Titan will execute a solution based on Wilshire’s Risk Parity Index through its Commodity Pool Operator “CPO” affiliate known as “Titan Co GP, LLC”. Wilshire’s Risk Parity Index was added to the HFRI Risk Parity Index in 2019, with the announcement that the Public Employees Retirement Association (PERA) of the State of New Mexico was implementing an allocation of 10% to a Risk Parity Strategy based on Wilshire’s Index.
Wilshire is uniquely positioned in the construction of indices, with their intellectual capital and history in index construction, which differentiates them from other players that are hedge fund firms or asset managers. Wilshire’s market position also comes with several benefits for those that would like to allocate to the Wilshire Index but do not have the in-house resources to implement the strategy. Wilshire provides trade allocations and weights to each index component but does not execute the index for clients.
Titan plans to provide two execution options through its relationship with Wilshire, including separate accounts for large investors and a commingled fund vehicle formed for smaller allocators. These two solutions will allow allocators of all sizes outsourced access to the Wilshire Risk Parity Index.
Titan Risk Parity Solution
Risk Parity Team Herman Laret, Director, Risk Parity, Global Macro, CTA & Multi-Strategy
Early in his career, as a government bond trader at Salomon Brothers, Mr. Laret traded billions of dollars as a market maker daily. At Salomon Brothers he was the first trader to transact in a cash versus futures trade through the brokers (Cantor) in the Canadian bond market.
After his time at Salomon, Mr. Laret joined MKP Capital’s Opportunity Fund, where he was a partner and senior portfolio manager, managing a significant portion of the Opportunity Fund. At MKP Capital he helped develop the interest rate derivatives, the swaption vol. surface, the futures delivery option, as well as the inflation strategy models. Throughout his career, on both the “sell side” and “buy side”, Mr. Laret has strived to perfect processes and add value through innovation and technology. During his time at Credit Suisse, Mr. Laret conceptualized, helped develop and implement, what ultimately became “Locus”, the firm’s award-winning global analytics system.
At Titan, Mr. Laret has applied his trading and markets expertise to the Wilshire Risk Parity Model, which provides investors an execution and implementation solution for an allocation to this index. Frank Stone, a Principal at Titan, along with Alex Baudoin, James White and Yuchen Guo round out the Risk Parity Team.
Since joining Titan in 2009, Mr. Stone has played a key role in risk aggregation across the firm by onboarding our managers to our first “third party risk aggregation” platform. He has also been instrumental in our proprietary technology systems which deliver aggregated manager and portfolio information to our in-house research team and our Custom Solutions clients.
In his role as part of the Risk Parity Team he will draw on his years in the commodity space, which dates to 1994, where he constructed and managed CTA and Global Macro allocations to a myriad of managers for various clients at a Commodity Pool Operator. This experience, combined with his portfolio construction background and his fixed income sales and trading, which dates to 1986, brings a complementary skill set as he supports Mr. Laret and his team as Risk Parity clients are onboarded. He became a Chartered Alternative Investment Analyst in 2004, and has held Series 3, 4, 7, 63 and 66 licenses during his career. Frank received a B.S. in economics and finance from the University of North Alabama in 1986.
Alex Baudoin joined Titan in November 2018 as a Research Analyst responsible for due diligence and new manager identification in the Global Macro, CTA, and Multi-Strategy space. He oversees allocations to several of Titan’s emerging managers while assisting in the ongoing due diligence of investments across the firm’s platform.
Prior to Titan he worked as a commodity and equity trader for MBF Capital, where Alex managed and executed trades across equity indices, ETFs, and macro commodities as part of a family office. Among his core responsibilities were generating short-term market forecasts based on technical analysis, sentiment indicators, and macro news. Alex began his career at T3 Trading Group. Alex graduated from Tufts University in 2015 with a B.A. in Economics.
James joined Titan in 2016 as a Research Analyst responsible for due diligence and new manager identification of Global Macro, CTA, and Multi-Strategy managers. Mr. White’s current role, as a Risk Analyst, supports Titan’s Risk Management and Custom Solutions teams. In this role, he assists Titan’s Chief Risk Officer in assessing and monitoring manager and portfolio-level exposures and market risks.
Mr. White is also responsible for Titan’s risk reporting and monitoring of our separately managed accounts. He provides the investment committee with portfolio construction analytics and the investment research team with ad hoc quantitative analysis of manager and market data. Mr. White supports Titan’s Custom Solutions teams by assisting with custom-mandate portfolio-risk assessment and client reporting. James graduated magna cum laude with a B.S. in applied mathematics from Marist College, and holds an M.S. in financial risk management from the University of Connecticut.
Yuchen joined Titan in 2020 to focus on manager exposure data and update our in-house SQL database – to better integrate our risk assessment and exposure data across our platform.
As part of research and technology teams his role will expand across our Risk Parity offerings, drawing on his training at the Beijing Institute of Technology, where he majored in vehicle engineering and his M.S. in financial risk management from the University of Connecticut.
Analytics were developed in Python to determine:
- Optimal futures rolls – trade timing predicated on market drivers, which included seasonality, market positioning, asset managers, CTAs, index rebalancing and other major market moving flows.
- Relative value metrics based on – security liquidity, relative funding, inflation asset swap curve, and real rate curve shapes, to optimize the TIPS/inflation exposures. Total return swaps on the Wilshire TIPs index, the components of the Wilshire TIPS index, or a customized basket of TIPS that match the Wilshire TIPS Index stipulations will be used, based on their relative value.