UCLA Anderson’s MFE Prepared Cryptocurrency Expert for a Capital Career

After Sarah Schroeder (MFE ’15) earned her Master of Financial Engineering from UCLA Anderson School of Management, she was celebrating with friends and family at the commencement ceremony when her career-path took an unexpected detour.

Schroeder had a job offer from Goldman Sachs that she was excited about “because a research role at Goldman is every MFE’s dream,” she says.

But while she was enjoying the happy occasion with classmates and professors, her grandmother happened to fall into conversation with the commencement speaker, Michael Mendelson, a principal at AQR Capital Management. And, as all doting grandmothers are wont to do, she bragged to him about Sarah’s accomplishments.

When Schroeder joined the conversation and was introduced to Mendelson, he insisted that she interview with AQR before deciding whether to accept the offer sheet from Goldman Sachs. She flew to AQR headquarters in Greenwich, Connecticut, where she was impressed by the caliber of people on the AQR team. “It became a last-minute career change,” she says.

Her conclusion: “Grandmothers remain undefeated.”

While Schroeder’s path to AQR may have been serendipitous, her journey to Westwood and UCLA Anderson’s MFE program began at the University of California, San Diego, where she earned a bachelor’s degree in economics, with studies focused on statistics, econometrics and quantitative methodology. She graduated in 2009 and landed a quantitative research position at San Diego-based Quant Economics, a consulting firm that utilizes quant models to value intellectual property portfolios, including those related to patents within semiconductor technology.

She enjoyed the “variety in the work” and the “exposure to different industries and projects,” but after six years as a consultant, Schroeder felt that the best way to advance her career was to enroll in graduate school. She contemplated studying for a doctorate in economics, but instead decided to use the opportunity as “a way to formalize my education in finance and in computer science, because those were the two areas that resonated so strongly with me,” she says. “I wanted to follow my interests because, ultimately, all of us are going to spend an inordinate amount of time on our careers. You may as well enjoy it and be interested in what you’re doing.”

In search of a place that blended her two primary interests, she found UCLA Anderson’s MFE program to be the perfect fit. With topics of study ranging from financial accounting and econometrics to data science and quant asset management, the program provides foundational knowledge in equities, options, derivatives markets, corporate finance, fixed income markets and financial risk management, among others.

“I was coming in with some professional experience, as compared to someone coming straight out of college, and I really wanted a program that reflected that,” she says. “The fact that UCLA’s MFE program was housed within Anderson and shared faculty and coursework with the finance Ph.D. programs — that was a major selling point.”

So, too, were the faculty and staff who prodded her along the way. “I adored the class with Ivo Welch,” she says, “because I thought he had an incredible ability to communicate enthusiasm and was so willing to cultivate talent in his students. And to have Francis Longstaff teach the fixed-income class was amazing.

“The empirical methods coursework taught me some of the most helpful, practical applied information that has really stuck with me throughout my career,” she says. “Studying numerical methods for finance was a real indication of how much my interest in computer science led me to UCLA. That reaffirmed my certainty that the MFE program was the right place for me to be. The depth of learning and the number of technical skills were so valuable.”

The rigor of the 15-month program, and the daily experience of “learning from faculty that had incredibly high expectations,” provided an “important base for me to build on and prepared me for the professional life to come.”

Moving cross-country to work for AQR required major adjustments for the California native; she had to sacrifice certain elements of her West Coast lifestyle, including far fewer opportunities to surf. But Schroeder was excited to live in New York City — “the center of finance in the country, if not the world” — and she relished joining AQR’s commodity team.

Schroeder found that she enjoyed conducting quant research in the niche market of commodities, describing it as “an incredibly interesting asset class because, unlike major financial and macro markets, commodity markets exhibit very specific and idiosyncratic behavior. They are often hyper-regional, with real supply-and-demand considerations that are susceptible to unique movements and patterns of behavior.”

At AQR, she researched quantitative investment strategies using statistical and econometric techniques and developed bespoke portfolios for clients. She wrote code to support the team’s research efforts and analyzed large data sets using Python programming language. Meanwhile, as portfolio manager for AQR’s Alternative Trends Strategy, focused primarily on esoteric derivative markets and Chicago Mercantile Exchange futures contracts, she managed some $7 billion in assets and was responsible for raising over $300 million in assets.

“My whole objective as a portfolio manager is to build investment strategies that are designed based on probabilistic outcome,” she says. “I am interested in ideas that work most of the time or, if it’s an idea that works occasionally, I want that idea to reward me handsomely when it works well, and have minimal losses when it’s not working so well.”

In building her AQR portfolio around niche and alternative markets, Schroeder soon delved into the nascent landscape of cryptocurrency. Cryptocurrency’s volatility initially scared off many investors, but once Schroeder studied it as an investment tool, she found much to admire, risk notwithstanding. “The more I learned, the more it seemed inevitable to me that the technology that underpins bitcoin and Ethereum — this notion of a distributive technology — carries large implications for traditional financial markets,” she says. “I wanted to understand that as well as I possibly could.”

She discovered that one major challenge on the investment side is that cryptocurrency operates mechanically very differently from traditional markets. “Crypto is truly a global market that never closes,” Schroeder points out. “So, unlike U.S. equity firms that might trade on the New York Stock Exchange, where the market closes at 4:00 p.m. and on weekends and holidays, in crypto you have continuous price discovery. A bitcoin is a bitcoin, regardless of whether it’s traded or owned by someone in China or Brazil or Europe or any other place worldwide.”

On a practical level, Schroeder couldn’t use the same data systems and portfolio management systems that are typically used to track other asset classes. Because crypto never sleeps and is always exposed to market forces, “I had to create systems and tools to monitor my portfolio and the level of risk and exposure that I have, even when I am not on the desk to do those things for myself.”

Schroeder’s deep-dive analysis into cryptocurrency as an emerging asset class led her to consider different systematic strategies and the infrastructure to support them. She had more questions than answers and reached out to others in the industry. Among the handful of experts she consulted was the team at One River Asset Management, a hedge fund located in nearby Stamford, Connecticut, where they were developing One River Digital as a business subsidiary.

Her in-depth conversations with One River personnel led Schroeder to realize that it was time “to take a pivot and take some career risk,” she says. “I had been at AQR for six years. That was a wonderful length of time to learn from the folks there and build my professional credibility and build my skills and expertise.”

In April of 2022, she joined One River Digital as portfolio manager to develop hedge fund strategies in cryptocurrency. “We were interested in the same topics, and no one had the answers, but we were all very excited about this idea of working together to find those answers,” she says. “The team was just so compelling. It was a lovely meeting of the minds and made a ton of sense.”

Another factor was that the team at One River Digital, relative to the size of AQR, was quite small. “I think early in your career, especially coming right out of school, there is a huge advantage to going to a very large and established firm,” she says, “because you learn from the best in the business. That was my AQR experience. But once you’ve learned some of those lessons, I think there is big value in switching to a smaller firm because you can apply the skills you’ve learned and you can be a more strategic decision-maker.”

Shortly after Schroeder moved to One River Digital, cryptocurrency exchange platform Coinbase acquired the subsidiary, which is now Coinbase Asset Management. “We were building an asset management business focused on digital assets,” she says. “Coinbase saw this as quite orthogonal to the financial services and other experiences that it was already facilitating for its clients. Coinbase acquired One River Digital with the intent of preserving the team and leaving the focus of the business intact. So, it’s a change to corporate governance, but not a change to my day-to-day.”

Her growing expertise in the field, honed at both AQR and at One River Digital, led to Schroeder’s being recognized as one of the 50 Leading Women in Hedge Funds 2022 by The Hedge Fund Journal, which noted that Schroeder “onboarded Bitcoin and Ethereum futures to her AQR portfolio and subsequently moved to One River Digital to focus on systematic investing in digital assets. Schroeder recognizes the complexities involved with trading a 24/7 asset class with liquidity distributed across time and venues and is developing systems and strategies to capitalize on the digital asset opportunity set.”

Her inclusion among a group of high-achieving women upends the prevalent stereotype of the so-called “hedge fund bros” that tends to dominate headlines. “For better or worse, finance remains a very male-dominated world,” she says. “When folks find out I’m a woman from California who loves to surf — that does not match the common expectation for quantitative financial professionals. But here I am, nevertheless.

“Change is always slow and more laborious than we want it to be,” she continues. The underrepresentation of women is “very difficult to overturn because it’s a generational problem. You need a few trailblazing individuals to fight their way up the ranks. If young women coming into quant finance can’t see examples of women in partnership seats or in CIO roles, it’s hard to know what they’re striving for at the highest levels of business.”

Schroeder acknowledges that she also benefited “from having strong women in my family that are mathematically and scientifically minded. My mother studied computer science in the 1970s. That was unprecedented at the time, back when they used punch-card computers. That was a great example for me as a child — that it is entirely possible to succeed as a woman in this space.”

What keeps her going, Schroeder says, “is that I only wound up in this position because I followed my instincts. We spend so much of our lives doing our jobs and engaging in our career. If you’re not doing something that suits you individually, regardless of what the societal expectations are, you will forever be struggling.”

Her advice to aspiring MFE candidates is, “Be honest with yourself about what you want out of your education and about what your goals are, because going for an MFE is a huge time and financial investment. There is nothing easy about getting an MFE, but I’ve seen it pay dividends in my life. Pursuing higher education, especially with a heavy emphasis in the STEM fields, can serve you well.

“I so value my experience at UCLA,” she says. “It was incredibly challenging, but incredibly rewarding, and has created tremendous opportunities for me that would not otherwise have been presented.”

Watch Sarah Schroeder’s episode of The Derivative podcast