Jun 15, 2020
Bob Litterman is a founding partner and Chairman of the Risk
Committee at Kepos Capital. Prior to Kepos, he spent 23 years at
Goldman Sachs, where his roles included heading the firm-wide risk
function and the Quantitative Investment Strategies Group at GSAM.
Bob was one of the original inductees into Risk Magazine’s Risk
Management Hall of Fame and is well known for co-developing the
Black-Litterman Global Asset Allocation model with the late Fisher
Black.
After leaving Goldman in 2009, he became fascinated by the risk
management problem posed by climate change, and that is the focus
of this 3rd episode in Sustainable Investing, the Next
Frontier.
Our conversation covers Bob’s background in quantitative research,
applying risk management principles to address climate change,
modeling the price of carbon emissions, and concluding that we must
slam on the brakes immediately to address global warming. We then
turn to his work on policy to implement his conviction and his
activity in the public markets across the World Wildlife Fund’s
stranded asset swap and research at Kepos to play a rapid adoption
theme from the lens of a quant investor.