CIO Magazine’s Next Gen’s Views on Dynamic Asset Allocation [SMART Rebalancing®]


Zhuoying (Joy) XuVIMCO

[She] manages our tactical asset allocation model which has added literally hundreds of millions of dollars in alpha since inception and sets her apart as a value-added leader.”
‒  Laurence Fulton, CIO, VIMCO

CIO
What are the new creative/innovative strategies that you are researching right now?
Xu
I have been running and keep enhancing a tactical overlay portfolio which has generated significant alpha over time and also has proven to be a good hedge to the total portfolio.
Melissa JerkinsTMRS
CIO
How would you build the portfolio differently now that you have gone through this massive accelerated shift in the market?
Jerkins
We were already investigating dynamic asset allocation strategies before the crisis, but we had not yet reached the implementation phase. Going through this crisis has only strengthened my interest in exploring how dynamic allocation can play a role in protecting against downside risk.
Anna MurphyNM Treasury
CIO
What should be an investment trend, but isn’t (yet)?
Murphy
Active rebalancing. Long- and short-term investment horizons are not mutually exclusive, particularly when you have cash outflows. This is just good risk management and should definitely be more widely embraced.
Anna LangsSFERS
CIO
How would you build the portfolio differently now that you have gone through this massive accelerated shift in the market? (What changes do you plan to implement? What were the biggest challenges?)
Langs
I would make the portfolio a bit more liquid and a bit more defensive. It can be achieved in many ways, from negotiating credit lines with our custodian and shifting part of our index exposures to synthetic replication to increasing direct allocations to cash and treasuries. We are also looking into partnering with thoughtful experienced managers to implement tactical asset allocation decisions.