Assertion Not checkable as stated
Dunn: Wake Forest trustees voted to hire Bernie Madoff in blind test
“So I gave them this big Wilshire book of 400 pages. It had this strategy, and I said, this is the kind of book that you typically get from a consultant. And it was a manager that was on the board of NASDAQ, and he was doing this and that. Eight billion dollars…”
Insight
Dunn: Quarterly trustee meetings picking fund managers do not work
“The model of you coming together four times a year as trustees, getting sandwiches, picking managers, playing golf, this doesn't work. And it's gonna get more and more difficult as the market changes.”
Opinion
Dunn: Manager research differences between Mercer and Wilshire provide little differentiated value
“The difference between Mercer and Wilshire's manager research, I don't think it's that, that valuable. Asset allocation, for the most part, everyone uses the same modern portfolio theory.”
Disclosure
Dunn: Verger avoids activist hedge funds to prevent conflicts with endowment donors
“If you give an activist money and you know, we get our money from our donors and some of our donors sit on publicly traded companies, and they're CEOs, and they gave us a million dollars for the endowment, and all of a sudden we take that money, give it to an …”
Insight
Dunn: Institutional CIO roles are largely ceremonial people-management positions
“As CIO, your role is pretty ceremonial, right? You're basically trying to put fires out and, you know, deal with people. Less about asset allocation. You've got portfolio managers do that and analysts.”
Insight
Dunn: Investors only control fees and risk, not returns
“You can control two things, fees and risk. You can't control return. So every committee that comes in and says we want an eight percent return is starting with the wrong output. Focus on the inputs.”
Insight
Dunn: Mean-variance portfolio optimization is flawed and over-allocates to private equity
“You think about it, you go and say, okay, we're going to use the last 25 years of returns and correlations, and we're going to put that into a machine, and we're going to pretend that the next 10 years will look like the last 10 years. And then the second thin…”
Disclosure
Dunn: Verger avoids major investments in China and Russia over rule-of-law concerns
“China and Russia, we can't do it because we believe in the rule of law. So we're not going to invest in those areas in a big way.”
Disclosure
Dunn: Verger holds under 20% in US equities, favoring emerging markets
“How many endowments are, you know, less than. 20% in U S equities. There are very few that have that exposure. You know, we have more emerging markets at frontier than the portfolio than we do there.”
Insight
Dunn: Divesting removes an institutional investor's voice and proxy influence
“If you divest, you don't have a voice.”
Disclosure
Dunn: Spinning Out Verger Capital Was Wake Forest's Idea, Not the Team's
“We had a chance to do something pretty unique with Verger spinning it out, and it wasn't our idea. It was the university's idea.”
Insight
Dunn: OCIOs should not bear their founding university's name
“And one of them said, just don't name it Wake Forest Asset Management. And I went to NC State, Libby George, who had money with UNC. And she said, the only problem with UNC managing our money is every quarter I get a statement from UNC with their logo on it. I…”
Assertion Supported
Dunn: Post-2008 illiquidity forced university endowments to borrow or reduce payouts
“After the crisis, because you had a lot of schools that basically were illiquid because they had hedge funds that locked up on them, private equity distributions, and these schools didn't have the money to pay their distribution. So they were stuck. And now so…”
Disclosure
Dunn: Wake Forest eliminated peer-group compensation benchmarking for CIO
“So one of the first things we did was we changed the compensation program. You know, I should not be, the CI prior to me was basically paid on a peer group. He had to beat seven schools.”
Insight
Dunn: Real estate fund returns are driven by spread and duration
“Your real estate managers. Spread and duration. You wouldn't think that. That's a fixed income concept, but spread and duration. Cap rates and, you know, how long the rents are.”
Assertion Not checkable as stated
Dunn: Bridgewater provides eight return factors while PE and activists deliver one
“Bridgewater has about eight factors that drive their return. And you know what they are, their country, their currency, their momentum, duration, spread. And they can tell you, they have the sheet. And when we run our returns-based analysis, we get very close …”
Disclosure
Dunn: Verger breaks manager ties using gender equity policies
“If there's two managers and they're equal and one does and one doesn't, we're gonna hire the one with the gender equity policy.”
Insight
Dunn: Operational failures kill fund managers, not mediocre investment returns
“And the reality is, you can have mediocre investments and still have a wildly successful business. And you know a lot of those guys who've raised a ton of money with average returns. You can have the greatest investment returns in the world and not raise a dim…”
Disclosure
Dunn: Verger Capital seeded Rosetta Analytics with $5M
“So we started with sort of a five million dollar investment and it grew from there. So we now have Four strategies with Rosetta, and three of them have been very, very successful. One of them has been turned off.”
Assertion Supported
Dunn: In 1955, 90% of US car buyers rejected a $27 seatbelt
“37,000 Americans died in car accidents in 1955. That's six times today's rate adjusted for miles driven. And it was because seat belts were a 27 dollar upgrade And 90% of people didn't want that upgrade.”
Assertion Not checkable as stated
Dunn: Jamie Dimon Called Him in 2008 Seeking Seed Money Back
“You know, I had in 2008, we were down 13% in our larger portfolios and I still had Jamie Dimon calling me at home wanting his Lehman, his Bear Stearns, one 30 30 seed fund money back.”
Assertion Partly supported
Dunn: Wake Forest endowment lost 28% in 2008
“Looking at Wake Forest again, they had lost two, 28% in 2008 before I joined.”
Assertion Contradicted
Dunn: 85% of Wake Forest endowment payout funds financial aid
“For Wake Forest, 85% of the payout goes to financial aid.”
Assertion Partly supported
Dunn: Wake Forest spent $50M yearly against $14M in gifts
“So you're spending fifty million dollars every year, And you're bringing in 14.”
