EQDerivatives’ Top 25 Leaders In Systematic And Volatility Investing

As part of EQDerivatives’ annual research into the latest developments and opportunities in systematic and volatility investing, asset allocators across the globe were asked which institutional investors and portfolio managers they rank and look to for insights and case studies into the latest quantitative, tail risk, relative value and portfolio construction innovations across the industry. Inclusion in the Top 25 Leaders In Systematic And Volatility Investing is based on feedback and data collected from allocators across the globe over the last 12 months.

Throughout 2022, EQDerivatives conducted qualitative surveys of the market with institutional investors and portfolio managers associated with quantitative investing, volatility strategies, ESG and cross-asset derivatives. Respondents to those surveys either attended EQDerivatives’ global suite of events and provided feedback on meetings, panelists or presentations, or participated in EQDerivatives’ market mapping projects. Criteria for individuals to be included in the ‘Top 25’ include uniqueness of perspectives, quality of practitioner research published or case studies shared, or role in furthering academia in quantitative and volatility investing.

This is the second annual edition of EQDerivatives’ Top 25 profile series. The previous Top 25 series can be found here.

 

EQDerivatives’ 2022 Top 25 Leaders In Systematic And Volatility Investing

 

Michael Daniel Andersen, Laegernes Pension

Michael Daniel’s work in educating and providing insights to his peers in risk mitigation strategies as well as technology integration in investment processes was highlighted by European institutional investors as being crucial during a changing regime. Michael is responsible for strategic and tactical asset allocation with listed assets at Lægernes Pension, while in charge of managing a liquid overlay portfolio to improve the risk-adjusted return of the overall portfolio. The overlay portfolio is based on risk mitigation strategies in the QIS space to provide convexity and diversification in the context of the overall portfolio. He is also an external lecturer at Copenhagen Business School in the department of finance. 

 

Vineer Bhansali, LongTail Alpha

Arguably one of the most experienced and successful professionals in volatility investing, Vineer continues to be highlighted by investors across the globe for his perspectives and research. Over the past 12 months, investors have highlighted Vineer’s “Tail Risk Hedging Performance: Measuring What Counts” research paper, his perspectives on cash flow volatility and keeping the system afloat. Vineer is the founder and Chief Investment Officer of LongTail Alpha. His 30-year investment career started at Citibank, where he founded and managed the exotic and hybrid options trading desk. He later joined Salomon Brothers in its fixed income arbitrage group, followed by the CSFB proprietary trading group. Dr. Bhansali was at PIMCO for 16 years, serving the last eight years as a managing director and head of the quantitative portfolios team, which he founded in 2008. Vineer has written five books on finance: “Pricing and Managing Exotic and Hybrid Options”; “Fixed Income Finance: A Quantitative Approach”; “Bond Portfolio Investing and Risk Management”, “Tail Risk Hedging”, and his most recent: “The Incredible Upside-Down Fixed-Income Market: Negative Interest Rates and Their Implications” and authored over 30 refereed papers on topics as varied as option pricing, fixed income, tail hedging, asset allocation and economics in leading Journals that include the Journal of Finance, Financial Analysts’ Journal, Journal of Portfolio Management, and Journal of Risk.

 

Roberto Croce, Newton Investment Management

Roberto is regularly cited by institutional investors for his work in educating buysiders on the adoption of derivative techniques, the importance of risk balanced portfolios in uncertain market environments and inflation hedging in strategic asset allocations. Roberto was also cited by investors for his perspectives on the evolution of academic and practitioner research in systematic investing in the current regime. Roberto is a senior portfolio manager and head of liquid alternatives at Newton Investment Management in Boston. In this role, Roberto and his team manage Newton’s risk parity and risk premia offerings and design new strategies to solve clients’ most pressing investment problems.

 

Julio Delgado, American Red Cross

“Liquidity, transparency and risk” are three areas in which institutional investors said American Red Cross’ Julio Delgado offers unique insights and case studies. Widely recognized as being a leader in portfolio construction and investing in diversifying risk buckets, Delgado has offered both sophisticated and more primitive investors in options and systematic strategies education in developing portfolios that can concave attractively in different environments. Julio Delgado is responsible for strategy and asset allocation for both the retirement and endowment plans at the American Red Cross. Functions include designing the specific risk allocation in addition to identifying and designing derivative strategies to achieve those risk exposures.

 

Derek Devens, Neuberger Berman

Derek is recognized as a leader in volatility investing by institutional investors across the globe, amassing more than 26 years of experience and continuing to provide unique perspectives on the dynamics of derivatives market and hedging strategies. It is, however, his insight and research into bitcoin, in particular his research paper with colleague Beryl Lou into how the technicalities of Bitcoin mining explain much of Bitcoin’s volatility profile, as well as his work on what investors need to be aware of before investing in cryptocurrencies. Derek is a managing director and senior portfolio manager of the Option Group at Neuberger Berman.

 

Paul Ebner, One River Digital

Paul Ebner’s work in developing a benchmark for digital assets has made him stand out from the crowd among institutional investors exploring the space. In March 2022, Paul, along with his colleague Marcel Kasumovich, produced ‘A Benchmark For Digital Assets’ proposing a dynamic benchmark that fluidly adds and subtracts assets according to rules-based criteria. The paper was well received by institutional investors, in particular because the indices seek to capture value beyond bitcoin. Paul is widely known among asset allocators from his previous role at CPP Investments, where he was managing director and head of quantitative strategies and risk premia. He joined One River Digital in January 2022 as portfolio manager and researcher. His work with the fund includes researching and developing systematic strategies in the digital asset space.

 

Benn Eifert, QVR

It has been another stellar year for Benn Eifert’s QVR Advisors, where the firm has continued to outperform many peers and seen growth in assets under management. It is Benn’s work also to debunk the myths associated with long-term, strategic tail hedging programs that sees him recognized in the World’s 25 Leaders In Systematic & Volatility Investing, as well as his assessment of relative value strategies. His perspectives also on trading volatility in the current regime through his appearances on CNBC, Bloomberg and industry podcasts were also referenced by global institutional investors. Benn is managing partner of QVR Advisors (Quantitative Volatility Research), a San Francisco-based investment firm that manages volatility and derivatives strategies.

 

Michael Green, Simplify Asset Management

Whether it’s educational insights into credit hedging, addressing trading trends and asset allocation efficiency through the ‘Keeping it Simple’ webinar platform, or the recently launched ‘Yes I give a FIG’ series, Michael is on the pulse when it comes to the key issues that investors care about. One area highlighted by institutional investors globally is Michael’s work and perspectives on the growth of passive strategies and the risk that creates. He has been a student of markets and market structure, for nearly 30 years. His proprietary research into the shift from actively managed portfolios and investment funds to systematic passive investment strategies has been presented to the Federal Reserve, the BIS, the IMF and numerous other industry groups and associations. Michael joined Simplify as portfolio manager and chief strategist in April 2021. 

 

Sadhvi Gupta, Goldman Sachs Asset Management

Sadhvi is widely recognized by institutional investors in the Asia Pacific region for her expertise in quantitative strategies, however it is also her role in bringing climate transition risk with an alpha perspective that has been lauded. Investors highlighted her role in educating investors on the alpha approach to measuring a company’s climate transition risk and breaking down that alpha approach as a differentiating quality versus peers. Sadhvi is executive director in quantitative investment strategies at Goldman Sachs Asset Management. At GSAM, Sadhvi is responsible for bringing GSAM’s quantitative products to Asia Pacific ex Japan clients. She covers all stages of client engagement- from initial due diligence to portfolio reviews for invested clients- requires both comprehending as well as being able to effectively communicate all aspects of portfolio management, research and trading.

 

Josh Heller, Challenger

Josh and his team’s continual work in offering greater flexibility and cost-effective solutions in dynamic asset allocation and portfolio protection, among other areas, is widely lauded by institutional investors in Australia and New Zealand, in particular. However, over the last 12 months, Josh has been highlighted by Singaporean and U.S. allocators additionally for providing not just insights into how Oceania investors are hedging and monetizing market dislocations, but also deeper perspectives into market instruments and volatility dynamics across asset classes. His work also on educating institutional clients locally cannot be discounted, particularly in instruments outside of equities. Josh Heller joined Challenger in September 2015 and currently holds the position of head of solutions. He has 20 years of experience advising some of the largest pension, insurance and corporate clients in the US, Europe and Australia on risk management.

 

Florian Ielpo, Lombard Odier

‘Simply Put’, Florian’s insights where he makes macro calls with a multi-asset perspective have been highlighted by asset allocators as being key to navigate markets globally. In particular, Florian’s insights on inflation, Chinese assets, containing recessions, effective ways of hedging inflation and the LDI shock in the U.K. Florian is head of macro in LOIM’s multi asset group, where he drives the use of macroeconomic inputs in the group’s investment solutions. Florian regularly publishes scientific articles and books and teaches empirical finance and quantitative portfolio management techniques at HE Lausanne, Dauphine University and EM Lyon.

 

Farouk Jivraj, Fidelity Investments

Farouk is widely recognized among institutional investors globally for his role in increasing education among institutional investors in systematic strategies over the last ten years. It is his ability to offer clear, concise and relevant perspectives, particularly in areas including stock/bond correlations, the inflationary regime, the performance of trend, backtesting in this market environment andimplementation techniques in risk premia, among other areas, that investors highlight as being crucial over the last 12 months. His role also in educating investors on assets and strategies with inflation properties and how to effectively hedge inflation. His previous work with Professor Robert Shiller on ‘CAPE and the COVID-19 pandemic effect’ has continued to be highlighted over the last 12 months. Farouk is head of alternative risk premia at Fidelity Investments within their Asset Management Solutions platform. Farouk received a Ph.D in financial economics and a master’s undergraduate degree in aeronautical engineering, both from Imperial College London, where he remains engaged as a visiting researcher and lecturer. 

 

Christian Kjaer, ATP

The innovations from Christian Kjaer and his team at ATP across multi-asset, systematic investing and portfolio construction are frequently referenced by investors across the globe. Among investors seeking portfolio diversification, Christian is seen as having drafted the blueprint. During the past 12 months in particular, Christian has worked tirelessly in educating family offices and sovereign wealth funds in the Middle East on portfolio construction, risk management and ESG integration, as well as sharing ATP’s latest innovations among Singaporean, Canadian, European and U.S. investors. His paper ‘The Santa Claus Rally’ has also been widely read and commended by his peers across the globe. Christian Kjaer is a senior vice president and head of liquid markets at ATP. He joined ATP in 2015 as a portfolio manager.

 

Puneet Kohli, HOOPP

Puneet’s perspectives across areas including liquidity, defensive portfolio construction and risk management have been highlighted as key for institutional investors during the current regime. In particular, investors highlighted Puneet’s perspectives on the impact of rising rates and changing correlations on investment processes. Puneet Kohli is an assistant vice president at the Healthcare of Ontario Pension Plan (HOOPP) in the equities, derivatives and collateral management division. At HOOPP, Puneet is responsible for the development of investment programs to maximize the Plan’s return-to-risk profile. His focus is on volatility and alternative strategies within capital markets.

 

 

Harald Lohre, Robeco

Harald’s academic work across machine learning, climate change risk in portfolio construction and macro investing with style have all been highlighted by institutional investors. Over the past year, he has had work published in The Journal of Portfolio Management and the Journal of Investment Management. Harald has also been recognized by peers for hosting the Frontiers of Factor Investing Conference at The Lancaster University Management School. Harald is executive director of research in the quant equity research team of Robeco. He is also an honorary researcher at the department of accounting and finance of Lancaster University Management School. 

 

Alexis Maubourguet, Lombard Odier

In this current regime, Alexis’ work on liquidity risk management frameworks, hedging and defensive portfolio construction has been recognized by a diverse range of institutional investors, from private banks to sovereign wealth funds to pension funds. His work in particular on ‘Preparing Portfolios For The Unexpected’ as well as assessing whether investors have deployed enough hedges in this regime has been highly referenced by investors. Alexis’ insights on dispersion over the last 18 months have also been highly commended by investors. Alexis is the lead portfolio manager for the 1798 ADAPT Fund at Lombard Odier IM in Geneva, joining the firm in 2019.

 

Jukka-Pekka Poutanen, VER

Jukka-Pekka has been highlighted by North American, European and Asia Pacific investors as offering key perspectives during the current regime, particularly in areas including what has driven underperformance in long-volatility strategies over the past 12 months and how to approach opportunities in rates markets given the impact of inflation. Educating emerging investors was also mentioned– Jukka-Pekka was noted to have provided vital insights into ESG integration and fixed income markets in the current market environment. Jukka-Pekka Poutanen is a portfolio manager in the State Pension Fund of Finland (VER), which he joined in 2018. He focuses on quantitative investment strategies, derivatives and strategic asset allocation.

 

Tatjana Puhan, TOBAM

Tatjana’s contribution to education in asset allocation cannot be underestimated. Over the last year she has offered deep insights into areas including digital assets, the integration of sustainable investing and asset class correlations, among other areas. Her article on the ‘U.S. ruling on bond ETFs raises a market risk’ was also highlighted by institutional investors as providing clarity on the potential impact of a rule to allow insurance companies to classify bond ETFs as individual bonds rather than equities. Tatjana Puhan is managing director and deputy chief investment officer at TOBAM, where she leads the investment teams and contributes to the development of TOBAM’s established Maximum Diversification® strategies across equities, multi-asset and fixed income asset classes. She is also a lecturer in finance at the University of Mannheim and an associated researcher of the Hamburg Financial Research Center.

 

Alexander Remorov, BlackRock

Alexander’s work with MIT’s Professor Andrew Lo on systematic strategies, behavioral biases and investor decision-making is recognized globally by institutional investors. Alexander is a director at BlackRock’s Systematic Active Equities. He is a portfolio manager and researcher responsible for global equity strategies. Alex focuses on risk budgeting and implementation questions for global equity portfolios. In this role, he builds systematic alpha strategies for hedge funds and long-only portfolios by leveraging machine learning, alternative data, and investment intuition. Alexander’s most recent paper with Professor Lo on ‘Estimation and Prediction for Algorithmic Models of Investor Behavior’ has been widely lauded by allocators across the globe. Furthermore, Alexander’s work on increasing education among institutional investors in big data and machine learning has also been recognized.

 

Adam Shukovsky, PIMCO

Adam is recognized by allocators and peers across the globe for offering unique volatility perspectives through the lens of fixed income. At PIMCO, Adam is a managing director and portfolio manager in the Newport Beach office, focusing on volatility and relative value trading strategies. One area highlighted by allocators is Adam’s role in educating and providing perspectives on the disconnect between equity volatility and other asset classes during 2022, as well as educating investors on areas including the drivers of dispersion strategies. What also set Shukovsky apart from peers, note allocators, arehis insights into the niches of opportunity in rates markets as well as other asset classes.

 

Michael Steliaros, Abu Dhabi Investment Authority

Michael’s research over the past 12 months into intraday stock dynamics and factor strategies has been praised by institutional investors globally. The former paper was co-authored with Giuliano De Rossi, with the latter paper co-authored with Rossi and Eliad Hoch. Also highlighted by institutional investors is Michael’s contribution to driving greater research and innovation in areas including quantitative research, alternatives and looking deeper at the impact of the shift from active to passive funds. Michael is the global head of equity portfolio engineering and trading at ADIA, responsible for the implementation and execution of the sovereign wealth fund’s total equity portfolio. Michael leads the equity function of ADIA’s core portfolio department, which is responsible for implementing ADIA’s benchmark exposures across equity and fixed income markets, managing ADIA-wide treasury-related activities and executing equity, fixed income, money market and currency trades.

 

Peter van Dooijeweert, Man Solutions

Whether it is delivering crucial insights into creating portfolio convexity, providing perspectives on managing correlations or education on risk-based tactical asset allocation, Peter has been highlighted by investors ranging from U.S. family offices to Middle East sovereign wealth funds to Australian superannuation funds as being the standout leader in solutions for the current regime. One standout of EQDerivatives’ research with asset allocators was Peter’s Long Story Short podcast last year with professor Campbell Harvey, which discussed trend and research into decentralized finance. Feedback showed it was the most highly rated digital audio content accessed by asset allocators over the last year. Peter van Dooijeweert is head of multi-asset solutions at Man Solutions. Peter is responsible for assisting clients develop bespoke, actively managed investment programs and also manages Man Group’s institutional hedging platform. Peter specializes in designing risk mitigating portfolios through the use of futures and options overlays, combined with diversifying Man Group discretionary and systematic strategies.

 

Kari Vatanen, Veritas Pension Insurance Company

Asset allocators recognize that there is no other chief investment officer globally that offers such crucial insights into all facets of asset allocation across regimes than Kari Vatanen. Whether it is pension funds in San Francisco, superannuation funds in Australia or sovereign wealth funds in Singapore and the Middle East, Kari Vatanen is widely respected for his case studies, insights and educational seminars on areas incorporating portfolio construction, risk premia, ESG and alternatives, among other areas. His recent case study looking at systematic strategies in a post-COVID world drew plaudits from peers and portfolio managers, while his views on portfolio positioning given the impact of changes in rates and inflation are also sought after. Kari Vatanen is the chief investment officer at Veritas Pension Insurance Company (AUM EUR4 billion). He is responsible for the whole investment management and asset allocation function of the company.

 

Matthew Yeates, 7IM

“If I want clear and concise perspectives on trend, then I look up Matthew Yeates,” is how one institutional investor referenced the value of 7IM’s deputy chief investment officer. His views and perspectives across asset classes are widely respected while his insights on systematic strategies and risk, such as the value of a goals-based view of risk, have been highlighted by investors and peers. One of his most recent insights: ‘7IM’s Yeates Asks To Beta Or To Alpha When It Comes To Commodities,’ also drew plaudits from institutional investors that are evaluating opportunities in the commodity arena. Matthew is deputy CIO at 7IM, where he also leads alternatives and quantitative research at 7IM and sits on the firm’s investment committee. 7IM runs multi asset portfolios, predominantly for the U.K. market. He oversees nearly USD2 billion in alternative investments, with a specific focus on cross asset systematic strategies. 

 

Fanesca Young, GIC

Fanesca Young’s co-authored paper, ‘Investor Sentiment and the Time Variation of the Illiquidity Premium,’ was lauded by institutional investors for its examination of the return premium associated with illiquidity through time. The paper found that during periods of low investor sentiment, the illiquidity premium is the highest, suggesting that sentiment might contribute to the observed time variation in the premium. Fanesca leads the global systematic equities team at GIC and she is responsible for the management of long-only, active extension and market neutral systematic equity investments.