For its second major hire in as many weeks, the $8 billion GESB has appointed a former AMP Capital structured product specialist as its first quantitative strategist, to build a risk and analytics capability to cover its full investment portfolio.
Jim McCulloch, previously senior quantitative manager in AMP Capital Investors’ structured products team, will join the WA public sector fund next Monday to perform attribution and risk analysis across the entire investment portfolio.
At AMP Capital, McCulloch developed quantitative trading models for the structured products group. Due to the tough business environment, he has not been replaced, a spokeswoman for the business said.
His role at GESB will see him build a whole-of-portfolio risk and analytics capability that will gauge and monitor risk exposures, performance attribution, manager redundancy and cashflows, among other tasks.
The fund received analytical data from asset consultant Mercer, custodian National Asset Servicing and some externally developed software, but this information focused on single asset classes, requiring the fund to integrate it so that it could perform analysis of its full portfolio,
according to Sharon Hicks, chief investment officer at GESB.
“At the moment, there is information at hand, but it comes at various times and from different sources. We are trying to centralise it, to better integrate exposures across portfolios, and call on it when we need it,” she said.
“The risks and analytics needed to respond across multi-manager structures are fundamentally different than those required for single manager portfolios.”
Hicks said the appointment reflected the importance of having a “core internal focus on analytics” in a reasonably large multi-manager portfolio.
The risk and analytics functions that McCulloch will perform would be determined after he began work at GESB, Hicks said.
“We’re building the capability from the ground up.”
The appointment of McCulloch marks GESB’s second major hire from the eastern seaboard in the past month: Steve McKenna, Everest Financial Group’s former head of alternatives, will also join the fund in July as head of credit and alternatives.
The GESB investment team currently staffs five: Hicks, two senior investment strategists and two investment analysts.
The new appointments would enable senior investment strategist Ralph Leib to focus on “the higher order issue of asset allocation”, and its effects on returns, Hick said.
“It’s important to consider the majority of our returns come from asset allocation…and that asset class risk/return correlations are inherently unstable things.”
“You don’t just get returns from manager alpha.”
