Constructing the Defensive Convexity Portfolio

In this first episode of 2025, we’re plunging right into the fascinating world of sovereign wealth funds with Peter Madsen, the CIO of Utah's School and Institutional Trust Funds Office (SITFO). Peter shares his unique perspective on managing a multi-billion dollar portfolio designed to support public education in the state for generations to come. From his personal background in skiing and outdoor adventures in the Wasatch mountains to the challenges of navigating Utah's rapid growth and development, Peter provides a captivating glimpse into the day-to-day realities of overseeing this complex institutional investor. Listeners will learn about the intricate governance structure of SITFO, the innovative approach to asset allocation and risk management, and the delicate balance of delivering competitive returns while preserving the fund's long-term corpus. Peter also tackles common investment myths, sharing insights on the potential for diversified portfolios to outperform high-equity allocations over the long run. This episode offers a rare behind-the-scenes look at the inner workings of a state-level sovereign wealth fund, highlighting the importance of prudent stewardship and a steadfast commitment to serving the public good. Whether you're an institutional investor, a student of finance, or simply someone fascinated by the intersection of public policy and investment management, this episode is sure to captivate and inform. SEND IT!

Chapters:

00:00-01:40=Intro

01:41-11:23= Backcountry Skiing with Utahans and the winding path to Institutional investing

11:24-20:07=  Russian Historian to CIO of governing the states sovereign wealth fund

20:08-33:23= Landman – Constructing a diversified portfolio for perpetuity

33:24-37:37= The Trustees

37:38-47:29= Rethinking the 60/40 approach, avoiding duration and SITFO’s GRID system

47:30-58:19= Weathering market storms and balancing upside participation and downside protection

58:20-01:06:13= Carving the evolving landscape of sovereign wealth funds, strong enough returns & outperforming benchmarks

01:06:14-01:12:13= Myth busting: Bonds can outperform equities

Follow along with Peter on LinkedIn and visit SITFO's website for more information!

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