Peter Madsen, CIO of SITFO, joins Alan Dunne in this episode to discuss how the $3.5bn State of Utah Sovereign Fund runs its investment portfolio. They discuss the rationale for Peter’s investment philosophy of having a diversified portfolio of growth assets, real assets, income generating assets and defensive strategies in contrast to the equity-centred portfolios of many endowments. Peter discusses the key risk considerations in managing the portfolio and how the team think about formulating return expectations. They discuss the opportunities in private markets and the potential risks in private credit in particular. A key element of the portfolio is the allocation to Systematic Convexity which includes Trend Following and Global Macro strategies and Peter discusses his journey investing in CTAs and some of the challenges and pitfalls of selecting managers.

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Episode TimeStamps:

02:56 - Introduction to Peter Madsen and his firm

06:54 - How is their portfolio charactarized?

09:16 - Their investment philosophy

14:33 - A skepticism about equities?

17:04 - How do the macro environment influence them?

21:23 - What is reasonable return expectation for equities?

25:19 - Splitting between public and private markets

28:20 - Where lies the most risk?

30:25 - Opportunities in the private credit space

33:21 - Building a strong defense

38:29 - Why don't more people invest?

40:41 - Madsen's view on CTAs and Global Macro

45:51 - The pitfalls of manager selection

49:29 - How important is performance?

51:39 - Constructing an efficient decision-making process

56:24 - Guiding and assessing a team of managers

59:55 - Advice for other investors

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Disclaimer

ALO21: How to Run a Multi-Billion Dollar Sovereign Fund ft. Peter Madsen