"I do not like black box investments because, to me, the way you usually get yourself in trouble is not understanding what you're investing in." - Waymond Harris

On this episode of Against Consensus, host Angelo Calvello, PhD, co-founder of Blue Diamond Asset Management and Rosetta Analytics, sits down with Waymond Harris, CFA, Senior Vice President and Treasurer of Blue Cross Blue Shield of Michigan and President of Bricktown Capital. Waymond makes the case for internal asset management, traces Bricktown Capital's origin as a registered investment advisor, and explains how liquidity, capital preservation, and statutory surplus requirements shape every decision at a nonprofit mutual insurer. He also shares where AI is earning trust on his desk — and why black-box strategies still give him pause.

Waymond Harris, CFA, is Senior Vice President and Treasurer of Blue Cross Blue Shield of Michigan and President of Bricktown Capital, where he leads investment management, cash management, and treasury operations across the enterprise. Before joining BCBSM in 2012, he spent a decade on Wall Street in sales and trading, equity research, and asset management. A former Army officer, Waymond holds a B.S. in Engineering Management from the United States Military Academy and an MBA from MIT's Sloan School of Management. He serves as Treasurer and Board Member of The Heat and Warmth Fund, a Michigan energy-assistance nonprofit.

In This Episode:

(00:00) Waymond Harris - rapid-fire warm-up

(04:29) The case for managing assets internally instead of outsourcing

(08:23) Building, structuring, and retaining Bricktown Capital's investment team

(12:41) Bricktown Capital's origin as a registered investment advisor

(15:03) Decision-making culture across the investment team

(17:37) Capital preservation, liquidity, and running a business-first portfolio

(21:56) AI in research, workflow automation, and employee adoption

(28:04) Board education, black-box AI skepticism, and an AI wishlist

(32:31) The classic worst-pitch story and closing thoughts

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Dr. Angelo Calvello is a serial innovator and co-founder of multiple investment firms, including Rosetta Analytics and Blue Diamond Asset Management. He leverages his extensive professional network and reputation for authentic thought leadership to curate conversations with genuinely innovative allocators and thinkers.

As the "Dissident" columnist for Institutional Investor and former "Doctor Is In" columnist for Chief Investment Officer (winner of the 2016 Jesse H. Neal Award), Calvello has become a leading voice challenging conventional investment wisdom.

Beyond his professional pursuits, Calvello serves as Chairman of the Maryland State Retirement and Pension System's Climate Advisory Panel, Chairman of the Board of Outreach with Lacrosse and Schools (OWLS Lacrosse), a nonprofit organization creating opportunities for at-risk youths in Chicago, and trustee for a Chicago-area police pension fund. His career-long focus on leveraging innovation to deliver superior client outcomes makes him the ideal host for cutting-edge institutional investing conversations.

Resources:

Blue Cross Blue Shield of Michigan — https://www.bcbsm.com

Bricktown Capital — https://www.bricktowncapital.com

The Heat and Warmth Fund (THAW) — https://thawfund.org

United States Military Academy (West Point) — https://www.westpoint.edu

MIT Sloan School of Management —