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Description
Andrew W. Lo, Chairman and Chief Investment Strategist Andrew sets the research agenda for the firm and collaborates with the research scientists on the design and enhancement of the firm's proprietary investment models. Andrew chairs the AlphaSimplex Investment Committee and in this capacity plays a leadership role in vetting, approving, and documenting all AlphaSimplex investment models and products as well as in monitoring and assessing their performance. Andrew has 24 years of industry experience. Prior to starting AlphaSimplex, Andrew developed investment strategies and trading technologies as a consultant to a number of prominent Wall Street firms. In addition to his responsibilities at AlphaSimplex, Andrew is the Harris & Harris Group Professor of Finance at the MIT Sloan School of Management where he pursues a separate but complementary research agenda focused on the fundamental aspects of investments and financial markets. Examples of the complementary nature of this research include his studies on measuring illiquidity risk in hedge-fund returns, alternative betas and hedge-fund replication strategies, the growth of systemic risk in the hedge-fund industry, and his Adaptive Markets Hypothesis. This research agenda provides the academic foundations for the applied R&D and product engineering activities at AlphaSimplex. His awards include the Alfred P. Sloan Foundation fellowship, the Paul A. Samuelson Award, the American Association for Individual Investors Award, the Graham and Dodd Award, the 2001 IAFE-SunGard Financial engineer of the Year Award, a Guggenheim Fellowship, and the CFA Institute.s James R. Vertin Award. He is a former governor of the Boston Stock Exchange, and currently a research associate of the National Bureau of Economic Research, and a member of the FINRA's Economic Advisory Board. Andrew has published numerous journal articles and several books, including Hedge Funds: An Analytic Perspective (2008), A Non-Random Walk Down Wall Street (1999), and The Econometrics of Financial Markets (1997). Andrew received a B.A. in Economics from Yale University in 1980 and a Ph.D. in economics from Harvard University in 1984.