Podcast Summary:
How I Invest with David Weisburd — E347: The $26B CIO Who Turned Superforecasting Into Alpha
April 14, 2026
Episode Overview
In this deeply insightful episode, host David Weisburd interviews Mark (CIO of Arizona PSPRS, overseeing $26 billion), exploring how the principles of "superforecasting," pioneered by Dr. Phil Tetlock, have revolutionized the fund’s investment process, decision-making culture, and outcomes. Mark candidly discusses the implementation of explicit probabilistic forecasts, the transformation of internal team dynamics, portfolio construction philosophies, and practical lessons for large-scale institutional investors—all with transparency, humility, and a focus on measurable results.
Key Discussion Points & Insights
1. Superforecasting in Institutional Investing
- Fundamental principles (00:04–02:57):
- Inspired by Dr. Phil Tetlock’s work, Mark applies "superforecasting"—systematic probabilistic thinking and calibration—to every investment decision.
- "Every investment decision requires a very explicit probabilistic forecast." — Mark [00:32]
- Forecasts must include: probability (e.g., 55% chance), a clear definition of success, a time horizon, and a confidence level.
- The focus is not just accuracy, but calibration: is someone right as often as their claimed confidence level?
- Inspired by Dr. Phil Tetlock’s work, Mark applies "superforecasting"—systematic probabilistic thinking and calibration—to every investment decision.
- Tracking with Brier Scores (01:50):
- The investment team uses Brier scores (from 0-best to 2-worst) to objectively measure forecasting accuracy, providing a feedback loop and countering overconfidence.
- "We're tracking the quality of the decision making as well [...] there's an objective score, but also that people are right for the right reasons." — Mark [02:33]
- The investment team uses Brier scores (from 0-best to 2-worst) to objectively measure forecasting accuracy, providing a feedback loop and countering overconfidence.
2. Cultural and Practical Impacts of Forecasting
- Second-order effects (03:05):
- Intellectual humility takes hold—competitive scoreboards curb unfounded certainty.
- Errors decline—having to articulate "what would make this bet work" up-front leads to better risk assessment and fewer large mistakes.
- Group dynamics shift from politics or debate skills to data-driven, open minority participation.
- "All of that goes away when you have this objective scoring and this objective, very quantitative approach." — Mark [03:56]
- Recruitment and calibration as a recruiting edge (09:20):
- The system attracts and empowers less-experienced team members with strong numeracy and analytical openness, not just finance veterans.
3. Expected Value Thinking in Decision-Making
- Low-confidence investments and EV math (11:15):
- Even "coin-flip" situations—say, with only 50% confidence—get evaluated for expected value: probability × upside minus probability × downside.
- Mark’s example: For a sector-private equity fund, he layers base rates (historical data) and incremental evidence to get to a final probability and expected value calculation.
- Even "coin-flip" situations—say, with only 50% confidence—get evaluated for expected value: probability × upside minus probability × downside.
4. Benchmarks, Accountability, and Constituents
- Dealings with S&P 500 comparisons (13:19–15:24):
- The S&P 500 remains the "mental benchmark" for almost all stakeholders, regardless of stated benchmarks; justifying diversification hinges on risk-adjusted performance.
- "Diversification is a absolute punishment for sure in a bull market, but it's a miracle in a crisis." — Mark [14:22]
- CIOs must balance fiduciary duty to the end beneficiaries (police, firemen) with real-world communication, alignment, and transparency.
- The S&P 500 remains the "mental benchmark" for almost all stakeholders, regardless of stated benchmarks; justifying diversification hinges on risk-adjusted performance.
5. Portfolio Construction Philosophy
- Simplification and flexibility (16:07–19:08):
- Mark reduced complexity from 10+ asset classes into three broad behavioral buckets: capital appreciation, contractual income, and diversifying strategies, each with public and private exposures.
- Argues for "loosely defined buckets" over rigid asset classes; broad competition among investments, allowing for opportunistic capital allocation.
- "Making the buckets wider increases competition among investment ideas [...]. The buckets are, in our minds, just kind of a map. But, like, any navigator knows the map's not the territory." — Mark [18:23]
6. Team Dynamics and Incentives
- Cross-training and non-territoriality (20:38):
- Fewer buckets lead to less siloing and more honest, flexible capital allocation.
- Team members—"athletes"—rotate across areas, focus on best opportunity rather than defending a territory.
- Mark credits this flexibility and honest team-building with lifting performance from bottom decile to top third across all key time periods.
7. Co-Investments and Structural Alpha
- Mark’s approach (22:20–23:22):
- Co-investment is growing, ~5% of the total portfolio, focused on “getting closer to the assets.”
- Agrees with peers like CalSTRS: rules-based, diversified co-investment using trusted partners chiefly generates alpha via fee savings, enhancing returns by eliminating gross-to-net spread.
8. “Ownership” vs. “Allocation” Mindset
- Semantic shift and accountability (24:02):
- Mark argues "owning" assets (as Sam Zell described) is a much more powerful and honest frame than “allocating” capital.
- "I like ownership. I like that idea. I'm going to have to use that and I'll give full attribution to them because for me accountability is a huge thing." — Mark [24:30]
- Mark argues "owning" assets (as Sam Zell described) is a much more powerful and honest frame than “allocating” capital.
9. Admitting Uncertainty, Overconfidence, and External Partners
- Rising skepticism about fund manager claims (26:02):
- Mark’s recent experience has increased his skepticism towards managers' forecasts—many are overconfident and under-calibrated.
- "It's not a 50, 50, whether they can do what they say they do, but we have to be a lot...the default has to be, look, there's a...20 or 30% chance that they can do what they say they're going to do." — Mark [26:25]
- Presses GPs for explicit definitions of success and confidence levels; uses their calibration as a litmus test for capability.
- "If they're miscalibrated and they say 60% of the time, we're going to hit that return threshold, but they're only hitting it 40% of the time. You don't have to know what they're doing, you just know that they don't know what they're doing.” — Mark [32:24]
- Mark’s recent experience has increased his skepticism towards managers' forecasts—many are overconfident and under-calibrated.
10. Timeless Lessons for Investors
- Start with base rates and humility (34:06):
- The key lesson to his younger self and to new investors: most opportunities won’t play out as hoped. Begin with the assumption that success is rare, and evidence must move you off that baseline—not the other way around.
- "Most of what you look at will probably not do what you think." — Mark [34:06]
- Make “success” definitions explicit before investing to separate luck from skill in outcomes.
- The key lesson to his younger self and to new investors: most opportunities won’t play out as hoped. Begin with the assumption that success is rare, and evidence must move you off that baseline—not the other way around.
Notable Quotes & Memorable Moments
-
On Calibration:
“The discipline isn’t just about, you know, being right, it’s about being calibrated. So when you say you’re 90% confident, are you 90% right?”
— Mark [00:57] -
On Intellectual Humility:
“Intellectual humility just becomes absolutely contagious. So when everyone’s score is on a wall, we’re all competitive people, right? Nobody walks into a meeting claiming some kind of certainty that they don’t have.”
— Mark [03:08] -
On Expected Value Thinking:
“Low confidence doesn’t mean, you know, don’t invest. It’s just like poker, right? You don’t fold a hand just because you’re not holding the aces, right?...If the number’s positive, you sort of have a case.”
— Mark [11:19] -
On Benchmarks:
“Diversification is an absolute punishment for sure in a bull market, but it’s a miracle in a crisis.”
— Mark [14:22] -
On Asset Buckets:
“The buckets are, in our minds, just kind of a map. But, like, any navigator knows the map’s not the territory.”
— Mark [18:23] -
On Ownership:
“I’ve always, always hated the term allocator… But I like ownership. I like that idea...start to finish, you own the work and you own the outcome.”
— Mark [24:30 & 25:31] -
On Overconfidence in Investment Managers:
“The default has to be… maybe a 20 or 30% chance that they can do what they say they’re going to do. There’s a lot of marketing.”
— Mark [26:25] -
On Learning and Humility:
"Most of what you look at will probably not do what you think."
— Mark [34:06]
Timestamps for Key Segments
- Superforecasting background & implementation — 00:04–02:57
- Team calibration culture & effects — 03:05–06:27
- Practical investment process & EV math — 11:15–13:13
- Benchmarking to S&P & constituent transparency — 13:19–15:24
- Portfolio construction philosophy — 16:07–19:08
- Team design, dynamics, performance — 20:38–22:16
- Co-investment & alpha — 22:20–24:02
- Semantic framing: "owning" vs. "allocating” — 24:02–25:58
- Lessons learned, overconfidence in partners, calibration — 26:02–33:54
- Advice to your younger self and key investor mindset — 34:06–36:48
Final Reflections
This standout episode demonstrates the power of explicit forecasting, humility, and open-minded team culture in high-stakes capital allocation. Mark shows that measurable calibration, simplification, and an ownership mentality can yield both better outcomes and healthier, more innovative organizational cultures, especially in the complex world of institutional investing.