Improving Alpha · 2026-01-26 · 32 min
There’s a famous sports adage on how great defenses win championships, but can defensive layers be efficiently applied to pension plans that have close to $128 billion in AUM and provide secure retirement benefits to 850,000 participants? In addition to positioning your defense, how can CIOs reduce drawdown risk while navigating investment board politics, innovation goals, and uncovering longer-term sources of strategic alpha? In our first episode of 2026 for the Improving Alpha podcast, we uncovered allocation strategies for the Employees' Retirement System of Hawaii . This time, we traveled ~5,000 miles to welcome Andrew Junkin, Chief Investment Officer of the Virginia Retirement System (VRS) . Host, Michael Oliver Weinberg, speaks with Andrew about his journey from investment consulting to moving east of the Mississippi, where he took on the CIO role at the State of Rhode Island during COVID, before landing at VRS. Key takeaways from Andrew’s discussion include: Why, after 150 nights on the consulting road, did Andrew look for a career change? How does Andrew balance the Code of Virginia rules in avoiding large drawdowns by adding layers of defense to the portfolio?
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