Navigating Risk Budgets and Investment Strategies

Since the arrival of Modern Portfolio Theory (MPT) in the early 1950’s by the legendary Harry Markowitz, the industry has been sturdily anchored to this philosophy and all of it’s artifacts when constructing portfolios. In recent years, however, an enterprising handful of large institutional asset owners have begun challenging the common wisdom of a strategic asset allocation approach given it tends to breed silo behavior, unhealthy competition for resources and attention, unrecognized duplication or disjointed risk exposure across the portfolio, and difficulty in managing the capital pool holistically around a view of the future. This is the story of how CAIA convened some of the most reputable and largest asset owners in the world to amplify the benefits of TPA and perhaps, the beginning of a new era.

Introduction (0:48)

Halftime (51:40)

Guests (57:21)

Guests:

• Ben Samild, Chief Investment Officer, Future Fund

• Jayne Bok, CFA, CAIA, Head of Investments, Asia, Willis Towers Watson

Episode Sources