As deputy CIO of the Kentucky Retirement Systems, Christopher Schelling is responsible for the absolute-return portfolio and helping to guide the $15.2 billion plan’s strategic direction, manager research and investment policies. Schelling, 38, joined the Frankfort, Kentucky–based pension plan in 2011, having previously been a consultant with Mercer Investment Consulting in Chicago. He grew up outside the Windy City and received an undergraduate degree from the University of Illinois at Urbana-Champaign before earning his MBA at the University of Illinois at Chicago and a master of science in financial markets from the Illinois Institute of Technology at Chicago. Kentucky has been quite a change — Schelling sees horses on his drive to work — but he was intrigued by the job’s potential. His first order of business has been building and diversifying KRS’s $1.5 billion hedge fund portfolio by moving toward direct investing. So far, Schelling has hired five managers, with an additional four recently approved; the goal is to invest directly in about 20 hedge funds. He also teaches a course in alternative investing at the University of Kentucky.