NEW YORK, Feb. 12 /PRNewswire/ -- The Journal of Portfolio Management announces the winners of the 10th Annual Bernstein Fabozzi/Jacobs Levy Awards for articles contributing to the theory and practice of portfolio management.
Richard Grinold of Barclays Global Investors was awarded top honors for his article "Dynamic Portfolio Analysis," which received the Best Article award by readers of Institutional Investor, Inc.'s The Journal of Portfolio Management.
"I am grateful to the readers of The Journal of Portfolio Management for the Bernstein Fabozzi/Jacobs Levy Award. I hope the award will stimulate further research into the area of dynamic portfolio management. It is an area of some importance and it is hard to grasp at a strategy level without getting trapped in a tangle of technical material," states Grinold.
In addition to Best Article, readers of The Journal of Portfolio Management also voted for three Outstanding Articles. John C. Bogle's article, "A Question so Important that it Should be Hard to Think about Anything Else," which focuses on the costs and benefits of today's financial system, was recognized as an Outstanding Article. John C. Bogle is the Founder of The Vanguard Group.
Readers also recognized "130/30: The New Long-Only" by Andrew W. Loof MIT and AlphaSimplex Group and Pankaj N. Patel of Credit Suisse. This article has been widely cited in both the financial media and in academic articles. Also winning for Outstanding Article were Eric H. Sorensen, Edward Qianand Ronald Huaof PanAgora Asset Management. Their article "Information Horizon, Portfolio Turnover, and Optimal Alpha Models" looks at the effects of trading costs on portfolio alpha.
Now celebrating its 10th Anniversary, the annual Bernstein Fabozzi/Jacobs Levy Awards are generously funded by Jacobs Levy Equity Management. Noted Jacobs Levy Principal Bruce Jacobs, "This year's winning articles take a variety of views on investment performance. Two of the winning articles focus on ways in which to evaluate portfolios as dynamic, changing entities. Richard Grinold presents a framework that allows one to estimate the efficiency of a portfolio whose holdings change as new information arrives and old information ages. Edward Qian, Eric Sorensen and Ronald Hua provide a method for integrating turnover costs with an alpha-generating model. Andrew Lo and Pankaj Patel construct "passive" 130/30 portfolios that can be used as investment vehicles or as benchmarks for performance measurement. Finally, John Bogle asks the big question of how professional investment management has performed for its clients."
About The Journal of Portfolio Management -- www.iijpm.com
Edited by Frank Fabozzi and founded in 1974 by Peter Bernstein, The Journal of Portfolio Management is the leading editorial source of cutting-edge strategies and analyses for institutional investment management. The Journal of Portfolio Management is published quarterly by Institutional Investor, Inc.
About Jacobs Levy Equity Management -- www.jacobslevy.com
Jacobs Levy Equity Management, founded in 1986, is an independent, leading-edge quantitative equity manager focused exclusively on U.S. equity portfolios. Bruce Jacobs and Kenneth Levy are widely recognized for their award winning research on equity management, market neutral long-short strategies, and enhanced active 130-30 strategies, collected in their books Equity Management: Quantitative Analysis for Stock Selection and Market Neutral Strategies.
Media contacts:
Andrew O'Donnell
The Journal of Portfolio Management
+1 212-224-3076 - aodonnell@iijournals.com
Catherine Basha
Jacobs Levy Equity Management
+1 973-410-9222 - catherine.basha@jlem.com
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