How can CIOs at major retirement systems managing over $100B in AUM focus on innovation, dodge significant drawdowns, and avoid looking in the proverbial 'couch cushion' for portfolio liquidity? In our latest Improving Alpha podcast, we welcome Andrew Junkin, CIO of the Virginia Retirement System (VRS) to highlight how he and his team view risk, exposure, and blending human elements with automation. More below.
Michael Oliver Weinberg, co-founder, Improving Alpha Podcast Series
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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?Andrew Junkin serves as the Chief Investment Officer of the Virginia Retirement System where he manages and oversees the investment program for the fund, valued at more than $100 billion. The fund serves approximately 773,000 active members, retirees and beneficiaries. VRS covers teachers, state employees and most employees of the Commonwealth’s counties, cities, towns and political subdivisions.
Previously, Junkin served as the Chief Investment Officer for the State of Rhode Island’s pension plan, defined contribution and 529 plans, as well as cash and operating funds and debt management program.
Prior to his public fund experience with Rhode Island, he worked at Wilshire Associates in California and Colorado, where he served in various capacities, including Managing Director and President from 2015 to 2020. During his tenure, Junkin also served as the Lead Consultant for a $400 billion pension plan and was responsible for driving overall strategy, asset allocation, risk management, implementation and sourcing new strategies.
From 1995 to 2005, Junkin was the President of Asset Services Company in Oklahoma City, Oklahoma where he served as Lead Consultant for family office and foundation clients.
Junkin holds a Master of Business Administration from the Wharton School and a bachelor’s degree in Business from Oklahoma City University.
About Our Host: Michael Oliver Weinberg, CFA
For three decades Michael has invested directly at the security level and indirectly as an asset allocator in traditional and alternative asset classes. Most recently he was a Managing Director, Head of Alternative Alpha, on the Investment Committee, and a board member at APG, a Dutch pension provider. Previously he was the Chief Investment Officer at MOV37 and Protege Partners. Michael is also an Adjunct Professor of Economics and Finance at Columbia Business School, where he teaches Institutional Investing, an advanced MBA course that he created.
Michael is a published author, having written for The New York Times, international investment books, and other publications. Michael has been interviewed by the Wall Street Journal, Financial Times, CNBC, Bloomberg and Reuters. He is a frequent panelist, moderator and lecturer for investment banks, institutional and family office organizations, and business schools.
The information covered and posted represents the views and opinions of the guest and does not necessarily represent the views or opinions of Vidrio Financial, and/or our host, Michael Oliver Weinberg. The Content has been made available for informational and educational purposes only. The Content is not intended to be a substitute for professional investing advice. Always seek the advice of your financial advisor or other qualified financial service provider with any questions you may have regarding your investment planning.