Alpha Exchange

With early career roots in both equity derivatives and relative value fixed income, Lisa O’Connor is now the Co-CIO of Multi-Strategy Assets and Solutions at BlackRock. Here she oversees her team’s development and delivery of a long only, systematic asset allocation process on behalf of the firm’s clients.Our discussion first considers some of the lessons Lisa has derived from market risk cycles. In reflecting on vol episodes, she asserts that markets become very focused on relative value during times of crisis. That is, in higher risk environments, there’s much greater differentiation across risk categories, as investors evaluate which assets can truly be defensive or at least weather the storm.We talk next about the model portfolio process and the mix of quantitative and fundamental factors that drive the asset allocation decisions. In contemplating the role of duration as a portfolio ballast, Lisa is concerned about risk premia in the back-end of the curve as a function of fiscal deficits. Instead, she see