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Managing a Multi-Billion Dollar Sovereign Wealth Fund

February 2024

In this episode of the Allocator series on Top Traders Unplugged, Alan Dunne speaks with, Peter Madsen, CIO of Utah School & Institutional Trust Funds Office (SITFO) about his experience of managing a multi-billion dollar sovereign wealth fund.

They discuss the rationale for Peter’s investment philosophy of having a diversified portfolio of growth assets, real assets, income generating assets and defensive strategies in contrast to the equity-centred portfolios of many endowments.

Peter talks about the key risk considerations in managing the portfolio, how his team formulate return expectations for asset classes and the risks and opportunities in private markets and private credit in particular.

A key element of the portfolio is the allocation to Systematic Convexity which includes Trend Following and Global Macro strategies and Peter discusses his journey investing in CTAs and some of the challenges and pitfalls of selecting managers.


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