Mike Simmons

Experience

• 

  Teacher Retirement System of Texas

  Jun 2011 - now

  Head of Trust StrategyMandate: Improve Trust portfolio constructionAs the keepers of the strategic asset allocation (SAA) at TRS, the Trust Strategy team explores ways to improve portfolio construction through long-term macro research and planning. We study assets to understand what drives them as well as attempt to "look around the corner" to see how the changing environment can impact the Trust. We construct frameworks, models, and systems to stress test TRS' SAA with geopolitical shocks as well as shifting market and economic regimes, develop strategies to address vulnerabilities, and provide intelligence across the Trust to keep everyone informed.Example projects include: Development of an internal python based Monte Carlo simulation and internal capital market assumptions (CMAs), re-underwriting of the Trust's allocation to China, and examination of the potential impact of digital assets on the Trust.Presentations:Reimagining the Strategic Asset Allocation Process (ISRP 2024)Long-Term Liquidity: How much illiquidity can TRS take? (ISRP 2019) Show less Head of Risk Overlay Strategies and Research:- Developed systematic investment platform to provide bespoke solutions- Platform automates 6 steps: 1) Data - Pull, clean, construct, quality check, and archive 2) Signals - 4 categories of signals: Trend, Fundamental, Carry, and Reversion 3) Portfolio Construction - 3 current implementations (2 live, 1 paper) 4) Trading - Real-time balance sheet, trade netting between portfolios, derivative roll management 5) Reporting - Performance, positioning, data quality and signal decomposition daily reports 6) Research - Simplified research process through easy changes/additions and standardized backtest- Manage a multi-factor based tactical asset allocation model for $9B Risk Parity portfolio - Launched July 1, 2017 with 50 bp target volatility - Outperforming 63% of peers as of May 2020- Manage a short only hedge portfolio for the Risk Parity portfolio- Paper portfolios: CTA replication (outperformed the SG Trend Index by 2% since inception)- Trading platform handles physical securities, derivatives, and helps manage ~30% of the Trust's assetsCoordinate research efforts of the group. Goals include: Facilitate knowledge share, increase vetting and feedback throughout the life cycle of a project, democratize prioritization of projects, encourage shift from low impact, short-term tasks to high impact, long-term projectsPresented at 2019 Institutional Society of Risk Professionals (ISRP) Conference "Battle Plans: Action Oriented Risk Management"Additional areas of responsibility include: - Strategic Asset Allocation - Portfolio Construction - Rebalancing - Long-term liquidity - Hedge fund leverage, liquidity, and concentration - Political risk - Trust derivatives use - FX hedging - Private markets modelingProgramming: Python (fluent), VBA (fluent), MATLAB (experienced) Show less

  • Director

    Oct 2021 - now

  • Investment Manager

    Mar 2012 - Sept 2021

  • Analyst, Strategic Research and Quantitative Anaylsis

    Jun 2011 - Mar 2012