This week, we speak with Dr. Maria Vassalou, co-chief investment officer of multi-asset solutions at Goldman Sachs Asset Management. Previously, she worked at Soros Capital Management and with Steve Cohen at SAC Capital. Prior to her career in asset management, Dr. Vassalou was an associate professor of finance at Columbia Business School, which she joined in 1995 and where she established many of the investment principles she employs today. She earned her Ph.D. in financial economics from London Business School.
In our conversation, Dr. Vassalou explains how she began quantitatively identifying correlations between various macro events as a prof at Columbia School of Business. The inflation and rising rate environment we experienced in 2022 were just the kinds of macro events she had studied . Those situations favor value over growth and smaller cap stocks over larger ones. We saw that manifest itself in 2022 when macro funds like hers dramatically outperformed their traditional benchmarks.
In 2023, some of the worst-quality stocks have done very well — namely Goldman’s non-profitable tech basket as well as their “soft-landing” basket. This also reflects the rise of quant macro as a driver of alpha.
You can stream and download our full conversation, including any podcast extras, on iTunes, Spotify, Stitcher, Google, YouTube, and Bloomberg. All of our earlier podcasts on your favorite pod hosts can be found here.
Be sure to check out our Masters in Business next week with Rich Bernstein of Richard Bernstein Advisors (RBA), which was founded in 2009 and is running $14.6B in assets. Previously, he was Chief Investment Strategist at Merrill Lynch, where he had worked for 21 years. Bernstein was named to the Institutional Investor’s “All-America Research Team” 18 times and has been inducted into the Institutional Investor “Hall of Fame.” He is the author of “Navigate the Noise: Investing in the New Age of Media and Hype.”
Maria Vassalou’s favorite books and current reading
Swann’s Way: Remembrance of Things Past, Volume One by Marcel Proust
Crime and Punishment by Fyodor Dostoyevsky
The Brothers Karamazov by Fyodor Dostoyevsky
Art as Therapy by Alain Botton
21 Lessons for the 21st Century by Yuval Noah Harari
Leadership: Six Studies in World Strategy by Henry Kissinger