The MIT Sloan School of Management recently announced that Dr. Robert Litterman, chairman of risk management at Kepos Capital, was named the inaugural recipient of the S. Donald Sussman Fellowship. Awarded to individuals or groups who best exemplify Donald Sussman’s career as a successful investor in quantitative investment strategies and models, Litterman was selected for his outstanding analytic contributions to the financial services industry.
“I’m delighted to bestow this Fellowship on Dr. Litterman,” says MIT Sloan Dean David Schmittlein. “In the wake of the financial crisis, it’s more important than ever to recognize individuals and groups who exemplify best practices in this area. Dr. Litterman sets a high standard for future recipients of this Fellowship.”
Prof. Andrew Lo, director of MIT Sloan’s Laboratory for Financial Engineering, agreed. “The MIT Sloan Finance Group is delighted with this choice; Bob Litterman has been a thought leader in many areas of investment management and financial engineering, and is also a first-rate practitioner.”
Litterman recently retired from a 23-year career at Goldman, Sachs & Co. where he was named partner in 1994 and oversaw the Quantitative Investment Strategies Group and Global Investment Strategies. In an earlier role at Goldman, he was co-head of the Fixed Income Research and Model Development Group with former MIT Professor Fischer Black.
During his tenure at Goldman, Litterman published a number of groundbreaking papers in asset allocation and risk management. He is the co-developer of the Black-Litterman Global Asset Allocation Model, a key tool in investment management, and has co-authored several books including The Practice of Risk Management and Modern Investment Management: An Equilibrium Approach. Earning his Ph.D. in Economics from the University of Minnesota, he also holds a B.S. in Human Biology from Stanford University. Litterman serves on several boards including Commonfund, the Alfred P. Sloan Foundation, and the World Wildlife Fund.
Sussman Fellows receive a $100,000 cash prize and share their insights on quantitative finance and the financial industry through three public lectures to be delivered at MIT Sloan during the year of the award. The first public lecture is set for September 20, 2012.
The Fellowship is named after S. Donald Sussman. Sussman has worked in alternative investments for more than 30 years and manages funds that focus on both quantitative and fundamental strategies. He is the founder of Trust Asset Management, the Paloma Funds, and New China Capital Management LLC. He was the recipient of Institutional Investor’s Alternative Investment News Lifetime Achievement Award in 2004. Sussman is a member of the Board of Trustees and Executive Committee, and co-chair of the Investment Committee of Carnegie Hall. He attended Columbia College and received a B.S. and an MBA from New York University.