Rob Arnott, Research Affiliates
Rob Arnott is founder and chairman of the board of Research Affiliates. Rob plays an active role in the firm’s research, portfolio management, product innovation, business strategy, and client-facing activities. He is a member of the Investment Committee and the Executive Committee of the board. With Chris Brightman, he is co-portfolio manager on the PIMCO All Asset and All Asset All Authority funds and the PIMCO RAE™ funds.
Over his career, Rob has endeavored to bridge the worlds of academic theorists and financial markets, challenging conventional wisdom and searching for solutions that add value for investors. He has pioneered several unconventional portfolio strategies that are now widely applied, including tactical asset allocation, global tactical asset allocation, tax-advantaged equity management, and the Fundamental Index™ approach to investing. His success in doing so has resulted in a reputation as one of the world’s most provocative practitioners and respected financial analysts.
In 2002, Rob founded Research Affiliates as a research-intensive asset management firm intent on delivering innovative and impactful products and insights.
Prior to establishing Research Affiliates, Rob was chair of First Quadrant, LP, which he built up from the former internal money manager for Crum & Forster into a highly regarded quantitative asset management firm. He also was global equity strategist at Salomon Brothers (now part of Citigroup), the founding president and CEO of TSA Capital Management (now part of Analytic Investors, LLC), and a vice president at The Boston Company.
Rob has published more than 150 articles in such publications as the Journal of Portfolio Management, Harvard Business Review, and Financial Analysts Journal, for whom he served as editor in chief from 2002 through 2006. Rob has received eight Graham and Dodd Scrolls, which are awarded annually by CFA Institute to the top Financial Analysts Journal articles of the year. He also has received four Bernstein Fabozzi/Jacobs Levy awards from the Journal of Portfolio Management. He is co-author of The Fundamental Index: A Better Way to Invest (Wiley 2008).
Rob received a BS summa cum laude in economics, applied mathematics, and computer science from the University of California, Santa Barbara.
Sanjiv Das, Santa Clara University
Sanjiv Das is the William and Janice Terry Professor of Finance at Santa Clara University’s Leavey School of Business.
He previously held faculty appointments as Associate Professor at Harvard Business School and UC Berkeley. He holds post-graduate degrees in Finance (M.Phil and Ph.D. from New York University), Computer Science (M.S. from UC Berkeley), an MBA from the Indian Institute of Management, Ahmedabad, B.Com in Accounting and Economics (University of Bombay, Sydenham College), and is also a qualified Cost and Works Accountant. He is a senior editor of The Journal of Investment Management, co-editor of The Journal of Derivatives, and Associate Editor of other academic journals.
Prior to being an academic, he worked in the derivatives business in the Asia-Pacific region as a Vice-President at Citibank. His current research interests include: the modeling of default risk, machine learning, social networks, derivatives pricing models, portfolio theory, and venture capital. He has published over eighty articles in academic journals, and has won numerous awards for research and teaching. His recent book “Derivatives: Principles and Practice” was published in May 2010. He currently also serves as a Senior Fellow at the FDIC Center for Financial Research.
Robert Engle, New York University
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 CoFounding 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.
Bruce I. Jacobs, Jacobs Levy Equity Management
Bruce I. Jacobs, Principal, co-founded Jacobs Levy Equity Management in 1986. He is co-chief investment officer, portfolio manager, and co-director of research. Dr. Jacobs’s articles on equity management have appeared in the Financial Analysts Journal, Journal of Portfolio Management, Journal of Investing, Journal of Financial Perspectives, Japanese Security Analysts Journal, Operations Research, and Journal of Impact and ESG Investing. He has received several Graham and Dodd Awards from Financial Analysts Journal, a Bernstein Fabozzi/Jacobs Levy Award from the Journal of Portfolio Management, and an Outstanding Article Award from the Journal of Investing.
Dr. Jacobs is author of Too Smart for Our Own Good: Ingenious Investment Strategies, Illusions of Safety, and Market Crashes (McGraw-Hill) and Capital Ideas and Market Realities: Option Replication, Investor Behavior, and Stock Market Crashes (Blackwell). Dr. Jacobs is also co-author with Ken Levy of Equity Management: Quantitative Analysis for Stock Selection (McGraw-Hill and a Chinese translation) and Equity Management: The Art and Science of Modern Quantitative Investing, 2nd ed. (McGraw-Hill), co-editor with Ken Levy of Market Neutral Strategies (Wiley), and co-editor of The Bernstein Fabozzi/Jacobs Levy Awards: Five Years of Award-Winning Articles from The Journal of Portfolio Management, Volumes One through Four (Pageant Media). He was a featured contributor to How I Became a Quant: Insights from 25 of Wall Street’s Elite (Wiley). Dr. Jacobs has spoken at many forums, including the Jacobs Levy Equity Management Center for Quantitative Financial Research at the Wharton School, the Institute for Quantitative Research in Finance, Berkeley Program in Finance, CFA Institute, Rutgers University, Society of Quantitative Analysts, and New York Society of Security Analysts, and he has given a Financial Analysts Journal Media Seminar and presented at conferences for Goldman Sachs and Morgan Stanley.
Formerly he was First Vice President of the Prudential Insurance Company of America, where he served as Senior Managing Director of a quantitative equity management affiliate of the Prudential Asset Management Company and Managing Director of the Pension Asset Management Group. Prior to that, he was on the finance faculty of the University of Pennsylvania’s Wharton School and consulted to the Rand Corporation.
Dr. Jacobs has a B.A. from Columbia College, an M.S. in Operations Research and Computer Science from Columbia University’s School of Engineering and Applied Science, an M.S.I.A. from Carnegie Mellon University’s Graduate School of Industrial Administration, and an M.A. in Applied Economics and a Ph.D. in Finance from the Wharton School. He serves on the Advisory Boards of the Journal of Portfolio Management and the Journal of Financial Data Science, and is an Advisory Editor for the Journal of Impact and ESG Investing. He has served on the Financial Analysts Journal Advisory Council, and was an Associate Editor of the Journal of Trading. Dr. Jacobs also served on the Committee to Establish the National Institute of Finance and was a member of its successor, the Office of Financial Research Discussion Forum. He is Chair of the Advisory Board of the Jacobs Levy Equity Management Center for Quantitative Financial Research at the Wharton School, and helped create the new Quantitative Finance major at the Wharton School by establishing the Dr. Bruce I. Jacobs Professorship in Quantitative Finance and the Dr. Bruce I. Jacobs Scholars in Quantitative Finance.
Andrew W. Lo, MIT Sloan School of Management
Andrew W. Lo is the Charles E. and Susan T. Harris Professor, a Professor of Finance, and the Director of the Laboratory for Financial Engineering at the MIT Sloan School of Management.
Lo’s current research spans three areas: evolutionary models of investor behavior and adaptive markets, artificial intelligence and financial technology, and healthcare finance. Recent projects include: an evolutionary explanation for bias and discrimination and how to reduce their effects; a new analytical framework for measuring the impact of impact investing; the potential for large language models to provide trustworthy financial advice to retail investors; and new statistical tools for predicting clinical trial outcomes, incorporating patient preferences into the drug approval process, and accelerating biomedical innovation via novel business, financing, and payment models.
Lo has published extensively in academic journals (see http://alo.mit.edu) and his most recent book is Adaptive Markets: Financial Evolution at the Speed of Thought. 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 is also a principal investigator at the MIT Computer Science and Artificial Intelligence Laboratory, an affiliated faculty member of the MIT Department of Electrical Engineering and Computer Science, an external faculty member of the Santa Fe Institute, and a research associate of the National Bureau of Economic Research. He is a member of the New York Federal Reserve Board’s Financial Advisory Roundtable, FINRA’s Economic Advisory Committee, the National Academy of Sciences Board on Mathematical Sciences and Their Applications, Beth Israel Deaconess Medical Center’s Board of Overseers, and the boards of Roivant Sciences and the Whitehead Institute for Biomedical Research.
Lo holds a BA in economics from Yale University and an AM and PhD in economics from Harvard University.
Robert C. Merton, MIT Sloan School of Management
Robert C. Merton is the School of Management Distinguished Professor of Finance at MIT Sloan School of Management, and the John and Natty McArthur University Professor Emeritus at Harvard University.
He was the George Fisher Baker Professor of Business Administration (1988–98) and the John and Natty McArthur University Professor (1998–2010) at Harvard Business School. After receiving a PhD in Economics from MIT in 1970, Merton served on the finance faculty of MIT’s Sloan School of Management until 1988, at which time he was the J.C. Penney Professor of Management.
He is currently resident scientist at Dimensional Holdings, Inc., where he is the creator of Target Retirement Solution, a global integrated retirement-funding solution system.
Merton received the Alfred Nobel Memorial Prize in Economic Sciences in 1997 for a new method to determine the value of derivatives. He is past president of the American Finance Association, a member of the National Academy of Sciences, and a Fellow of the American Academy of Arts and Sciences.
Merton is the author of Continuous-Time Finance and a coauthor of Cases in Financial Engineering: Applied Studies of Financial Innovation; The Global Financial System: A Functional Perspective; Finance; and Financial Economics. He has also been recognized for translating finance science into practice.
Merton received the inaugural Financial Engineer of the Year Award from the International Association for Quantitative Finance (formerly the International Association of Financial Engineers), which also elected him a Senior Fellow. He received the 2011 CME Group Melamed-Arditti Innovation Award and the 2013 WFE Award for Excellence from World Federation of Exchanges. A Distinguished Fellow of the Institute for Quantitative Research in Finance (‘Q Group’) and a Fellow of the Financial Management Association, Merton received the Nicholas Molodovsky Award from the CFA Institute. He is a member of the Halls of Fame of the Fixed Income Analyst Society, Risk magazine, and Derivatives Strategy magazine. Merton received Risk’s Lifetime Achievement Award for contributions to the field of risk management and the 2014 Lifetime Achievement Award from the Financial Intermediation Research Society.
His research focuses on finance theory, including lifecycle and retirement finance, optimal portfolio selection, capital asset pricing, pricing of derivative securities, credit risk, loan guarantees, financial innovation, the dynamics of institutional change, and improving the methods of measuring and managing macro-financial systemic risk.
Merton received a BS in engineering mathematics from Columbia University, a MSin applied mathematics from California Institute of Technology, a PhD in economics from MIT, and honorary degrees from eighteen universities.
Current Research Focus: Merton’s current research focuses on three areas: 1) Lifecycle investing and retirement funding solutions, 2) Measuring and monitoring macrofinancial (systemic) risk, and 3) Financial innovation and the dynamics of financial institutional change.
Myron S. Scholes is the Frank E. Buck Professor of Finance, Emeritus, at the Stanford University Graduate School of Business since 1996. Each year, through 2019, he taught a course on “The Evolution of Finance.” Since 2014, he has been the Chief Investment Strategist, Janus Henderson Investors, Denver, where he has and continues to develop and implement dynamic investment solution strategies.
Myron Scholes, Stanford University and Janus Henderson Investors
Professor Scholes is widely known for his seminal work in options pricing, capital market equilibrium, tax policies and the financial services industry. He is widely published in academic journals. He is co-originator of the Black-Scholes options pricing model, which is the basis of the pricing and risk-management technology that is used to value and to manage the risk of “options” contained in instruments around the world. For his work on “a new theory to value derivatives…”, he (along with Robert Merton) was awarded the Alfred Nobel Memorial Prize in Economic Sciences in 1997.
Professor Scholes has consulted widely with many financial institutions, corporations and exchanges and continues to lecture for many academic groups and other organizations around the world. Professor Scholes is a member of the Econometric Society and served as President of the American Finance Association in 1990. Professor Scholes has honorary doctorate degrees from the University of Paris, France, McMaster University, Canada, Louvain University, Belgium and Wilfred Laurier University, Canada. He has honorary Professorships from Nanjing University, Nanjing Audit University and Xiamen University. He was given the Innovator of the Year Award from the Chicago Mercantile Exchange and The Lifetime Achievement Award from the Derivatives Association. He was awarded the Sussman Fellows Award. He is a member of American Academy of Arts and Sciences.
William Sharpe, Professor of Finance, Emeritus, at Stanford University’s Graduate School of Business
William F. Sharpe is the STANCO 25 Professor of Finance, Emeritus, at Stanford University’s Graduate School of Business. He joined the Stanford faculty in 1970, having previously taught at the University of Washington and the University of California at Irvine. In 1996, he cofounded Financial Engines, a firm that provides online investment advice and management for individuals.
Sharpe was one of the originators of the Capital Asset Pricing Model, developed the Sharpe Ratio for investment performance analysis, the binomial method for the valuation of options, the gradient method for asset allocation optimization, and returns-based style analysis for evaluating the style and performance of investment funds.
Sharpe has published articles in a number of professional journals, including Management Science, The Journal of Business, The Journal of Finance, The Journal of Financial Economics, The Journal of Financial and Quantitative Analysis, The Journal of Portfolio Management, and The Financial Analysts’ Journal.
He has also written seven books, including Portfolio Theory and Capital Markets (McGraw-Hill, 1970 and 2000), Asset Allocation Tools (Scientific Press, 1987), Fundamentals of Investments (with Gordon J. Alexander and Jeffrey Bailey, Prentice-Hall, 2000), Investments (with Gordon J. Alexander and Jeffrey Bailey, Prentice-Hall, 1999) and Investors and Markets, Portfolio Choices, Asset Prices and Investment Advice, Princeton University Press, 2007.
Sharpe is past president of the American Finance Association. In 1990 he received the Nobel Prize in Economic Sciences.
He received his PhD, MA and BA in Economics from the University of California at Los Angeles. He is also the recipient of a Doctor of Humane Letters, Honoris Causa from DePaul University, a Doctor Honoris Causa from the University of Alicante (Spain), a Doctor Honoris Causa from the University of Vienna (Austria), and the UCLA Medal, UCLA’s highest honor.
Lisa Goldberg, Aperio by BlackRock
Lisa Goldberg is the Managing Director and Head of Research at Aperio, now part of BlackRock, and a Professor of the Practice of Economics at UC Berkeley. Dr. Goldberg is a mathematician whose research integrates best practices from both industry and academia. Her current areas of focus include high-dimensional statistics and quantitative investing, and her work has touched on topology, dynamical systems, sports statistics, and causal inference. She has published more than 60 peer-reviewed articles and is the co-author of a book, ‘Portfolio Risk Management,’ published by Princeton University Press in 2010. Dr. Goldberg is an inventor on five patents and has been awarded numerous research grants, including an Alfred P. Sloan Fellowship and an NSF Visiting Professorship for Women. She has served on the editorial boards of four quantitative finance journals and two Springer book series. She is a member of the Advisory Council for the Museum of Mathematics, serves as an arXiv moderator, and is an expert judge for the Moskowitz Prize for Socially Responsible Investing.
Vineer Bhansali, LongTail Alpha
Vineer Bhansali is the Founder and Chief Investment Officer of LongTail Alpha. His 30-year investment career started at Citibank, where he founded and managed the Exotic and Hybrid Options Trading Desk. He later joined Salomon Brothers in its Fixed Income Arbitrage Group, followed by the CSFB Proprietary Trading Group. Dr. Bhansali was at PIMCO for 16 years, serving the last eight years as MD and Head of the Quantitative Portfolios Team, which he founded in 2008. Dr. Bhansali also managed all of PIMCO’s analytics from 2000 to 2010. Among other responsibilities, he was the lead PM for the PIMCO TRENDS Managed Futures Strategy Fund, the PIMCO Tail Risk Hedging Funds, PIMCO RealRetirement and RealPath Funds, and PIMCO’s indexed ETFS. He was also co-PM of the PIMCO Global Multi-Asset Fund, PIMCO Global Relative Value Fund and PIMCO Distressed Senior Credit Opportunities Fund. He has written five books on finance: “Pricing and Managing Exotic and Hybrid Options”; “Fixed Income Finance: A Quantitative Approach”; “Bond Portfolio Investing and Risk Management”, “Tail Risk Hedging”, and his most recent: “The Incredible Upside-Down Fixed-Income Market: Negative Interest Rates and Their Implications” and authored over 30 refereed papers on topics as varied as option pricing, fixed income, tail hedging, asset allocation and economics in leading Journals that include the Journal of Finance, Financial Analysts’ Journal, Journal of Portfolio Management, and Journal of Risk. He has received numerous awards, including the Graham and Dodd Scroll Award and TIME magazine’s college achievement award. Under his leadership, PIMCO received the Risk Manager of the Year Award in the asset-management category in 2002 from Risk Magazine. In its announcement of the award, PIMCO cited “a proprietary system developed in-house by PIMCO’s Vineer Bhansali, Ph.D. and his team.” Dr. Bhansali received his Ph.D. in Theoretical Physics from Harvard University in 1992 and M.S. and B.S. degrees in Physics from Caltech in 1987. Vineer is an ultra-marathon runner and has finished the Western States Endurance Run numerous times, including earning the silver buckle in 2014, and also the Ultra Trail du Mont Blanc, Angeles Crest 100 and Leadville 100. He has over 4000 hours of flight time in all types of aircraft, including jets and helicopters, and holds the Airline Transport Pilot Rating. He has served on the Investment Committee of the American Physical Society, and currently serves on the Investment Committee of the Margaret A. Cargill Philanthropies and on the Boards of the Q Group and the Mathematical Sciences Research Institute.
Kenneth Blay, Invesco
Kenneth Blay is Head of Research for Global Thought Leadership at Invesco. In this role, he works closely with investment teams to lead the development of original research, the authorship of white papers and articles for publication in practitioner journals, and the creation of innovative investment content focused on strengthening Invesco’s profile as a global thought leader in asset allocation, risk management, systematic and factor investing, and portfolio implementation.
Mr. Blay joined Invesco in 2018. Prior to joining the firm, he served as advisory research manager in the portfolio and risk research group at State Street Associates, where he led research efforts for advisory engagements with institutional clients and collaborated with academic partners to develop and implement new research on asset allocation, risk management, and investment strategy. Previously, he was director of research for 1st Global, where he established the firm’s investment management research group, led asset allocation policy, and managed the firm’s discretionary multi-asset portfolios. He has been in the financial industry since 1991.
Mr. Blay has worked closely with Nobel Laureate Harry Markowitz on advancing various asset allocation research initiatives, including the optimization of the net present value of future cash flows, tax-cognizant portfolio analysis, and simulation-based multi-period portfolio selection. He has had his research published through various journal articles and books, including Risk-Return Analysis: The Theory and Practice of Rational Investing (Volume 1), which he coauthored with Markowitz. He also serves on the advisory board for the Journal of Investment Management conference series. Mr. Blay earned a BBA degree in finance from the University of Texas.
Ronald Kahn, BlackRock
Ronald N. Kahn, PhD, Managing Director, is Global Head of Systematic Equity Research at BlackRock. He has overall responsibility for the research underpinning the Systematic Active Equity (SAE) products.
His service with the firm dates back to 1998, including his years with Barclays Global Investors (BGI), which merged with BlackRock in 2009. Prior to joining BGI, he worked as Director of Research at Barra, where his research covered equity and fixed income markets.
Ronald Kahn is a well-known expert on portfolio management and quantitative investing. He has published numerous articles on investment management, and, with Richard Grinold, authored the influential book Active Portfolio Management: Quantitative Theory and Applications. The two of them are the 2013 winners of James R. Vertin award, presented periodically by the CFA Institute to recognize individuals who have produced a body of research notable for its relevance and enduring value to investment professionals. Their sequel, Advances in Active Portfolio Management, was published in December 2019.
Ronald Kahn is also the author of the 2018 CFA Institute Research Foundation monograph, The Future of Investment Management. He is a 2007 winner of the Bernstein Fabozzi/Jacobs Levy award for best article in the Journal of Portfolio Management. He serves on the editorial advisory boards of the Journal of Portfolio Management, the Journal of Investment Consulting, and the Journal of Financial Data Science. The 2007 book How I Became a Quant includes his essay describing his transition from physics to finance. He teaches the equities half of the course, “International Equity and Currency Markets” in UC Berkeley’s Master of Financial Engineering Program.
He earned an AB degree in physics, summa cum laude, from Princeton University, and a PhD in physics from Harvard University. He was a post-doctoral fellow in physics at University of California, Berkeley.
Mark Kritzman, Windham Capital Management
Mark Kritzman, CFA is a Founding Partner and CEO of Windham Capital Management, LLC and the Chairman of Windham’s investment committee. He is responsible for managing research activities and investment advisory services.
Mark is also a Founding Partner of State Street Associates, and he teaches a graduate finance course at the Massachusetts Institute of Technology. He served as a Founding Director of the International Securities Exchange and as a Commissioner on the Group Insurance Commission of the Commonwealth of Massachusetts. He has also served on the Advisory Board of the Government Investment Corporation of Singapore (GIC) and the boards of the Institute for Quantitative Research in Finance, The Investment Fund for Foundations, and State Street Associates. He is currently a member of the Board of Directors of Protego Trust Company, the Advisory Board of the MIT Sloan Finance Group, the Board of Governors of St. John’s University, the Emerging Markets Review, the Journal of Alternative Investments, the Journal of Derivatives, the Journal of Investment Management, where he is Book Review Editor, and The Journal of Portfolio Management.
He has written 90 articles for peer-reviewed journals and is the author or co-author of seven books including A Practitioner’s Guide to Asset Allocation, Puzzles of Finance, and The Portable Financial Analyst. Mark won Graham and Dodd scrolls in 1993 and 2002, the Research Prize from the Institute for Quantitative Investment Research in 1997, the Bernstein Fabozzi/Jacobs Levy Award nine times, the Roger F. Murray Prize from the Q-Group in 2012, and the Peter L. Bernstein Award in 2013 for Best Paper in an Institutional Investor Journal. In 2004, Mark was elected a Batten Fellow at the Darden Graduate School of Business Administration, University of Virginia.
Mark holds a Bachelor of Science in Economics from St. John’s University, a Master of Business Administration with distinction from New York University, and a Chartered Financial Analyst® designation.
Deep Srivastav, Franklin Templeton Investments
Deep Srivastav is SVP, Head of Client Strategies and Analytics for Franklin Templeton Investments. The role involves developing and integrating client and market insights into FT’s client interactions across business lines globally. The global team’s responsibilities include client data architecture, data engineering, business intelligence, data sciences, digital analytics, client analytics, goals based personalization and capital markets insights. Prior to FT, he has worked in in Oracle Financial Services as Head of Operations, in GE Capital as a Black Belt with Technology and in Tata Motors as an Engineer.
Deep is an Electronics Engineer and an MBA from Indian Institute of Management, Ahmedabad with a focus on Quantitative Research and Marketing. He got certified as Six Sigma Black Belt in GE. He is IBM certified in Python for Data Science and SQL.
He is the co-author on A New Approach to Goals Based Wealth Management which was published in the Journal of Investment Management and has won the Markowitz award for 2018. Another paper on leveraging data science for goals based investing was published in the Computational Management Science in 2019.