Abstract
<b>Robert Litterman</b>, Chairman of the Risk Committee at <b>Kepos Capital</b>, sat down with me for an open-ended interview during the <b>67th CFA Institute Annual Conference</b> in Seattle. The resulting frank conversation spanned topics as diverse as market efficiency, big data and carbon emissions. For the average investor, alpha is in zero net supply, Bob tells us. When you deduct management costs, the result can be a negative drag on portfolio performance, he cautions. Another piece of advice Bob gives investors: Ask yourself, “What‘s the source of my returns?” The factors that your portfolio is exposed to are really what drive returns, he states. This <b><i>Practical Applications</i></b> report comprises excerpts from the interview, edited for clarity.
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