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Barclays Global Cops Two Best Article Awards
Authors from Barclays Global Investors took two of the four awards for excellence this year for articles appearing in Institutional Investor, Inc.'s The Journal of Portfolio Management (JPM). The Eighth Annual Bernstein Fabozzi/Jacobs Levy Best Article Awards are determined by electronic voting by the readers of JPM. The awards promote research excellence in the theory and practice of portfolio management. http://www.iijournals.com/JPM/default.asp?Page=903 Best Article Five Myths About Fees (Spring 2006) Ronald N. Kahn, Matthew H. Scanlan, Barclays Global Investors; Laurence B. Siegel, The Ford Foundation Outstanding Articles A Factor Approach to Asset Allocation (Fall 2005) Roger G. Clarke, Harindra de Silva, Robert Murdock, Analytic Investors, Inc. Attribution (Winter 2006) Richard Grinold, Barclays Global Investors Are Optimizers Error Maximizers? (Summer 2006) Mark Kritzman, Windham Capital Management, LLC This year's winning article, Five Myths About Fees, discusses the difficult challenge of being mindful of fees while maintaining alpha. The winning authors are Ronald Kahn, Global Head of Advanced Equity Strategies at Barclays Global Investors, Matthew Scanlan, Head of Americas Institutional Business at Barclays Global Investors and Laurence Siegel, Director of Research, Investment Division, The Ford Foundation. The authors state "Too often, investors consider fees only after already deciding on an investment product. That's too late." Outstanding articles include A Factor Approach to Asset Allocation by Roger Clarke, Chairman of Analytic Investors, Harindra de Silva, President of Analytic Investors and Robert Murdock, Portfolio Manager at Analytic Investors. The authors conclude that "in much the same way that the cross-section of returns for individual stocks is related to fundamental characteristics", they find that "the cross-sections of returns in global equity, fixed income, and currency markets are also related to fundamental global market characteristics." The allocation to equity market risk drops from over 70% to around 12% when the authors use these factors in the asset allocation process. Also from Barclays Global Investors, Richard Grinold, Director of Research, authored an Outstanding article, Attribution. The author states "this flexible, unified, and portfolio-centered approach to attribution treats attribution questions that occur before the fact (ex ante) and after the fact (ex post) symmetrically." Mark Kritzman's article, Are Optimizers Error Maximizers? was also voted an Outstanding Article. The author states that "the hype that mean-variance optimizers are error maximizers seems to be just that-hype. Conventional wisdom may be conventional but not always correct". Mr. Kritzman, President and CEO of Windham Capital Management, LLC is a previous Bernstein Fabozzi/Jacobs Levy Award Winner (2003). The annual awards consist of a $2,500 prize for Best Article and $1,000 prizes for each of three Outstanding Articles. They are generously funded by Jacobs Levy Equity Management, which started the awards in 1999 to honor the extraordinary contributions to the industry of JPM editors Peter Bernstein and Frank Fabozzi. According to Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management: "This year's winners, like previous award recipients, tackle problems posed by the practice of investment management. Whether, like Mssrs. Kahn, Scanlan, and Siegel and Mr. Kritzman, they are showing us new ways of looking at how investing is practiced or, like Mssrs. Clarke, De Silva, and Murdock and Mr. Grinold, they are presenting us with new ways of tackling some old problems, these authors use the best of theory to improve the reality of practice. That was one of our aims in establishing the awards, and we are delighted to see it fulfilled, year after year." About The Journal of Portfolio Management (JPM) Founded in 1974, The Journal of Portfolio Management is the leading source for cutting-edge strategies and analysis for institutional investment management. In 2004 JPM celebrated its 30th Anniversary with an outstanding special issue authored by some of the greatest minds in the industry, including two Nobel Laureates. JPM is published quarterly by Institutional Investor, Inc., publisher of Institutional Investor magazine. Editors of The Journal of Portfolio Management Peter Bernstein, consulting editor, operates an economic consultancy firm and is frequently quoted in the financial press. Frank Fabozzi, editor, is a consultant in institutional investment management and the author of numerous books, particularly on fixed income. He also runs a well-established business in investment conferences and seminars. About Jacobs Levy Jacobs Levy Equity Management, founded in 1986, is an independent, leading-edge quantitative equity manager with over $20 billion in institutional assets under management. Bruce Jacobs and Ken Levy are widely recognized for their award winning research on equity management and long-short strategies collected in their books Equity Management: Quantitative Analysis for Stock Selection, and Market Neutral Strategies. Institutional Investor Contact: Contact: Allison Adams, Publisher, Institutional Investor Journals Phone: 212-224-3300 Jacobs Levy Equity Management Contact: Catherine Basha, Jacobs Levy Equity Management Phone: 973-410-9222 To learn more about The Journal of Portfolio Management and Institutional Investor's research journals, please visit www.iijpm.com or www.iijournals.com. |
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