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Pension CIOs Win Award for Paper on Risk Management

The leaders of the Kodak and San Bernardino County pension systems, along with two others, have won the Edward D. Baker III Journal Award from the Investment Management Consultants Association for their paper on dynamic beta.
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(April 23, 2012)—Pension executives are getting into the academic paper-writing game—and it’s paying off.

Timothy Barrett of the Eastman Kodak pension system and Donald Pierce and James Perry of the San Bernardino County Employees Retirement Association (SBCERA), along with Arun Muralidhar of AlphaEngine Global Investment Solutions, today received the Edward D. Baker III Journal Award from the Investment Management Consultants Association (IMCA) for their paper “Dynamic Beta: Getting Paid to Manage Risks.”

Barrett is the pension manager, worldwide, for Eastman Kodak; Pierce is the CIO of SBCERA, while Perry is the senior investment officer there. The three men, along with Muralidhar, received the award Monday at the IMCA’s national conference in Maryland.

The paper was published in the Journal of Investment Consulting in 2011, and focused on a dynamic beta approach to investing. According to the paper, “dynamic beta is a program that dynamically allocates to beta assets based on formal rules... [and which] contrasts with standard mean-variance optimization and static risk-parity approaches, which are static.” The authors claim “dynamic beta lowers the overall risk of the fund— where risk includes volatility of returns plus drawdown—while earning a positive return. A dynamic beta program implemented through an overlay and customized to each investor’s needs can help manage portfolio risk from an asset-only perspective or an asset-liability perspective.” The authors assert that this approach—when compared to traditional and risk parity approaches—ones provides “substantial improvements” in that it is a “more intelligent, more informed approach to dynamically manage risk and return.”

Also honored at the IMCA event was Rosalind Hewsenian, CIO of the Leona M. and Harry B. Helmsley Charitable Trust. Hewsenian received the Matthew R. McArthur award for her contribution to the consulting industry. Before becoming CIO of the Trust, Hewsenian was a consultant at Wilshire Associates, where she worked extensively with the California Public Employees’ Retirement System (CalPERS).