Top Goldman quant Bob Litterman is retiring.
Litterman is considered one of the grandfathers of modern quant trading. With Fischer Black, He developed the “Black-Litterman asset allocation model,” which is widely used by institutional investors to overcome certain problems in applying modern portfolio theory.
Litterman was the chairman of the Goldman Sachs Asset Management quant straties group. After the departures of Ray Iwanowski and Mark Carhart earlier this year, Litterman was the face of Goldman’s quant brand.
The word is that Litterman is “retiring,” according to a person at Goldman. Inside of Goldman, however, there is speculation that restrictions on cash bonuses may have convinced Litterman to pursue opportunities outside of the firm. In a sense, this might be a bit of the repeat of the situation that led to Cliff Asness leaving to found Applied Quantitative Research. Goldman at the time refused to pay members of Goldman Sachs Asset Management bonuses linked directly to the performance of their business units rather than the performance of the overall business. Some of the traders felt that they were underpaid compared to hedge fund colleagues. In order to stem the outflow of quants Asness left, Goldman began compensating the GSAM team based on performance.