SOURCE: Institutional Investor Journals

Institutional Investor Journals

January 31, 2012 12:30 ET

Journal of Portfolio Management Announces Top Research Honorees

NEW YORK, NY--(Marketwire - Jan 31, 2012) - The Journal of Portfolio Management announces the winners of the 13th Annual Bernstein Fabozzi/Jacobs Levy Awards for articles contributing to the theory and practice of portfolio management.

Wai Lee of Quantitative Investment Group at Neuberger Berman was awarded top honors for his article, "Risk-Based Asset Allocation: A New Answer to an Old Question?" This article, which provides a critical examination of portfolio allocation approaches that focus on risk and diversification characteristics rather than expected return, was voted Best Article by subscribers to Institutional Investor, Inc.'s The Journal of Portfolio Management.

Readers of The Journal of Portfolio Management also voted for three Outstanding Articles. "Minimum-Variance Portfolio Composition" by Roger Clarke and Harindra de Silva of Analytics Investors, LLC and Steven Thorley, the H. Taylor Peery Professor of Finance at Marriott School, Brigham Young University, was voted an Outstanding Article for its dissection of the performance of portfolios constructed to have the lowest possible risk. Richard Grinold, who served as the global director of research at Barclays Global Investors from 1994 until his retirement in December 2009, won an Outstanding Article award for "The Description of Portfolios," which provides a general framework for viewing portfolios in terms of their risks and covariances. Another Outstanding Article award went to Mark Kritzman and Yuanzhen Li of Windham Capital Management, Sébastien Page of PIMCO and Roberto Rigobon, Professor of Applied Economics at MIT for "Principal Components as a Measure of Systemic Risk," which suggests a new tool for monitoring systemic risk.

The Bernstein Fabozzi/Jacobs Levy Awards, consisting of a $2,500 prize for Best Article and $1,000 prizes for each of three Outstanding Articles, are generously funded by Jacobs Levy Equity Management. According to Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management:

"We started these awards in 1999 to honor Journal of Portfolio Management Editors Peter Bernstein and Frank Fabozzi and their extraordinary work in bringing the latest and most significant financial research to investment practitioners. This year's winners honor their commitment. They also reflect a year that witnessed continuing and often dramatic volatility in financial markets. Each article examines risk at some level, whether that of the individual portfolio or the broad economy. This kind of examination is more important than ever, as we are continually reminded that we live in a world in which financial markets are critically interlinked with economic activity."

About The Journal of Portfolio Management

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. Published by Institutional Investor, Inc., it is available quarterly in print and online.

About Jacobs Levy Equity Management

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, enhanced active 130-30 strategies, and financial crises.

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