CONCORDIA UNIVERSITY October 2012

Transcription

1 CONCORDIA UNIVERSITY October 2012 SEATTLE LOS ANGELES

2 TABLE OF CONTENTS WURTS & ASSOCIATES INDUSTRY WIDE PROBLEMS RISKS GOVERNANCE RISK ALLOCATION APPENDIX: Behavioral Bias and Group Think Biographies Tab I Tab II Tab III Tab IV Tab V Tab VI Tab VII 2

3 OUR MISSION & PURPOSE WURTS & ASSOCIATES provides research-driven investment solutions that enable institutional investors to prudently discharge their fiduciary responsibility. Through independent, conflict-free advice and investment expertise, our professionals strive to be the driving force that empowers clients to achieve their investment objectives. WURTS & ASSOCIATES is a leading provider of Outsourced CIO solutions for institutional clients. Our Strategic Partnership Program offers fiduciaries an integrated investment solution for managing all or a segment of their assets within agreed upon investment guidelines. Our services appeal to fiduciaries looking to improve their return opportunities, governance, and perspectives on risk. 3

4 WURTS & ASSOCIATES Established Advise $40 billion in assets since 1986 Vested 100% employee owned Los Angeles Boutique Culture Personalized and well resourced Seattle Seattle Credentialed 14 CFAs, 11 MBAs, 4 MSs, 4 CAIAs, 2 PhDs Experienced Global thought leadership on Risk & Governance Independent Conflict free business philosophy and structure Proven Well established reputation for research 4

5 INVESTMENT & RESEARCH TEAM Jeffrey Scott, CFA Chief Investment Officer BA, MBA, 22 Years Management Team Jason Taylor Senior Consultant BA, 12 Years Research & Analytics Max Giolitti Director of Risk Allocation BA, MS, 18 Years Omer Tareen, CFA Director of Risk Management BA, MS, 12 Years Scott Day, CFA Director of Fixed Income BA, 18 Years Ling Zhang, Ph.D. Research Associate BA, MS, Ph.D., 2 Years Peter Wilamoski, Ph.D. Director of Capital Markets Research BA, Ph.D., 13 Years Jonathan Henderson Investment Operations Specialist BA, 12 Years Matt Brady Research Associate BA, MS, 2 Years Elena Solovyeva, CFA Research Analyst MS, MBA, 7 Years Brian Rowe, CFA, CAIA Director of Manager Research Fixed Income BA, MBA, 11 Years John Wasnock Senior Research Associate, Real Assets BA, 14 Years Jessica Magstadt Operations Coordinator BA, 1 Year Warren Spencer Legal Counsel BA, LLM, JD, 20 Years Eyal Bilgrai, CFA, CAIA Senior Research Associate CFA, MBA, LLB, LLM, 11 Years 5

6 INDUSTRY WIDE PROBLEMS 6

7 CONVENTIONAL WISDOM NEEDS TO BE REVISITED Static Asset Allocation in a Dynamic World Fixation on MVO, Set it and forget it, while ignoring opportunities to add value through strategic tilts Chasing Returns that Go Away Hiring top quartile active managers focusing on past excess returns Manage to Peers, not Liabilities or Objectives Set allocations to peer median universe Herd Mentality at the Wrong Time Follow the Leader; add complexity, leverage, illiquidity and chase returns 7

8 PROBLEM: INSTITUTIONAL INVESTMENT INDUSTRY Reaching for alpha (alpha higher returns than than market returns.) Everyone s focused on the search for alpha Beta the low hanging fruit (beta market returns) Risk Management? Diversification? Source: Penrose, Colorado Chamber of Commerce. 8

9 PROBLEM: GOVERNANCE & INDUSTRY Managers Consultants Trustees Lack of true alpha Asset gatherers Product focus Great marketing teams Manager selection Performance versus peers Mean-Variance Optimization Conflicts of interest Limited time Host of fiduciary duties Focus on managers Limited investment management experience Prone to behavioral biases 9

10 PROBLEM: MEAN-VARIANCE OPTIMIZATION Economic Environment Geography Risk and Return Contribution Lack of Diversification Contributed to the Excessive 2008 Drawdowns 10

11 PROBLEM: LARGE DRAWDOWNS Compound Return 10 Years at 10% return produces an annualized return of 10% What would be the annualized return if on the 10 th year the portfolio experiences a -30% return? The Importance of Limiting Drawdowns 9 years at 10% return plus a one year return of 30% produces an annualized return of 5.14% 11

12 PROBLEM: FAT TAILS (LARGE DRAWDOWNS) 0% 5 Year Monthly Rolling Observations 10% Maximum Drawdown 20% 30% 40% 50% 60% Example: in the five year period ending April 1976, a pension fund suffered 35% maximum drawdown. 70% 80% Five Year Rolling Maximum Drawdown 20% Period End At *Typical pension fund risk equivalent asset allocation portfolio Average drawdown in a five year period 28% Percent of of 5 year periods with a drawdown of 20% or greater 40% 12

13 RISKS 13

14 THE WORLD OF RISKS Cash Flow Business Peer Refinancing Inflation Partner Fiduciary Political Counterparty Margin Active Risk Credit Deflation Leverage Real Estate Pricing Volatility Interest Rate Principal Company Currency Model Turnover Liabilities Country Asset Allocation Concentration Spending Rule Operational Drawdowns Derivatives Headline Liquidity Risk Commitment Investment Income Staff Solvency Time Horizon Sample List 14

15 WHAT IS RISK MANAGEMENT? Risk is NOT just the standard deviation of returns! Risk is first and foremost the risk of losing principal. At what point is the drawdown too deep? Deployment of Capital Alignment of Risk & Objectives Culture Defining Boundaries Risk is failing to meet the demands of the organization. Seizing Opportunities Communication Tool Risk is an unexpected negative event. Risk Response Not a System! 15

16 APPLICATIONS FOR RISK MANAGEMENT Defensive Controlling risk through limits Active Managing risk through capital allocation Passive Information reporting on aggregate risk 16

17 RISK PLAN Establish risk limits Risk Plan Define points of success and failure Design contingency plans for negative scenarios Identify critical internal and external dependencies It s imperative to monitor risks from several points of view and models; there is no silver bullet! 17

18 RISK DASHBOARD NUCLEAR POWER PLANT Which risk dashboard is appropriate? 18

19 RISK DASHBOARD GLOBAL INVESTMENT PORTFOLIO Portfolio Complexity Alternatives Multitude of Risks Liabilities Geopolitical Risk Sovereign Debt Risk Heighten Market Volatility Extreme Tail Events Which risk dashboard is appropriate for your organization? 19

20 RISK DASHBOARD LEVEL I Risk Allocation Allocations by risk buckets and asset class analysis Risk Diversification Diversification: risk factors, geographic, economic sensitivity, and ex ante returns Active Risk Budgeting Who and where are the active risks Primary Risk Factor Analysis Attributes of Rates, Credit, Equity, Inflation and Currency risk buckets Performance Review Did the portfolio meet the objectives? Performance Attribution Positive and negative contributions to absolute and relative returns Although risk measurement is difficult, risk is ignored at one s peril, as many investors discovered in 2008 and World Economic Forum; Measurement, Governance and Long-term Investing,

21 RISK DASHBOARD LEVEL II Pension Plan Protection Act Risks Liquidity & Cash Flow Liabilities Counterparty Risks Leverage Risks Derivatives Risks Private Asset Risks Valuation Risks Manager Risks Hedge Fund Risks Fees & Expenses Peer & Headline Risks Liability Risks Cyclical Risks 21

22 GOVERNANCE 22

23 WARM-UP A bat and ball cost $1.10 in total. The bat cost $1.00 more than the ball. How much does the ball cost? cents 23

24 DEFINITION OF FUND GOVERNANCE Fund Governance: A compilation of decisions that sets expectations, establishes policies, grants powers and provides oversight of an organization to ensure it effectively carries out its mission and objectives. Fund Governance doesn t encompass implementation and tactical asset allocation. 24

25 FUND GOVERNANCE IN PRACTICE Mission & Philosophy Monitor & Oversee Policies Spending, Asset Allocation, Management, Manager, Compensation, etc. Corrective Action Education Delegation of Authority Communication 25

26 POTENTIAL GOVERNANCE POLICY AREAS Compliance Compensation plan Performance evaluation Policy development and review Trustee education Risk tolerances Risk management Spending rule Finance, accounting and audit Vendor selection Trustee travel Code of conduct Conflict of interest Roles and responsibilities Monitoring & reporting Budgeting process Manager selection Board communications Organization s structure Note: Staff or consultant should write policies, Board approves. 26

27 ELEMENTS OF GOVERNANCE Mission & Philosophy Objectives Investment Beliefs BOARD Risk Allocation Risk Tolerance Spending Plan Strategic Asset Allocation Structure Executive Team Compensation Plan Communication Protocol STAFF Implementation Staffing Managers Management 27

28 COMMUNICATIONS Board Results Funding Status Philosophy Philosophy Risk Tolerance Asset Allocation Spending Plan Process Risks Strategy Results Institution Staff Cash Flows Fund Raising Efforts Strategy Results Forecasts 28

29 COMMITTEE STRUCTURE Organization s President at the Table Substantial investment experience 5 to 7 members 6 year terms staggered 29

30 GROUP SIZE AND PRODUCTIVITY (a) Potential productivity (b) Process losses (c) Actual productivity Number of Members Number of Members Number of Members Source: Steiner,

31 EFFECTIVE BOARDS Sound Understanding of the Institution and Mission Policy - Focused Prudence Through Defined Processes Effective Oversight & Communication 31

32 EFFECTIVE BOARDS (A) Important & Urgent (B) Important & Not Urgent Time & Energy (C) Not Important & Urgent (D) Not Important & Not Urgent 32

33 TIME AND MONEY Drivers of Risk & Return Where are you spending your time and money? Asset Allocation Alpha 33

34 A RESOURCE-BASED TYPOLOGY OF ENDOWMENT FUND DECISION-MAKING Type of Decision Making Resource Structural Strategic Upper-Tier Tactical Lower-Tier Operational Monitoring/ Oversight Time Infrequent once design is complete Periodic Time extensive Event specific Time intensive Regular recurrent Time intensive Regular Not necessarily time intensive Expertise Diverse competency Investment specific competency Deep investment specific competency Moderate investment / diligent competencies Wide ranging competency model Collective Overarching process Stakeholder empathy Inclusive process Individual accountability model Delegated model Critical for accountability Allows adaption Key: Ideal resource allocation Limited Material Critical Source: Clark and Urwin,

35 BENEFITS OF GOVERNANCE Performance Diligence & Care Continuity Investment Organizational Reputation Prudence via process Legal defense Institutional memory New Trustees and staff on boarding 35

36 DON T UNDERESTIMATE THE POWER OF GOOD GOVERNANCE The governance of long term investors is critically important. The ideal board governs rather than manages. Research has shown a 2.4% per annum performance premium between 2000 and 2003 for better governed public funds. An extensive literature in social psychology and behavioral economics suggests that humans have evolved to go with the herd and to overvalue short term information. 36

37 QUESTIONABLE BOARD EFFECTIVENESS Focus on Managers Selection and performance review Tactical Asset Allocation Who has proven skill? Focus on Operating Budget Missing big picture total fees & expenses High Turnover Lack of Continuity Continuous trustee and investment staff turnover Delegation of Authority Ambiguity regarding authority, responsibility and accountability 37

38 RISK ALLOCATION 38

39 WARM-UP In a lake, there is a patch of lily pads. Every day, the patch doubles in size. If it takes 48 days for the patch to cover the entire lake, how long would it take for the patch to cover half of the lake? days 39

40 PROBLEM: ASSET ALLOCATION Buy and Hold Mean-Variance Optimization Black-Litterman Model Endowment Model Risk Parity Programmatic Tail Risk Hedging Risk Allocation Strategy 40

41 OPTIMAL DOLLAR ALLOCATION? Goldman Sachs Average Public Fund PIMCO Bridgewater GMO AQR Government Bonds Corporate Bonds Equities TIPS Commodities Real Estate & Infrastructure Absolute Return & Other 41

42 OPTIMAL RISK ALLOCATION? Goldman Sachs Average Public Fund PIMCO Bridgewater GMO AQR Government Bonds Corporate Bonds Equities TIPS Commodities Real Estate & Infrastructure Absolute Return & Other 42

43 INVESTMENT PRINCIPLES Diversification Risk Valuation Principles 43

44 RISK & RETURN DRIVERS Alpha Hard to find, but worth the effort Alpha Sophisticated Beta Hedge Fund beta Private Beta Obtain risk exposures through private assets Sophisticated Beta Private Beta Public Beta Liquid access to primary, secondary and tertiary risk factors Public Beta 44

45 ASSETS CONTAIN MULTIPLE RISK FACTORS Volatility Credit Spread Currency Interest Rate Corporate Bond Inflation Bonds for Safety? NOTE: Not all Bonds are created equal! 45

46 RISK FACTOR BUILDING BLOCKS Primary Risk Factors Rates Credit Equity Inflation Currency Domestic Investment Grade Domestic TIPS Secondary Risk Factors International Emerging Markets High Yield Emerging Markets Private International Emerging Markets Private Commodities Private Developed Emerging Market Curve Curve Country Country Tertiary Risk Factors Duration Liquidity Duration Liquidity Country Value Momentum Sector Curve Duration Country Carry Country Sector Size Liquidity 46

47 IMPLEMENTATION Liquid Beta & Alpha Hedge Funds & Real Return Managers Illiquid Beta & Alpha Bank Loans Mezzanine Debt Private Equity Distressed Debt Real Estate Infrastructure Timber Agriculture Energy Liquid Beta & Alpha Rates Credit Equity Inflation Currency 47

48 PORTFOLIO CONSTRUCTION Diversification Economic sensitivity Risk factors Geography Return contribution Valuations Valuation assessment Risk factor tilts Opportunistic tail risk hedging Manager allocations Risks Scenario analysis Stress testing Relative risks assessment Implementation Smart cost effective allocation to beta exposures Judicious allocation to alpha sources 48

49 DIVERSIFICATION? Average Portfolio: Diversified Risk Portfolio: 60% Global Stocks 20% Global Rates 40% US Bonds 20% Global Credit 30% Global Equity 15% Global Inflation 15% Sophisticated Beta 49

50 NORMAL MARKET RISK 13% 12% 11% 10% 9% 7% 5% 3% 1% 1% 60 / 40 Diversified Wurts Portfolio Risk Portfolio Example: expected annual return is 8% with 12% volatility; 68.2% of the time the return will fall between +20% and 4%. 50

51 DIVERSIFICATION: RISK FACTORS 120% 100% 80% 60% 40% 88% 20% 38% 0% 20% 60 / 40 Diversified Wurts Portfolio Risk Portfolio Equity Rates Credit Currency Inflation 51

52 ECONOMIC SENSITIVITY GROWTH Equities Rising Growth Falling Inflation Corporate bonds Emerging market debt Infrastructure Mortgages Government bonds Commodities Infrastructure Real Estate Equities Corporate bonds Rising Growth Rising Inflation Real estate Emerging market debt Commodities INFLATION Falling Growth Falling Inflation Government bonds Corporate bonds Emerging market debt Inflation linked bonds Inflation linked bonds Commodities Infrastructure Real Estate Falling Growth Rising Inflation 52

53 DIVERSIFICATION: ECONOMIC SENSITIVITY 60/40 Diversified Risk Portfolio Falling Growth Rising Inflation Rising Growth Rising Inflation Falling Growth Rising Inflation Rising Growth Rising Inflation Falling Growth Falling Inflation Rising Growth Falling Inflation Falling Growth Falling Inflation Rising Growth Falling Inflation 53

54 DIVERSIFICATION: GEOGRAPHICAL 60 / 40 Diversified Risk Portfolio Europe 14% Europe 22% US 66% Other Developed 11% US 48% Other Developed 4% Emerging Markets 9% Emerging Markets 26% 54

55 DIVERSIFICATION: EX ANTE RETURN 60 / 40 Diversified Risk Portfolio Dividends 22% Price Appreciation 58% Yield Corporates 37% Hedge Fund 12% Real Estate Income 8% Yield Corporates 6% Yield Rates 8% Dividends 9% Yield Rates 14% Commodity 5% Price Appreciation 21% 55

56 TAIL-RISK Normal Distribution Fat Left Tail Distribution Markets exhibit larger drawdowns with greater frequency than normal distribution would suggest. 56

57 TAIL RISK July January Subprime Mortgage Meltdown 2001 Dot com Slowdown Tail-Risk Management Oil Price Rise Oil Price Decline 1994 US Rate Hike European Currency Crisis Nikkei Stock Price Correction 1987 Market Crash (Oct. 14 to Oct. 19) Oil Crisis (Dec. to Sep.) 40% 30% 20% 10% 0% 10% 20% 30% 60 / 40 Wurts Diversified Portfolio Risk Portfolio 57

58 TAIL RISK MANAGEMENT Superior Portfolio Construction True Diversification Risk factors Geography Manager Economic sensitivity Return contribution Active Risk Budgeting Managers with sound risk management philosophy Diversification of alpha risk factors Tail Risk Hedging Opportunistically purchase relative inexpensive insurance Actively harvest gains 58

59 APPENDIX 59

60 BEHAVIORAL BIAS & GROUP THINK 60

61 BEHAVIORAL ISSUES TO CONSIDER Importance of framing Anchoring bias Confirmation bias Cognitive dissonance Availability heuristic Self attribution bias Status quo bias Group think Asymmetry between gains and losses Representativeness bias Optimism and over confidence Hindsight bias Herding bias Books to Read: Jonah Lehrer, How we Decide Joseph T. Hallinan, Why We Make Mistakes Terry Burnham, Mean Markets and Lizard Brains 61

62 GROUPTHINK DYNAMICS Pressure Stereotypes Self censorship Morality Unanimity Rationale Invulnerability Mindguards 62

63 GROUPTHINK - CONFORMITY A Source: Wood, 2006 Which bar matches A? 63

64 TECHNIQUES TO AVOID GROUPTHINK T E C H N I Q U E S Chair refrains from expressing an opinion Chair to encourage debate Invite opposing opinions and outside experts Form subcommittees or multiple teams 64

65 GROUP HEURISTICS Representativeness Bias Small or single sample size Single experience Overconfidence Prone to overestimating abilities Lack of feedback mechanism for decisions Committees rarely evaluates their effectiveness 65

66 BIOGRAPHIES 66

67 TOPICAL RESEARCH AND RECOGNITION IN THE NEWS June 2012, Fundfire: Consultants Tap Investing Pros for OCIO Edge Solutions Team January 2012, aicio: Consultant Corner Asset Management: Does Size Matter? -Jeffrey Scott June 2011, aicio: Alaska! Jeffrey Scott September 2010, Institutional Investor: The Last Frontier Jeffrey Scott October 2011, Sovereign Wealth Quarterly: Q & A with Max Giolitti Max Giolitti CURRENT EVENTS October 2011, Wurts & Associates: The European Debt Crisis Peter Wilamoski AWARDS & ACCOLADES Stanford University, Visiting Scholar: Collaboratory for Research on Global Projects Jeffrey Scott 2011 Institutional Investor Magazine: Outstanding Industry Contribution Award for the Hedge Fund Industry Jeffrey Scott 2010 aicio: Industry Innovation Award Jeffrey Scott 2002 Risk Magazine: Corporate Risk Manager of the Year Jeffrey Scott 2003 Institutional Investor, Corporate Finance Deal of the Year (Option Transfer Program) Max Giolitti 2004 Bank of America, Presidents Club Award Jonathan Henderson 67

68 BIOGRAPHICAL INFORMATION MR. JEFFREY SCOTT, CFA Jeffrey Scott, Chief Investment Officer, joined Wurts & Associates in Mr. Scott is head of the firm s discretionary asset management division. Prior to Wurts, Mr. Scott held the position of Chief Investment Officer for the Alaska Permanent Fund s $40 billion investment portfolio. During his tenure he led the Fund in adopting a risk-factor approach to asset allocation, along with the development of risk-based investment policy. Alaska was awarded the aicio Industry Innovation Award for 2010 and Institutional Investor Magazine awarded Mr. Scott the 2011 Outstanding Industry Contribution Award for the Hedge Fund Industry. As Assistant Treasurer at Microsoft Corporation he managed the capital market activities and a group of 30 professionals. Mr. Scott s management responsibilities included $80 billion global investment portfolio, $10 billion foreign exchange hedging program, and $60 billion capital distribution plan. His team developed an extensive array of asset allocation and risk management models to set the strategic and tactical investment and hedging strategies, producing $7 billion in value-add. Mr. Scott holds a Masters Degree in Business Administration (MBA) from Central Michigan University and a Bachelors Degree in Finance from the University of Idaho. He holds the Chartered Financial Analyst (CFA) designation, is a member of the Long Term Investor Council of the World Economic Forum and a Visiting Scholar for Stanford University s Collaboratory for Research on Global Projects. MR. JASON TAYLOR Mr. Taylor, Senior Consultant, joined Wurts & Associates in He provides institutional clients with well-developed investment solutions and strategic advice built on his particular expertise in the areas of asset allocation and alternative investments. Prior to joining us, Mr. Taylor held positions as Chief Investment Officer and Managing Director for the Threshold Group in Gig Harbor, WA and New York, NY and as Managing Director and Client Advisor for Ashbridge Investment Management in Philadelphia, PA. As an investment professional and lead client advisor for the last 12 years, Jason has experience working with many foreign, public and philanthropic organizations, as well as private clients. Mr. Taylor has significant experience working with foundations to integrate their mission into all areas of their investment portfolios. Mr. Taylor is the firms subject matter expert on program-related investments (PRIs) and social responsible /ESG investing, having built a network of valuable contacts in this space, and having authored whitepapersandclienteducational sessions on these subjects. In his previous engagement with Threshold Group, Mr. Taylor worked closely with the Russell Family Foundation and a number of like-minded foundations in the region to collaborate on a new initiative to allocate a meaningful portion of their assets to PRIs. Mr. Taylor also has been a member of the Social Investment Forum since Mr. Taylor attended Kingston University in London, England, graduating with honors in He earned a Bachelor of Arts in Economics and German and also studied a year in Konstanz, Germany while completing his degree. 68

69 BIOGRAPHICAL INFORMATION MR. MAX GIOLITTI Mr. Giolitti, Director of Risk Allocation, joined Wurts & Associates in 2011 and has more than 15 years experience in the financial industry. Prior to joining the firm, Mr. Giolitti was Director of Asset Allocation and Risk at the Alaska Permanent Fund Corporation and was also responsible for the External CIO program, the Absolute Return Portfolio and the Multi Asset Allocation Managers. Before Alaska Permanent, Mr. Giolitti worked in several roles in the Financial and Technology industries, including Chief Risk Officer of Tahoma Capital, Director of Quantitative Analysis and Group Risk Manager at Microsoft Corporation, Head of Research at Money Management Group, and Head of Product Management at GL Trade/FNX. Mr. Giolitti is a frequent speaker at industry conferences, where he has presented on a broad range of topics from risk management to asset allocation. Mr. Giolitti graduated from the University of California at Berkeley with a Bachelor of Arts with a double major of Physics and Mathematics. He also has a Master of Science in Applied Mathematics from the University of Washington. MR. SCOTT DAY, CFA Mr. Day, Director of Fixed Income, joined Wurts & Associates in He has over 18 years of investment experience, most recently serving as Director of Fixed Income for Employees Retirement System of Texas (ERST) managing the $8 billion global fixed income portfolio. During his leadership at ERST, the fixed income portfolio, consistently outperformed the benchmark over 1, 2, and 3 year timeframes. Prior to ERST, Mr. Day was on the fixed income investment team at Janus Capital and was the Director of Fixed Income for Tahoma Capital. The foundation of Mr. Day s fixed income portfolio management experience was cultivated at the Microsoft Corporation (MSFT). While at Microsoft, he led the global fixed income team in the management of $20 billion fixed income portfolio. Mr. Day designed the fundamental and economic research efforts and spear-headed the implementation of multiple front office risk related systems and processes and was a recipient of the Microsoft Gold Star Award, as a recognition from senior management for his outstanding accomplishments. Prior to Microsoft, he spent four years in mortgage and asset-backed securities with Price Waterhouse and KPMG. Mr. Day is currently a Fixed Income instructor for a master s program at the University of Washington. Mr. Day graduated from George Mason University with a Bachelor of Science in Accounting in and received the Chartered Financial Analyst (CFA) designation in

70 BIOGRAPHICAL INFORMATION MR. OMER TAREEN, CFA Mr. Tareen, Director of Risk Management, joined Wurts & Associates in 2012 and has more than 12 years of investment management experience. Prior to joining the firm, Mr. Tareen was Chief Investment Officer of Samba Capital, a bank headquartered in Riyadh Saudi Arabia where he was responsible for the team that managed $9 billion in client assets across global equities, fixed income and real estate. Under his leadership, the bank restructured the asset management team, rationalized their investment solutions, upgraded risk management, and substantially improved performance. Prior to working at Samba Capital, Mr. Tareen was a Group Portfolio Manager and Market Risk Manager at Microsoft. He was a member of the team responsible for the implementation of cross asset class overlay and tail risk hedging strategies on $40-70 billion investment portfolio with exposures to global fixed income, global equities, currencies and commodities. He led the technological initiative to design and implement a risk and portfolio monitoring system which captured factor risk as well as risk originating from nonlinear derivative instruments. Microsoft awarded Mr. Tareen the distinguished Microsoft Gold Award for the successful implementation of these initiatives. Prior to Microsoft Corporation, he spent 3 years with Engro Chemical (formerly Exxon) and British American Tobacco. Mr. Tareen graduated from University of California at Berkeley with Master of Financial Engineering. He also holds a Master of Business Administration in Finance from Lahore University of Management Sciences in Pakistan and a Bachelor of Engineering degree from the National University of Sciences and Technology in Pakistan. He is a recipient of the Chartered Financial Analyst (CFA) designation. MR. PETER WILAMOSKI, PH. D. Mr. Wilamoski, Ph.D., Director of Capital Markets Research, joined Wurts & Associates in He joined Wurts from The Threshold Group where he served as the Director of Research. There he led all aspects of the research department, including qualitative and quantitative driven manager discovery, selection, and due diligence across traditional and alternative asset classes for high net worth families and foundations with over $3 billion under advisement. In addition to leading research, Mr. Wilamoski oversaw a number of client relationships and prepared market commentary and white papers. Prior to The Threshold Group, Mr. Wilamoski served as Director of Manager Research for Greycourt & Company. Previously Mr. Wilamoski worked with the Russell Investment Group in both their capital markets with Russell s 20/20 group and manager research groups. Within Russell s manager research group he focused on evaluating US Equity managers and specifically those employing quantitative stock selection models. He began his career as an Assistant Professor of Economics in the Albers School of Business at Seattle University where he taught international trade and finance as well as macroeconomics to both undergraduates and MBA students. Mr. Wilamoski graduated from California State University at Sacramento with a Bachelor of Arts in Economics and University of Oregon with a PhD in economics. 70