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Journal of Portfolio Management Announces Top Research Honorees

NEW YORK, NY -- (Marketwired) -- 01/31/14 -- The Journal of Portfolio Management announces the winners of the 15th Annual Bernstein Fabozzi/Jacobs Levy Awards for articles contributing to the theory and practice of portfolio management.

This year, voting by subscribers resulted in a tie for Best Article, with Richard Roll of the University of California at Los Angeles and Clifford Asness and Andrea Frazzini of AQR Capital Management receiving top honors. Roll's article, "Volatility, Correlation, and Diversification in a Multi-Factor World," discusses the importance of diversifying across factor sensitivities and describes a method for estimating factor sensitivities for every asset. Asness and Frazzini's, "The Devil in HML's Details," presents an approach to measuring book-to-price ratio that better captures asset value.

As voting also resulted in a tie among the runners-up, four rather than the usual three articles receive Outstanding Article awards.

  • "Diversification Across Time," by Ian Ayres of Yale Law School and Barry Nalebuff of Yale School of Management discusses how investors can reduce the lifetime volatility of their portfolios by buying stock on margin when they're young.
  • "Liquidity and Portfolio Choice: A Unified Approach," by Will Kinlaw of State Street Associates, Mark Kritzman of Windham Capital Management, and David Turkington of State Street Associates, presents a procedure for estimating the effects of liquidity on portfolio expected return and risk.
  • "The Surprising Alpha From Malkiel's Monkey and Upside-Down Strategies," by Robert D. Arnott, Jason Hsu, and Vitali Kalesnik of Research Affiliates and Phil Tindall of Towers Watson Limited, traces the outperformance of non-capitalization-weighted indexes to their hidden value and small-cap biases.
  • "Risk Disparity" by Mark Kritzman discusses how to balance growth of portfolio wealth over time with avoidance of large draw-downs.

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

"This year's winning articles tackle the perennial problem of balancing risk and return in investment portfolios. This problem is never fully resolved, in part because the sources of risk and return are as dynamic as the markets that give rise to them. Among the emerging issues dealt with in these articles are the effects of price discontinuities and illiquidity, how and why alternative index benchmarks work, and portfolio management for the individual investor."

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

About Jacobs Levy Equity Management www.jacobslevy.com
Jacobs Levy Equity Management, founded in 1986, is an independent, registered investment advisor dedicated to the management of institutional U.S. equity portfolios, with an investment philosophy and approach grounded in empirical financial research. Bruce Jacobs and Kenneth Levy are widely recognized for their own award-winning research on equity management, market neutral long-short strategies, enhanced active 130-30 strategies, and leverage and systemic risk.

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