NEW YORK–(BUSINESS WIRE)–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
“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
“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
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 Journal’s 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
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
industry’s 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.
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