About
I am Sunil Wahal, the Jack D. Furst Professor of Finance and Director of the Center for Responsible Investing at the W.P. Carey School of Business, Arizona State University. I’m a financial economist with interests in quantitative investment strategies, trading (including market microstructure and algorithmic trading), delegating portfolio management, and investment vehicle design (mutual funds, ETFs, SMAs etc.). Much of my research resides at the intersection of financial science and application in financial markets. Because of that, I frequently interface with investment professionals in industry, including asset managers, RIAs, Endowments & Foundations, Sovereign Wealth Funds. I am a consultant to Avantis Investors.
My Research
I started my career working in corporate finance but after writing several studies in the area, my interests wandered to capital markets – specifically towards the behavior of institutional investors, investment strategies, and market microstructure. These were not random wanderings. I am interested in institutions because I believe that, for the most part, they (as opposed to individual investors) are marginal price setters in financial markets. I am interested in investment strategies because they both generate and use prices. Finally, I am interested in market microstructure because there is no Walrasian Auctioneer and prices do not magically appear; practitioners and academics ignore frictions at their own peril.
My Industry Interactions
Although I never met him, I am heavily influenced by the writings of Fischer Black, who pointed out that financial economists should spend time with practitioners, and that practitioners should mingle with economists. Since finance is about prices and behavior, it is easy for academics to make mistakes in understanding prices because we do not appreciate real-world frictions and arrangements. And since practitioners often (but not always) think in reduced form and partial equilibrium terms, it is useful for them to talk to academics who think in structural ways. I take that to heart. In the past, I have consulted for Dimensional Fund Advisors and been on numerous investment committees for RIAs and foundations. I now work closely with Avantis Investors. I enjoy presenting materials related to my own work and financial science to sovereign wealth funds, endowments, foundations, family offices, DB plans, DC plans, and RIAs.
My Background and History
I was born in India but am a citizen of the world. As a child, I moved around the world and was educated in India, London, Hong Kong, and the United States. I have traveled to all seven continents and spent time in all seven ecosystems. My undergraduate degree is in Economics from the Shri Ram College of Commerce, University of Delhi. I then moved to the US, got an MBA from Wake Forest University, and Ph.D. from the University of North Carolina at Chapel Hill. My first job was in my “gap year” out of high school as an Associate Editor at a banking and capital markets publication in Hong Kong (Asiabanking, now owned by Euromoney). My first “real” job was an assistant professor at Purdue University, followed by a stint at Emory University. I moved to Arizona State in 2005.
Teaching
In 2010, I took over ASU’s Student Investment Management (SIM) Funds and rebuilt the program from scratch. Students are required to take my Portfolio Engineering course, which is essentially an applied version of asset pricing. It helps students understand the drivers of returns but in a manner that reflects real world frictions and tradeoffs. Once students have been indoctrinated in Portfolio Engineering, they manage a live portfolio. Portfolios are created using quantitative investment strategies (not fundamental analysis) derived from research published top-tier academic journals. Generating live strategies from paper portfolios is no easy task – students have to handle data from a variety of sources, write code, and tradeoff risk, return, tracking error, absorb investment policy constraints etc. These are the things that matter in the real world. Graduating students are frequently placed at well-known asset managers (buyside firms, hedge funds, and private equity), RIAs, family offices, SWFs, and investment boutiques. A handful go to on Ph.D. programs. The alumni base is truly amazing and I am proud of each and every one of them.