“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, December 2–8, 2017Receive this by email