The Ledger
Every statement that passed quotation and attribution checks. Mix any filter with any other: certainty 1/5, debate potential 5/5, or both at once.
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Thome: WARF avoided internal tactical allocation, citing geographic and talent constraints
“We weren't tactical. We knew how hard it was just to find active managers that could consistently do it. The idea that we were going to be able to pull this off in Madison, Wisconsin didn't seem terribly realistic, and if I did that, then I was betting on team…”
Thome: WARF's levered bonds and alpha overlay delivered 200 bps excess return
“The levered bonds were the best performing asset class we had, which I think surprises some people. And we built a really good alpha engine, and it delivered. It was targeting 200 basis points of added return over the market exposure. That's what we targeted. …”
Thome: WARF ran a $6B notional portfolio via 2x leverage
“The rough numbers were shy of three billion dollars in total. And we had some other assets that had come in from the private foundation that we oversaw their assets. And we had about six billion of notional exposure. If you included the derivatives and the lev…”
Thome: WARF reduced hedge fund exposure due to unfavorable fee-to-risk ratios
“When I left, we were in the process of hedge funds, as you know, really were struggling. We were at the process of ratcheting down that exposure and instead building the cash back up because we just didn't see if there was the opportunity for the risk we were …”
Thome: WARF cut quant managers after observing total correlation in 2007
“There was a, when Tom ran the portfolio, I think we had every quant manager of notes that you could get. Not surprisingly, we found in 2007 that they all correlated together, so we got rid of some of that.”
Thome: WARF eliminated beta from hedge funds and hedged traditional managers
“Hedge funds had to have no market exposure, and to the extent that we were still in traditional managers, we hedged out their beta exposure to match what we were targeting.”
Thome: WARF hit top first percentile 10-year performance post-2008
“You know, you go through the financial crisis and coming out of that, when you came out of that on the long-term basis, at one point, we were top one percentile over the ten-year period.”
Thome: WARF's $15M Kellogg's licensing grew into a $2B–$3B portfolio
“They were able to license that first technology off to Kellogg's, and it ultimately generated something like fifteen million dollars that they were then able to invest, and that grew the portfolio that ended up being the, you know, two to three billion dollar …”
Thome: WARF originally ran an aggressive 80/20 equity-heavy portfolio
“But when I got there, the traditional portfolio was still, there was definitely a venture-ish, high risk taking aspect to the group because we had a portfolio that was 80% equities and 20% fixed income. And if you broke apart the fixed income, five percent of …”
Thome: WARF retained Bridgewater Pure Alpha but phased out All Weather
“I've always enjoyed working with a relationship, as you can guess, with Bridgewater. That was one of the very first products we put in there, and we kept that pure alpha, and the all-weather, we eventually lost the training wheels, and we stopped using pieces …”
Thome: WARF's beta allocation was split equally across equities, bonds, and real assets
“It was about a third. So it was a bit of a third equity exposure. Then it was about a third of the fixed income. And then we had, we did commodities and real estate and the natural resources and the real assets fell into that other third, the inflation protect…”