This week, we speak with Jon McAuliffe, who is co-founder and chief investment officer at the Voleon Group, heading the firm’s investment strategy, research, and development. Previously, he developed and managed statistical arbitrage trading strategies at D.E.Shaw. McAuliffe has a unique track record of successful innovation applying statistical methods to real-life prediction problems, particularly in the financial markets. He is also an adjunct professor of statistics at UC Berkeley, where he earned his Ph.D.
We discuss his career in machine learning, from Amazon’s recommendation engine to using AI to manage portfolios. McAuliffe explains the unique challenges of predictive accuracy via machine learning, where the trade-off is increased complexity for more accurate modeling. The firm applies machine learning to a four step process of data assembly, Prediction Engine, Portfolio Construction, and Execution. Voleon, which manages $10 billion in client assets, has achieved great success applying these technologies to investing.
A list of his favorite books is here; A transcript of our conversation is available here Tuesday.
You can stream and download our full conversation, including any podcast extras, on iTunes, Spotify, Google, YouTube, and Bloomberg. You can find all of our earlier podcasts on your favorite platforms here.
Be sure to check out our Masters in Business next week with Elizabeth Burton, Managing Director and Client Investment Strategist at Goldman Sachs Asset Management. Previously, she was Chief Investment Officer of Hawaii’s Employees’ Retirement System (“HIERS”). She was named to Chief Investment Officer Magazines’ 40-Under-40, as well as winning the 2017 Industry Innovation Award, and a Power 100 member in 2019.
Jon McAuliffe’s Books
Infinite Jest by David Foster Wallace
The Wind-Up Bird Chronicle by Haruki Murakami
Stoner by John Williams
White Noise by Don DeLillo
1984 by George Orwell
Brave New World by Aldous Huxley
When Genius Failed: The Rise and Fall of Long-Term Capital Management by Roger Lowenstein
The Dispossessed by Ursula K. Le Guin
The Left Hand of Darkness by Ursula K. Le Guin
Cryptonomicon by Neal Stephenson
Tenth of December by George Saunders
The Selfish Gene by Richard Dawkins
Unreasonable Hospitality: The Remarkable Power of Giving People More Than They Expect by Will Guidara
