Andrew Lo

Andrew Lo received his PhD in economics from Harvard University and has been a professor at MIT Sloan School of Management since 1988. He is the founder and chief investment strategist of AlphaSimplex Group, a quantitative asset management firm. Lo is best known for proposing the Adaptive Markets Hypothesis (AMH) — an evolutionary reframing of the Efficient Markets Hypothesis that reconciles the apparent contradictions between rational asset pricing models and the behavioural anomalies documented by Kahneman, Shiller, and others. The AMH argues that market efficiency is not a fixed property but varies over time as market participants adapt their strategies in response to competitive pressures, losses, and environmental changes — drawing analogies with biological evolutionary processes. The hypothesis has been influential in providing a theoretical framework for the existence of alpha over finite time periods. Lo also pioneered the use of econometric tools to study hedge fund risk and return, developing methods for measuring illiquidity risk in hedge fund returns and demonstrating that many hedge fund strategies exhibit non-linear risk exposures invisible to standard mean-variance analysis. His book "Adaptive Markets" (2017) provides an accessible synthesis of his research. He is a fellow of the Econometric Society, American Academy of Arts and Sciences, and has received numerous awards from the American Finance Association.