Balancing Conviction and Risk: Masters in Business with Maria Vassalou

SPEAKER_1 (0:02)

Bloomberg Audio Studios, podcasts, radio, news.

Barry Ritholtz (0:07)

I'm Barry Ritholtz, you're listening to Masters in Business on Bloomberg Radio. My extra special guest is Dr. Maria Vassalou. She is head of Pictet Research Institute, which she joined in 2024 to help build a staff of PhD level researchers that collaborate with outside academics and think tanks. Pictet's long term strategic mandate covers asset allocation, portfolio construction, risk premia, capital market structures, global economic and investment trends. The firm manages nearly a trillion dollars.

Dr. Vassalou arrived from Goldman Sachs Asset Management, where she was co-CIO and SAC Capital. She also served as president of the European Finance Association. Pictet was founded in 1805 as a partnership of managers and owners, which it still is to this day. I thought this conversation was utterly fascinating, and I think you will also, with no further ado, my sit down with Pictet Research's Maria Vassalou.

Dr. Maria Vassalou, welcome back to Bloomberg.

Maria Vassalou (1:35)

Thank you Barry, thank you for having me. Always a great pleasure to be here.

Barry Ritholtz (1:39)

The last time you were here, you were co-CIO at GSAM. We'll talk a little bit about your career in a minute, but I got to roll back to the academics.

Bachelors in Economics at the University of Athens, PhD in Financial Economics at the London School of Business, which leads to you becoming a Professor of Finance at Columbia for over a decade, 1995 to 2006 Academia, was that always the career plan?

Maria Vassalou (2:08)

When you do a PhD, you're expected to go to Academia. And the reason I did a PhD was because I wanted to dwell deeper into the various topics. I didn't want to have a superficial understanding of economics and finance. And that's what made me get into it. And then I had this wonderful opportunity to join Columbia as a European PhD. This is at least at the time, it was a very rare occurrence. I was actually at the time, probably the first or second PhD from Europe that was ever hired at the Ivy League School.

And so of course, it was an offer I couldn't turn down.

Barry Ritholtz (2:58)

And you spent a good 11 years there.

I'm fascinated by your work history. It's like a who's who of investing. You're head of quant at Soros, you're a portfolio manager at Sac Capital, you consult for Citadel, you're head of asset allocation at McKinsey, PM at Pirella Weinberg, co-CIO at GSAM. That's an incredible run. How different were each of those shops? What were the big takeaways? What did you learn at this?

Maria Vassalou (3:28)

They were very different, as you know. And also coming out of academia, going into the industry, you know, to some extent, you don't really know the cultures of all these places. But the reason I made this transition was because my research in academia was in empirical asset pricing and how macro factors affect asset returns. So I was always working on this interrelation of macro and finance, which at that time was not a very big area. There were a few other people doing it, obviously. And it started finding applications to hedge fund strategies. So I started being approached by various hedge funds to consult.

And so over time, of course, that led to job offers. And I was very reluctant to make the switch because it's a big, it's a big change.

Barry Ritholtz (4:31)

To say the very least, the first gig out of Columbia, was that with Soros Capital Management?

Maria Vassalou (4:37)

Actually, it was with another hedge fund that approached me as to consult for them.

Was that Citadel? No, it was a smaller hedge fund at Connecticut, DSD Capital, I think it was called. And then I had the various others that approached me, and then Citadel approached me, and I was a retained consultant. They wanted me to join full time, but I was very scared to leave academia, if you like.

Barry Ritholtz (5:11)

Well, it's safe and secure, and out in the real world, they're very demanding.

Maria Vassalou (5:16)

Yeah, so I said, I'm not ready to leave academia, but I'm happy to consult. So we had this arrangement where I would spend one or two days a week in Chicago, in their offices at that time. That's where their main offices were.

Then Soros approached me and I started consulting for them. Eventually, I joined them to start this quantitative strategies group. But as we started developing the strategies, and I was presenting it to the management there, Robert Soros was the CIO at the time. He liked the idea, so he said, okay, take 20 million to try this one, take 30 million to try the other one. At the end, I was managing about 200 million for them, which was not a lot of money for Soros, but it was an opportunity for me to dip my toes into the markets and start seeing how things work. And these strategies were quantitative in nature.