Adaptive Markets and the New Investment Paradigm
Wednesday, March 10, 2010
12:00 pm – 1:30 pm

Andrew W. Lo, Ph.D. 
AlphaSimplex Group, LLC and MIT
Chair: Cynthia Harrington, CFA


The recent financial crisis has called into question every major tenet of modern investment theory and practice, from long-only passive investing to "stocks for the long run" to diversification and portfolio optimization.  If markets are driven mainly by fear and greed, are systematic investment principles too much to hope for?  In this talk, Andrew Lo will present a different perspective in which behavioral and rational market dynamics can co-exist.  By using evolutionary principles to explain investor behavior, Professor Lo will show that the existing models and methods of modern finance are not wrong, but merely incomplete.  In the new investment paradigm, alphas routinely morph into myriad types of betas, more powerful indexes and passive investment strategies are made possible by technological innovations, and the risk/reward trade-off is not a static relation but can vary greatly across time and market conditions.

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).

Time: 12:00pm – 1:30pm, lunch and refreshments to be provided.


Location: Omni Los Angeles 

                   251 South Olive Street

                   Los Angeles, CA 90071

                   For directions call hotel: (213) 617-3300



Payment Information:

Methods of payment accepted: Visa/Mastercard, American Express and Discover. If you prefer to pay by check please register online and select "purchase order" as your payment option and enter your last name as the purchase order number. Mail check to: CFA Society of Los Angeles, 350 S. Grand Ave, Suite 1680, Los Angeles CA 90071.


Credit card payments will not  be accepted, nor should be given, by phone or email. 

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