“I was at Goldman before, and Bob Litterman always said whoever invents a factor-timing model that works is going to get a Nobel prize for it,” says Michael Gruener, co-head of sales in Europe, the Middle East and Africa (Emea) for BlackRock’s iShares. Litterman – the co-inventor of the Black-Litterman asset allocation model – was then Goldman Sachs’ most senior quant.
A Nobel prize for smart beta may not be as surprising as Greuner makes it sound. Eugene Fama won the Nobel in economics in part
The week on Risk.net, May 12-18, 2018Receive this by email