IPR Journals is pleased to announce the winners of the 20th Annual Bernstein Fabozzi/Jacobs Levy Awards for the best articles appearing in The Journal of Portfolio Management during 2018, based on subscriber votes.
The Best Article award recipient is Meir Statman for Behavioral Efficient Markets, which appeared in the Winter 2018 issue of The Journal of Portfolio Management. In the article, Statman explains how behavioral finance contributes positively to discussions about market efficiency. He makes a clear distinction between the price-equals-value market hypothesis and the hard-to-beat market hypothesis and explains why so many investors believe that markets are easy to beat.
Meir Statman is the Glenn Klimek Professor of Finance at the Leavey School of Business, Santa Clara University. His research primarily focuses on behavioral finance, and he has written several articles and books on the subject.
Upon receiving his award, Meir said Peter Bernstein and Frank Fabozzi understood behavioral finance long before it had a name, and promoted it in the pages of The Journal of Portfolio Management. Bruce Jacobs and Ken Levy were pioneers in the application of behavioral finance in asset management. This award is an opportunity for me to recognize the contributions of all four, and thank them for supporting my contributions.
Meir is a luminary in the field of behavioral finance, and I am delighted that the readers of The Journal of Portfolio Management are among the many who have recognized his accomplishments, said Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management.
IPR Journals has also recognized three Outstanding Articles from the 2018 collection.
Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions by Lionel Martellini and Vincent Milhau appeared in the special Multi-Asset Strategies issue. The authors suggest using a factor-based framework to more effectively measure and manage diversification in multi-asset portfolios.
Buyback Derangement Syndrome by Clifford Asness, Todd Hazelkorn, and Scott Richardson appeared in the Spring 2018 issue. The authors show that most of the criticisms about share repurchases are often without merit. They argue that aggregate share repurchase activity has not been at historical highs when measured properly, and when netted against debt issuance it is almost a non-event.
The Impact of Volatility Targeting by Campbell R. Harvey, Edward Hoyle, Russell Korgaonkar, Sandy Rattray, Matthew Sargaison, and Otto van Hemert appeared in the Fall 2018 issue. The authors examine recent studies that show that volatility-managed equity portfolios realize higher Sharpe ratios than portfolios with a constant notional exposure. Their own research shows that this result only holds for risk assets, and they link this finding to the so-called leverage effect for those assets.
The Bernstein Fabozzi/Jacobs Levy Awards were established in 1999, on the 25th anniversary of The Journal of Portfolio Management. Recipients of the awards are recognized for their extraordinary research contributions in the theory and practice of portfolio management. Articles published in the Journals four regular issues in 2018 as well as in its special Multi-Asset Strategies, Quantitative Strategies, and Stephen A. Ross issues were eligible for the awards.
The annual awards, co-founded and generously funded by Jacobs Levy Equity Management, consist of a $2,500 prize for the Best Article and $1,000 prizes for each of the Outstanding Articles.
About The Journal of Portfolio Management
Edited by Frank Fabozzi and founded in 1974 by Peter L. Bernstein, The Journal of Portfolio Management is the leading editorial source of cutting-edge strategies and analyses for institutional investment management. Published by Pageant Media, LTD, new issues are released six times a year in print and online.
About Jacobs Levy Equity Management
Jacobs Levy Equity Management, founded in 1986, is an independent, registered investment advisor dedicated to the management of U.S. equity portfolios for a prestigious global roster of institutional clients. The firm offers long equity, 130-30 long-short, and absolute return strategies, with an investment philosophy and approach grounded in empirical financial research. Bruce Jacobs and Ken Levy are widely recognized for their own award-winning research as collected together in the second edition of their McGraw-Hill book, Equity Management: The Art and Science of Modern Quantitative Investing (2017).
About IPR Journals
IPR Journals is the leading source of independent practical research for all in the investment management community.
Its portfolio of 11 journals attracts thought leadership from the industrys most prominent experts, including multiple Nobel Laureates. Each article provides readers with actionable conclusions that can be applied to enhance portfolio management and influence business strategy, ensuring readers benefit directly from their findings.
Rosie Instance, Marketing Manager, [email protected]