"The mechanics of the job are different, there are different rules, and different ways of approaching the same goals of achieving risk-adjusted returns under certain constraints," Schillhorn said. "I came to manage a global fund that is exposed to many different asset classes. Where it's located, be it an asset management company or a pension fund, is not the primary focus."
Schillhorn, who joined Cook County in June, is the second recent public pension fund CIO hire who has not come from a public pension fund background. Gaurav Patankar in July joined $1.1 billion Merced County (Calif.) Employees' Retirement Association as its first chief investment officer. Patankar had previously been at Bloomberg, where he built out research for alternatives, and emerging markets managers and strategies.
At least on the local level, public pension fund CIOs have typically come from other public pension funds. Fernando Vinzons, the man Schillhorn replaced at Cook County, is one recent example. He left to become the CIO of the $11.9 billion Chicago Public School Teachers' & Retirement Fund. There, he replaced Angela Miller-May, who had left to become CIO of the $51.8 billion Illinois Municipal Retirement Fund, Oak Brook.
Schillhorn's priorities are to build out a small investment staff beginning with a "quant-savvy investment analyst," to build out private assets and to build out some quantitative underpinnings for manager selection.
The pension fund recently issued an RFP for infrastructure managers, a search approved by the board before Schillhorn's arrival, prompted by the pension fund's improving funding ratio.
One of Schillhorn's overall goals is to "concentrate more on adequately comparing public to private markets."
"Liquidity is one constant, so I have to choose wisely where I put my illiquid assets," Schillhorn said.
The pension funds are the $12.7 billion Cook County Employees' and Officers' Annuity & Benefit Fund and the $196 million Cook County Forest Preserve District Employees' Annuity & Benefit Fund.