Institutional Investor's Alpha Magazine - October 2007 - (Page 37)

Alpha running head “No textbook out there says ‘Here’s how you should build a portfolio.’ It’s a matter of cumulative knowledge.” ON A HOT SUMMER DAY in early August, David Russ is sitting in his office awaiting the results of his labors. When he reads the ﬁnal 2006–’07 ﬁscal year performance numbers for the Dartmouth College endowment, which Mellon Bank sends by e-mail, Russ leaps out of his chair and punches the air with excitement. “We’re up 24.3 percent,” cheers the exuberant CIO. “And every asset class that we invested in is in the green.” Although Russ admits it would have been near impossible to beat David Swensen’s astounding 28 percent return at Yale this year, he is clearly proud of besting the 22.4 percent return that Mohamed El-Erian is leaving as his swan song at Harvard before returning in January 2008 to his former employer, Paciﬁc Investment Management Co. “We need the kind of performance David is giving us,” says Joyner. “We have to compete for resources and students.” The ﬁnance faculty and students have been taking full advantage of the quant whiz in their midst. In his two years at Dartmouth, Russ has had more opportunity to work with students than he had in his previous positions. He collaborated with a Tuck student, Amy Kaminski, class of 2006, on a difficult quantitative project that proved of real beneﬁt to the investment ofﬁce. With Russ’s help, Kaminski combined the asset allocation portfoliooptimization model with the school’s liabilities — the spending ratio — to create an asset-liability model to track future changes to the endowment portfolio. In September, Russ gave his third annual, six-hour lecture on asset allocation at the Tuck Center for Private Equity, run by Colin Blaydon, professor and former dean. Russ, who sits on the center’s board, began the lecture as he does all presentations — with lots of numbers. “We trot David out whenever we need a speaker,” Blaydon says. Russ has also begun inviting guest speakers to investment committee meetings to continue the education process. Jack Meyer, the former Harvard endowment chief, spoke at the September 10 gathering, which was held in Boston. When Meyer’s Convexity produced disappointing earnings earlier this year, Russ took some heat from the board for having invested in the fund. But Convexity’s options-based strategy benefited from the market turmoil this summer — it was up 6 percent a month in June, July and August. Those are numbers that everyone at Dartmouth — Russ, the investment committee, the board of trustees and its 68,795 alumni — ought to appreciate. Alpha Sponsored Statement Serviced Apartments Like No Other S erviced apartments at monthly rentals have become popular, particularly among expatriate executives in Hong Kong. Located mostly in Central, Mid-Levels, Causeway Bay, Wanchai and Tsimshatsui, today’s high-end serviced apartments are well-furnished, with harbor views and convenient to work and transportation. But while most serviced apartments in Hong Kong are similar to a hotel suite, Causeway Bay Apartment O gives you that cozy feeling of being at your own home. The unique colonial design creates an experience quite unlike that in any mainstream hotel. Each of the 15 apartments is different – the luxurious three-bedroom units are furnished throughout with exquisite period furniture and artwork that bring you back to the last glory days of Old Shanghai or the colonial grandeur of Old Hong Kong. Apartment O offers many unique details that set it apart from standard serviced apartments. Because For details, please go to: of strong demand, waiting lists for the most expensive now run six months, and rents will be increased by www.apartmento.com.hk 10 percent. Anyone expecting to relocate to Hong Kong should reserve a serviced apartment in advance. http://www.apartmento.com.hk

Table of Contents Feed for the Digital Edition of Institutional Investor's Alpha Magazine - October 2007

Institutional Investor's Alpha Magazine - October 2007 Contents Letter from the Editor Longs & Shorts Pension Corner: Applied Knowledge The Good Guys: Autism Advocate Interview: Nerves of Steel Cover Story: Ivy League Education Alpha Awards: Top Service Providers: Trying Times Strategies: Passage to India Profile: The Oracle of Irvine Alpha Bytes: Futurama Research Center: Funds of Funds 50 Unhedged: Commentary: Crisis? What Crisis?

Institutional Investor's Alpha Magazine - October 2007

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