Presenter’s Bios
Sudheer Chava, Georgia Tech Schooler College of Business
Sudheer Chava is the Alton M. Costley Chair and Director of the Quantitative & Computation Finance (QFC) program at Georgia Tech Schooler College of Business. He received his Ph.D. from Cornell University in 2003. Prior to that he has an MBA degree from Indian Institute of Management – Bangalore and worked as a fixed income analyst at a leading investment bank in India. He has held academic positions at University of Houston and Texas A&M University before joining Georgia Tech in 2010.
Dr. Chava has taught a variety of courses at the undergraduate and master’s level including Derivatives, Risk Management, Valuation, Cases in Financial Crisis and Credit Risk Analysis. He has also taught both theoretical and empirical finance courses at the doctoral level.
Dr. Chava’s research interests are in Credit Risk, Banking and Corporate Finance. He has published extensively in all the top journals in Finance including Journal of Finance, Journal of Financial Economics, and Review of Financial Studies. His research has won a Ross award for the best paper published in Finance Research Letters in 2008, was a finalist for Brattle Prize for the best paper published in Journal of Finance in 2008 and was nominated for the Goldman Sachs award for the best paper for published in Review of Finance during 2004. Dr. Chava is the recipient of multiple external research grants such as FDIC-CFR Fellowship, Morgan Stanley Research grant and Financial Service Exchange Research grant. His papers have been presented at numerous finance conferences such as AFA, WFA, EFA, FDIC and Federal Reserve Banks and at many universities in the U.S. and abroad.
Elroy Dimson, Cambridge Judge Business School
Elroy Dimson chairs the Centre for Endowment Asset Management at Cambridge Judge Business School. His research is on long-horizon and sustainable investment and his books, with Paul Marsh and Mike Staunton, include Triumph of the Optimists and the Global Investment Returns Yearbook 2021. Recent papers address coordinated engagements (SSRN 2021), endowment strategy (Financial Analysts Journal 2020), art investment (Review of Asset Pricing Studies 2020), ESG ratings (Journal of Portfolio Management 2020), exclusionary screening (Journal of ESG Investing 2020) and fossil-fuel divestment (Journal of Investing 2020). Dimson chairs the Advisory and Policy Boards of FTSE Russell, the Review Board of the CFA Institute, and the Investment Committee of Caius College, Cambridge. Previously he chaired the Strategy Council of Norway’s sovereign wealth fund. He is a Fellow of CFA UK, the Institute & Faculty of Actuaries, the Royal Historical Society, the Risk Institute at Ohio State, and Gonville & Caius College, Cambridge.
Robert Engle, New York University Stern School of Business
Robert Engle, the Michael Armellino Professor of Finance at New York University Stern School of Business, was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. Professor Engle shared the prize with Clive W. J. Granger of the University of California at San Diego.
Professor Engle is an expert in time series analysis with a long-standing interest in the analysis of financial markets. His ARCH model and its generalizations have become indispensable tools not only for researchers, but also for analysts of financial markets, who use them in asset pricing and in evaluating portfolio risk. His research has also produced such innovative statistical methods as cointegration, common features, autoregressive conditional duration (ACD), CAViaR and now dynamic conditional correlation (DCC) models.
He is currently the Co-Director of the NYU Stern Volatility and Risk Institute and is the Co-Founding President of the Society for Financial Econometrics (SoFiE), a global non-profit organization housed at NYU. Before joining NYU Stern in 2000, Professor Engle was Chancellor’s Associates Professor and Economics Department Chair at the University of California, San Diego, and Associate Professor of Economics at the Massachusetts Institute of Technology.
He received his bachelor of science in physics from Williams College and his master of science in physics and doctor of philosophy in economics from Cornell University. Born in Syracuse, NY, he grew up in Media, Pennsylvania, spent 25 years in San Diego, and now lives in New York.
Stephen M. Horan, UNC Wilmington
Stephen M. Horan, Ph.D., CFA, CIPM, CAIA, is an Associate Professor of Finance at UNC Wilmington. Immediately prior to joining the faculty, he was a Managing Director at CFA Institute, the global professional association of nearly 200,000 investment management professionals, where he led the Credentialing Division during which time CFA Program registrations increased 70% to over 350,000 examinations annually in more than 140 countries and across nearly 200 test centers. He also led the Professional Learning division, responsible for delivering to members a world-class post-charter learning experience that allows CFA Institute members to be the best professionals they can be. Prior to joining CFA Institute. Dr. Horan was a full professor of finance at St. Bonaventure University. His diverse, practice-oriented, and award-winning scholarship includes dozens of peer-reviewed publications focusing on diverse areas from investment management to university administration, most of which has been reprinted, summarized, or covered in media. His articles have appeared in peer-reviewed journals, such as the Financial Analysts Journal, Harvard Business Review Latin America, Journal of Financial Research, Journal of Wealth Management, and Financial Services Review. He has received several research awards, including the coveted Graham and Dodd Reader’s Choice Award, and six research grants. He has also authored several books, including Strategic Value Investing, which has been on Warren Buffet’s recommended reading list five years in a row. Dr. Horan currently serves on the editorial boards of the Journal of Wealth Management and the Journal of Impact and ESG. Dr. Horan earned a Ph.D. in Finance at the State University of New York/Buffalo and a BBA degree in Finance at St. Bonaventure University.
Bob Litterman, Kepos Capital
Bob Litterman is the Chairman of the Risk Committee and a founding partner of Kepos Capital. Prior to joining Kepos Capital in 2010, Bob enjoyed a 23-year career at Goldman, Sachs & Co., where he served in research, risk management, investments and thought leadership roles. He oversaw the Quantitative Investment Strategies Group in the Asset Management division. While at Goldman, Bob also spent six years as one of three external advisors to Singapore’s Government Investment Corporation (GIC). Bob was named a partner of Goldman Sachs in 1994 and became head of the firm-wide risk function; prior to that role, he was co-head of the Fixed Income Research and Model Development Group with Fischer Black. During his tenure at Goldman, Bob researched and 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 books including The Practice of Risk Management and Modern Investment Management: An Equilibrium Approach (Wiley & Co.). Bob earned a Ph.D. in Economics from the University of Minnesota and a B.S. in Human Biology from Stanford University. He was inducted into Risk magazine’s Risk Management Hall of Fame and named the 2013 Risk Manager of the Year by the Global Association of Risk Professionals. In 2012, he was the inaugural recipient of the S. Donald Sussman Fellowship at MIT’s Sloan School of Management. In 2008, Bob received the Nicholas Molodovsky Award from the CFA Institute Board as well as the International Association of Financial Engineers/SunGard Financial Engineer of the Year Award. Bob serves on a number of boards, including Commonfund, where he was elected Chair in 2014, Options Clearing Corporation, Resources for the Future, Robert Wood Johnson Foundation, World Wildlife Fund and the Sloan Foundation. He is also currently serving as the chair of the CFTC Climate-Related Market Risk Subcommittee.
Andrew W. Lo, MIT Sloan School of Management
Andrew W. Lo is the Charles E. and Susan T. Harris Professor at the MIT Sloan School of Management, director of the MIT Laboratory for Financial Engineering, a principal investigator at the MIT Computer Science and Artificial Intelligence Laboratory, and an affiliated faculty member of the MIT Department of Electrical Engineering and Computer Science. He is also an external faculty member of the Santa Fe Institute and a research associate of the National Bureau of Economic Research.
He has published numerous articles in finance and economics journals (see http://alo.mit.edu), and has authored several books including Adaptive Markets: Financial Evolution at the Speed of Thought, The Econometrics of Financial Markets, A Non-Random Walk Down Wall Street, Hedge Funds: An Analytic Perspective, and The Evolution of Technical Analysis. He is currently co-editor of the Annual Review of Financial Economics and advisor to the Journal of Investment Management and the Journal of Portfolio Management.
Lo’s current research spans five areas: evolutionary models of investor behavior and adaptive markets, systemic risk and financial regulation, quantitative models of financial markets, financial applications of machine-learning techniques and secure multi-party computation, and healthcare finance. Recent projects include: deriving risk aversion, loss aversion, probability matching, and other behaviors as emergent properties of evolution in stochastic environments; constructing new measures of systemic risk and comparing them across time and systemic events; applying spectral analysis to investment strategies to decompose returns into fundamental frequencies; and developing new statistical tools for predicting clinical trial outcomes, incorporating patient preferences into the drug approval process, and accelerating biomedical innovation via novel financing structures.
His awards include Batterymarch, Guggenheim, and Sloan Fellowships; the Paul A. Samuelson Award; the Eugene Fama Prize; the IAFE-SunGard Financial Engineer of the Year; the Global Association of Risk Professionals Risk Manager of the Year; the Harry M. Markowitz Award; the Managed Futures Pinnacle Achievement Award; one of TIME’s “100 most influential people in the world”; and awards for teaching excellence from both Wharton and MIT. His book Adaptive Markets has also received a number of awards, listed here. He is a Fellow of Academia Sinica; the American Academy of Arts and Sciences; the Econometric Society; and the Society of Financial Econometrics.
Lo received a B.A. in economics from Yale University in 1980 and an A.M. and Ph.D. in economics from Harvard University in 1984. From 1984 to 1988, he was an assistant and associate professor of finance at the University of Pennsylvania’s Wharton School. He has been at MIT since 1988.
Carsten Rother, Invesco
Carsten is a Research Analyst at Invesco Quantitative Strategies and a member of the Research Coordination Committee, contributing to the evolution of multi-factor models in equities and across asset classes. His current research focuses on portfolio construction and optimization in the context of ESG investing, resonating with his ongoing doctoral studies at the University of Hamburg. Carsten is a frequent speaker at academic and industry conferences and his work has been published in relevant outlets, including the Financial Analysts Journal, the Journal of Portfolio Management and the Journal of Fixed Income. He joined Invesco in 2014, holding a Master of Science in Finance from the Frankfurt School of Finance & Management and a Bachelor degree in Economics from University of Erfurt.
Discussants
Jennifer Bender, State Street Global Advisors
Jennifer Bender, Ph.D., is a Senior Managing Director at State Street Global Advisors and Director of Research for the Global Equity Beta Solutions team. In this role, she is responsible for leading the research at SSGA across key areas of index investing. These research areas include core beta, smart beta, ESG and thematic investing. Jenn joined SSGA in 2014 and since then, has been responsible for promoting the thought leadership of SSGA’s indexing capabilities. Previously, Jenn was a Vice President in the Index and Analytics Research teams at MSCI. She began her career as an economist at DRI in 1996 and has held research roles at State Street Associates and Harvard University. Jenn holds MS and PhD degrees in Economics from Brandeis University. Her work has been published extensively in industry-leading journals and books such as the Institutional Investor Journals and Wiley Finance Series. She is on the editorial boards for The Journal of Portfolio Management, The Journal of Systematic Investing, The Journal of Index Investing, and The Journal of Impact and ESG Investing.
Mike Chen, Agora Asset Management
Dr. Chen is the Head of Sustainable Investments for PanAgora Asset Management. In this role he is responsible for leading the development of PanAgora’s sustainability strategies, including ESG alpha research, portfolio management of dedicated sustainable investment strategies, and model and product development. He is also responsible for novel ML alpha research and model development in the Dynamic team and across the wider Equity group, and daily management of firm’s Dynamic portfolios. Dr. Chen’s research interests are in the areas of ESG, machine learning, and alternative datasets. In this capacity, Dr. Chen developed a novel ESG portfolio construction framework for which patent has been filed. Previously, he was a portfolio manager at PanAgora’s Stock Selector team.
Prior to joining PanAgora, Dr. Chen was a Portfolio Manager at BlackRock’s Scientific Active Equity (SAE) team, where his responsibilities include portfolio management and research into alpha insights for use across the entire SAE platform. While at SAE, Dr. Chen won “Signal of the Year” award for an alternative data signal he researched and developed. Prior to BlackRock, Dr. Chen worked at Google where he was a member of the team that managed Google’s fixed income investment portfolio. Dr. Chen started his career at Morgan Stanley in New York where he traded exotic US rates derivatives. While at Morgan Stanley, Dr. Chen researched, developed and patented a framework that allowed for pricing of derivatives based on two rate curves with dynamic multiplicative spread, one of the first such models on the street.
Dr. Chen graduated from the University of Illinois in 2005 with a Ph.D. in Electrical and Computer Engineering and has 16 years of financial industry experience. He has published in leading engineering, applied mathematics, and finance practitioner journals, and had been invited to talk at numerous academic and industry conferences, and media outlets.
Divya Mankikar, S&P Global
Divya Mankikar is Global Head of ESG Market Engagement. She brings over 15 years of sustainable investment experience to S&P Global Sustainable1. She is responsible for leading Sustainable1’s efforts to engage on ESG with policy makers, regulators, standard setters, multi-lateral agencies, trade bodies and key market participants.
She joined us from CalPERS as Head of Sustainable Investment and Climate Strategy in the office of the CEO. Divya is a co-founder of Climate Action 100+ – a global initiative supported by investors representing over $54 trillion that seeks a low-carbon transition through collaborative engagement of systemically important carbon emitters. She holds a BA/MA from Boston University in Energy and Environmental Analysis, an International MBA in finance from IE Business School in Madrid, and an MA in Law and Diplomacy focused on business and human rights law from Tufts University’s Fletcher School.
Alison Li, CalPERS
Alison Li is an Investment Manager of Strategic & Active Strategies within Research & Strategy Group in CalPERS, responsible for the development and implementation of strategic asset allocation targets with the CalPERS Board and active investment strategies. Prior to joining CalPERS, Alison worked in Quantitative Equity Selection strategies for Mellon Capital Management Corp. and Symphony Asset Management, LLC in San Francisco. Alison earned her Ph.D. in Accounting from the University of California, Berkeley’s Haas School of Business, her M.A. in Economics from the University of Southern California and her B.A. from Renmin University of China in Beijing, China. Alison is a CFA charter-holder and a member of CFA Society, Sacramento.
Lukasz Pomorski, AQR Capital Management / Yale School of Management
Lukasz Pomorski is the Head of ESG Research and a Managing Director at AQR Capital Management. He is responsible for the planning and oversight of the firm’s responsible investment research efforts across all asset classes. Lukasz frequently publishes on ESG topics, serves on industry committees and speaks at conferences globally. He is a member of the United Nations Principles for Responsible Investment Hedge Fund Advisory Committee and was previously the chair of UN PRI’s Equity Hedge Fund Working Group. Prior to AQR, Lukasz was an Assistant Director for Research at the Bank of Canada and an Assistant Professor of Finance at the University of Toronto. Lukasz earned a B.A. and M.A. in economics at the Warsaw School of Economics, an M.A. in finance at Tilburg University, and a Ph.D. in finance at the University of Chicago.
Jay Raol, Invesco
Jay Raol is the Head of Fixed Income Factors within the Systematic and Factor Investing Group. His team researches and manages systematic and factor based strategies in global fixed income and currency markets. Previously, he was Director of Quantitative Research within Invesco Fixed Income with responsibilities in quantitative macroeconomic strategy, portfolio construction and risk management. He has been in the industry since 2010. Dr. Raol earned a BA degree and a PhD in computational and applied mathematics from Rice University in Houston, Texas.