markets appeared to have experienced a period of extremely low volatility. The one-year trailing volatility on the S&P 500 reached 6.77% at the end of 2017! In response to the low volatility...