Bernstein Fabozzi / Jacobs Levy Awards Winners
Volume I1998-1999Best Article: Why Do Valuation Ratios Forecast Long-Run Equity Returns? Outstanding Articles: Long-Short Portfolio Management: An Integrated Approach The History of Finance 1999-2000Best Article: The Shrinking Equity Premium Outstanding Articles: Performance Evaluation Using Conditional Alphas and Betas The Investor Fear Gauge Optimizing Manager Structure and Budgeting Manager Risk Beating Benchmarks 2000-2001Best Article: The Growth of Index Funds of the Pricing of Equity Securities Outstanding Articles: Value of Skill in Security Selection versus Asset Allocation in Credit Markets Whythe Low Returns to Beta and Other Forms of Risk The Death of the Risk Premium 2001-2002Best Article: Do Hedge Funds Hedge Outstanding Articles: Equity Index Funds Have Lost Their Way The Small-Cap Alpha Myth Informationless Investing and Hedge Fund Perfromance Management Bias 2002-2003Best Articles: Expected Returns on Stocks and Bonds The Hierarchy of Investment Choice Outstanding Articles: A Critical Look at the Case for Hedge Funds |
Volume II2003-2004Best Article: Fight the Fed Model Outstanding Articles: Strategic versus Tactical Asset Allocation Multiple Alpha Sources and Active Management Liability-Relative Investing 2004-2005Best Article: The Active Risk Puzzle Outstanding Articles: The Adaptive Markets Hypothesis An Alternative Future: Part II Five Myths of Active Portfolio Management 2005-2006Best Article: Five Myths About Fees Outstanding Articles: A Factor Approach to Asset Allocation Attribution Are Optimizers Error Maximizers? 2006-2007Best Article: Gathering Implicit Alphas in a Beta World Outstanding Articles: Minimum-Variance Portfolios in the U.S. Equity Market The Relative Importance of Asset Allocation and Security Selection Execution Risk 2007-2008Best Article: Dynamic Portfolio Analysis Outstanding Articles: Information Horizon, Portfolio Turnove, and Optimal Alpha Models A Question So Important That It Should Be Hard to Think About Anything Else 130/30: The New Long-Only |
Volume III2008-2009Best Article: Understand the VIX Outstanding Articles: Alternatives and Liquity: WIll Spending and Capital Calls Eat Your "Modern" Portfolio? Luck, Skill and Investment Performance The Black-Litterman Model for Active Portfolio Management 2009-2010Best Article: Active portfolio Managemetn and Postive Alphas: Fact or Fantasy? Outstanding Articles: The Fiduciary Principle: No Man Can Serve Two Masters The Myth of Diversification Crisis and Innovation 2010-2011Best Article: Risk-Based Asset Allocation: A New Answer to an Old Question? Outstanding Articles: Minimum-Variance Portfolio Composition The Description of Portfolios Principal Components as a Measure of Systemic Risk 2011-2012Best Article: The Death of Diversification Has Been Greatly Exaggerated Outstanding Articles: The Norway Model Risk On / Risk Off Diversification Return and Leveraged Portfolios 2012-2013Best Articles: Volatility, Correlation, and Diversification in a Multi-Factor World The Devil in HML's Details Outstanding Articles: Diversification Across Time Liquity and Portfolio Choice: A Unified Approach The Surprising Alpha from Malkiel's Monkey and Upside-Down Strategies Risk Disparity |
Volume IV2013-2014Best Article: Evaluting Trading Strategies Outstanding Articles: Can Alpha Be Captured by Risk Premia? A Study of Low-Volatility Portfolio Construction Methods The Divergence of High- and Low-Frequency Estimation: Causes and Consequences Tesla: Anatomy of a Run-Up 2014-2015Best Article: Backtesting Outstanding Articles: A Penalty Cost Approach to Strategic Asset Allocation with Illiquid Asset Classes The Divergence of High- and Low-Frequency Estimation: Implications for Performance Measurement Fact, Fiction, and Value Investing 2015-2016Best Article: What Is an Index? Outstanding Articles: Stability-Adjusted Portfolios Alpha Signals, Smart Betas, and Factor Model Alignment David and Goliath: Who Wins the Quantitative Battle? 2016-2017Best Article: King of the Mountain: The Shiller P/E and Macroeconomic Conditions Outstanding Articles: Factor-Based Investing: The Long-Term Evidence Does Past Performance Matter in Investment Manager Selection? Man vs. Machine: Comparing Discretionary and Systematic Hedge Fund Performance 2017-2018Best Article: Behavioral Efficient Markets Outstanding Articles: Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions Buyback Derangement Syndrome The Impact of Volatility Targeting |