Sanjay Misra

Portfolio Manager, BlackRock Japan, Indian, 35

Could you tell us about your professional and academic background?

I earned a bachelor’s in technology (mechanical engineering) from the Indian Institute of Technology, Kanpur, in 1995 and joined the software division of Godrej, a large manufacturing conglomerate, in India. After four years, I switched to being a software consultant and moved to Japan on a year-long consulting assignment with Daiwa Institute of Research. I then spent two years in US consulting with the likes of Cisco in Silicon Valley. In 2002, I returned to Japan as a technology consultant and got the opportunity to work with large broker/dealers. I became really interested in learning more about economics and finance during these engagements. So, I enrolled in an executive master’s in finance programme at Macquarie University in 2004. Around the same time, I joined Barclays Global Investors (now part of BlackRock). As a member of the Investment Technology group, I worked on the development and roll-out of an equity portfolio management platform for the next couple of years. In 2007, I transferred to the portfolio management group. I have since been working as portfolio manager in the Global Index Equity team. The team manages Japanese and international equity index mandates for segregated client accounts and mutual funds including mandates to provide beta exposure through various investment vehicles according to specific client requests.

Why go for doctoral studies?

When I finished my master’s in 2005, I realised that I wanted to explore asset pricing, allocation models and portfolio construction in greater detail than my two years at the master’s programme allowed me to cover. I looked around but could not find a doctoral programme aimed at professionals at any of the top institutions. All the programmes had full-time residency requirements. Then, in 2008, I came across EDHEC Business School’s advertisement in The Economist introducing the new PhD in Finance programme. I hold the Financial Risk Manager designation from the Global Association of Risk Professionals, so I had read about some of the research done at EDHEC-Risk Institute. I discussed the programme’s structure and faculty with my finance professors and with colleagues who are at the forefront of research in finance. I downloaded and read papers by EDHEC-Risk Institute as well. I was convinced that the programme was what I had been looking for: a comprehensive, rigorous doctoral programme taught by best-in-the-field faculty at a top institution. I am very happy that I made the decision to apply and consider myself fortunate to have been selected in the inaugural class.

What were your expectations vis-à-vis the PhD in Finance?

I was attracted to the programme by its emphasis on asset pricing theory and on recent developments in allocation models, portfolio construction, and risk management techniques. I must say that the programme exceeded my expectations in all these areas. As it is a three-year programme, I was a bit apprehensive about the depth of coverage of the course material. The first residential week put this apprehension to rest. This is an intense programme that requires participants to fulfil all the requirements of traditional doctoral programmes. We are expected to do this at an accelerated pace given our exposure to asset management/investment banking and understanding of financial markets.

What do you think about the block-week format?

I like block weeks. This is probably the most effective format for busy professionals: not having to do context switching for a week between work and study is the best way for an executive to focus on the course material. All of us in the programme have had a lot of experience working on global project teams so we can easily keep the momentum going between the visits to the campus with email, by phone, and with Skype. The video recordings are also a great help in reviewing any particular section that one found difficult to grasp during the residential week.

What is your experience of the class?

The diversity of the class—whether by age, work experience, field of academic study, geographic location, or future plans—is incredible. The admissions office should be commended for attracting such a talented and motivated group of individuals to the programme. Most of my classmates are highly experienced in providing wide-ranging investment solutions in various financial markets. They bring unique perspectives formed over years of interacting with investors. I value interaction with my classmates during residential weeks as much as course material and classes. It is no secret that financial markets in 2008 and 2009 demanded unprecedented attention from people working in the industry; that we as a class are still able to accommodate the demands of such a rigorous programme in our schedule speaks volumes about the quality of participants.

You are halfway through the second year of the programme; what is your experience with the elective courses?

The elective courses are taking core courses a step further by introducing us to the frontier of research. Once we started taking electives, we realised both the vastness and relevance of the material that we had covered in the first year and everything came together nicely.

To date I have taken four electives: Dynamic Asset Allocation Decisions with Lionel Martellini, Recent Developments in Dynamic Asset Allocation and Macro- Finance with Pietro Veronesi, Volatility Modelling with Tim Bollerslev, and Monte-Carlo Methods in Finance with Rama Cont. I am registered to take Behavioural Finance with Harrison Hong later this year. The selection of elective courses and the line-up of instructors for next year are very impressive as well. Although I will have met my course requirements for the degree, I will be attending many of the electives given in 2010/2011, as will many of us in the class.

Who would you recommend the programme to?

The EDHEC-Risk Institute doctoral programme is designed for finance professionals who have a genuine thirst for knowledge and want to learn about state-of-the-art research in the various areas of finance. The programme’s unique structure allows you to hone your quantitative and researching skills in an academic setting while still being able to stay close to the markets in your day job. I would recommend this programme to any finance professional who is looking for a fast-tracked journey to explore new frontiers in the field.

What will you be working on in your dissertation?

I have always been interested in multi-period asset allocation models, especially in the context of retirement solutions. Many pension plans have been moving from defined benefits to defined contributions, a move that has made target-date funds one of the key components in retirement investing. I plan to study the impact of volatility and equity risk premia in intertemporal asset allocation in a life-cycle context. The elective courses with Pietro Veronesi, Lionel Martellini, and Tim Bollerslev have, in this respect, helped me immensely.

Do you have advice for students or prospective students?

It goes without saying that it is a very challenging programme, as one would expect a comprehensive PhD programme to be. One should be prepared to spend a lot of time reading relevant research papers on topics covered in the class, so it is advisable to think through ways to accommodate the demands of the programme in your day. And, if it has been a while since you used calculus and statistics, I would surely recommend a review before coming to Nice.