Talk about lifestyle change. Eileen Murray went from managing 14,000 people and running global operations and technology for Morgan Stanley to a startup investment advisor in Greenwich. But for Murray, it's much more about changing the kind of influence she can wield.

"It's about putting intellectual capital behind the problems we have in pension funds, to make sure that pensioners get their money," she says. "That excites me." Murray grew up one of nine children on the hardscrabble courts of Dyckman Houses in Washington Heights, New York. It's not this background that moves her. (She makes fun: "a poor girl who did OK. Oh! Get over yourself! My parents and siblings were great.") It is that her mom used to work for AT&T. And you know what happened to that pension promise.

Duff Capital is run by the Phil Duff, the former COO of Tiger Management who co-founded the $9 billion hedge fund FrontPoint Partners in 2001 and sold it to Morgan Stanley in 2006. Duff had been in touch with Murray from time to time over the years, sounding her out for possible work, and when Murray left Morgan last fall the opportunity was waiting. Duff Capital launched in March with $500 million in equity capital. At the same time it snapped up the assets and intellectual property of Azimuth Asset Management: basically, a suite of risk analytics called FatCat (for Fat-Tailed Catastrophic Risk and Asset Allocation System). Murray's been charged with building out the firm and has done so with gusto. Two investment teams recently joined Duff and linked up with a handful of senior executives (including former Morgan managing director Perry Poulos and former Morgan CIO Shelley Leibowitz). The investment teams are focused on utilities and merchant power, run by Vidula Murti, and financial services, by Morid Kamshad.

Duff himself has outlined the plan as working with pension funds, insurance companies and endowments to integrate investment strategies and proprietary risk management and asset allocation tools. "Organizations with long-term liabilities are finding it increasingly difficult to close their asset/liability gaps given lower return expectations," Duff said in hanging out the firm's shingle. Murray puts it more simply. "I come from nothing. You have to know what you own, and what you owe," she says. "We want to help people manage their risk, and help them understand not just what they own, but what they owe."

And to make some money along the way. "I don't need anyone to get my coffee in the morning. I was never into that," she says with a laugh. "But we're not the church."

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