The race to find a factor-timing model that works

BlackRock, Man AHL, Research Affiliates and UBS believe they can successfully time risk premia

“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

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