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Bernstein Fabozzi / Jacobs Levy Awards Books - Table of Contents

Volume One

1998-1999

Best Article:

Why Do Valuation Ratios Forecast Long-Run Equity Returns?
Thomas K. Philips | Spring 1999

Outstanding Articles:

Long-Short Portfolio Management: An Integrated Approach
Bruce I. Jacobs, Kenneth N. Levy, David Starer | Winter 1999

The History of Finance
Merton H. Miller | Summer 1999

1999-2000

Best Article:

The Shrinking Equity Premium
Jeremy J. Siegel | Fall 1999

Outstanding Articles:

Performance Evaluation Using Conditional Alphas and Betas
Jon A. Christopherson, Wayne E. Ferson, Andrew L. Turner | Fall 1999

The Investor Fear Gauge
Robert E. Whaley | Spring 2000

Optimizing Manager Structure and Budgeting Manager Risk
Barton Waring, Duane Whitney, John Pirone, Charles Castille | Spring 2000

Beating Benchmarks
Steve Strongin, Melanie Petsch, Greg Sharenow | Summer 2000

2000-2001

Best Article:

The Growth of Index Funds and the Pricing of Equity Securities
Burton G. Malkiel, Aleksander Radisich | Winter 2001

Outstanding Articles:

Value of Skill in Security Selection versus Asset Allocation in Credit Markets
Lev Dynkin, Jay Hyman, Wei Wu | Fall 2000

Cognitive Biases in Market Forecasts
Kenneth L. Fisher, Meir Statman | Fall 2000

Why the Low Returns to Beta and Other Forms of Risk
Edward M. Miller | Winter 2001

The Death of the Risk Premium
Robert D. Arnott, Ronald J. Ryan | Spring 2001

2001-2002

Best Article:

Do Hedge Funds Hedge?
Clifford Asness, Robert Krail, John Liew | Fall 2001

Outstanding Articles:

Equity Index Funds Have Lost Their Way
Gary L. Gastineau | Winter 2002

The Small-Cap Alpha Myth
Richard M. Ennis, Michael D. Sebastian | Spring 2002

Informationless Investing and Hedge Fund Performance Measurement Bias
Andrew B. Weisman | Summer 2002

2002-2003

Best Articles:

Expected Returns on Stocks and Bonds
Antti Ilmanen | Winter 2003

The Hierarchy of Investment Choice
Mark Kritzman, Sébastien Page | Summer 2003

Outstanding Article:

A Critical Look at the Case for Hedge Funds
Richard M. Ennis, Michael D. Sebastian | Summer 2003

Volume Two

2003-2004

Best Article:

Fight the Fed Model
Clifford Asness | Fall 2003

Outstanding Articles:

Strategic versus Tactical Asset Allocation
Mark Anson | Winter 2004

Multiple Alpha Sources and Active Management
Eric H. Sorensen, Edward Qian, Robert Schoen, Ronald Hua | Winter 2004

Liability-Relative Investing
M. Barton Waring | Summer 2004

2004-2005

Best Article:

The Active Risk Puzzle
Robert Litterman | 30th Anniversary Issue

Outstanding Articles:

The Adaptive Markets Hypothesis
Andrew W. Lo | 30th Anniversary Issue

An Alternative Future: Part II
Clifford Asness | Fall 2004

Five Myths of Active Portfolio Management
Jonathan B. Berk | Spring 2005

2005-2006

Best Article:

Five Myths About Fees
Ronald N. Kahn, Matthew H. Scanlan, Laurence B. Siegel | Spring 2006

Outstanding Articles:

A Factor Approach to Asset Allocation
Roger G. Clarke, Harindra de Silva, Robert Murdock | Fall 2005

Attribution
Richard Grinold | Winter 2006

Are Optimizers Error Maximizers?
Mark Kritzman | Summer 2006

2006-2007

Best Article:

Gathering Implicit Alphas in a Beta World
Martin Leibowitz, Anthony Bova | Spring 2007

Outstanding Articles:

Minimum-Variance Portfolios in the U.S. Equity Market
Roger Clarke, Harindra de Silva, Steven Thorley | Fall 2006

The Relative Importance of Asset Allocation and Security Selection
Kodjovi Assoé, Jean-François L'Her, Jean-François Plante | Fall 2006

Execution Risk
Robert Engle, Robert Ferstenberg | Winter 2007

2007-2008

Best Article:

Dynamic Portfolio Analysis
Richard Grinold | Fall 2007

Outstanding Articles:

Information Horizon, Portfolio Turnover, and Optimal Alpha Models
Edward Qian, Eric H. Sorensen, Ronald Hua | Fall 2007

A Question So Important That It Should Be Hard to Think About Anything Else
John C. Bogle | Winter 2008

130/30: The New Long-Only
Andrew W. Lo, Pankaj N. Patel | Winter 2008

Volume Three

2008-2009

Best Article:

Understanding the VIX
Robert E. Whaley | Spring 2009

Outstanding Articles:

Alternatives and Liquidity: Will Spending and Capital Calls Eat Your "Modern" Portfolio?
Laurence B. Siegel | Fall 2008

Luck, Skill, and Investment Performance
Bradford Cornell | Winter 2009

The Black-Litterman Model for Active Portfolio Management
Alexandre S. Da Silva, Wai Lee, Bobby Pornrojnangkool | Winter 2009

2009-2010

Best Article:

Active Portfolio Management and Positive Alphas: Fact or Fantasy?
Robert A. Jarrow | Summer 2010

Outstanding Articles:

The Fiduciary Principle: No Man Can Serve Two Masters
John C. Bogle | Fall 2009

The Myth of Diversification
David B. Chua, Mark Kritzman, Sébastien Page | Fall 2009

Crisis and Innovation
Robert J. Shiller | Spring 2010

2011

Best Article:

Risk-Based Asset Allocation: A New Answer to an Old Question?
Wai Lee | Summer 2011

Outstanding Articles:

Minimum-Variance Portfolio Composition
Roger Clarke, Harindra de Silva, Steven Thorley | Winter 2011

The Description of Portfolios
Richard Grinold | Winter 2011

Principal Components as a Measure of Systemic Risk
Mark Kritzman, Yuanzhen Li, Sébastien Page, Roberto Rigobon | Summer 2011

2012

Best Article:

The Death of Diversification Has Been Greatly Exaggerated
Antti Ilmanen, Jared Kizer | Spring 2012

Outstanding Articles:

The Norway Model
David Chambers, Elroy Dimson, Antti Ilmanen | Winter 2012

Risk On / Risk Off
Wai Lee | Spring 2012

Diversification Return and Leveraged Portfolios
Edward Qian | Summer 2012

2013

Best Articles:

Volatility, Correlation, and Diversification in a Multi-Factor World
Richard Roll | Winter 2013

The Devil in HML's Details
Clifford Asness, Andrea Frazzini | Summer 2013

Outstanding Articles:

Diversification Across Time
Ian Ayres, Barry Nalebuff | Winter 2013

Liquidity and Portfolio Choice: A Unified Approach
Will Kinlaw, Mark Kritzman, David Turkington | Winter 2013

The Surprising Alpha from Malkiel's Monkey and Upside-Down Strategies
Robert D. Arnott, Jason Hsu, Vitali Kalesnik, Phil Tindall | Summer 2013

Risk Disparity
Mark Kritzman | Fall 2013

Volume Four

2014

Best Article:

Evaluating Trading Strategies
Campbell R. Harvey, Yan Liu | 40th Anniversary Issue, September 2014

Outstanding Articles:

Can Alpha Be Captured by Risk Premia?
Jennifer Bender, P. Brett Hammond, William Mok | Winter 2014

A Study of Low-Volatility Portfolio Construction Methods
Tzee-man Chow, Jason C. Hsu, Li-lan Kuo, Feifei Li | Summer 2014

The Divergence of High- and Low-Frequency Estimation: Causes and Consequences
William Kinlaw, Mark Kritzman, David Turkington | 40th Anniversary Issue, September 2014

Tesla: Anatomy of a Run-Up
Bradford Cornell, Aswath Damodaran | Fall 2014

2015

Best Article:

Backtesting
Campbell R. Harvey, Yan Liu | Fall 2015

Outstanding Articles:

A Penalty Cost Approach to Strategic Asset Allocation with Illiquid Asset Classes
Mark Hayes, James A. Primbs, Ben Chiquoine | Winter 2015

The Divergence of High- and Low-Frequency Estimation: Implications for Performance Measurement
Will Kinlaw, Mark Kritzman, David Turkington | Spring 2015

Fact, Fiction, and Value Investing
Clifford Asness, Andrea Frazzini, Ronen Israel, Tobias Moskowitz | Fall 2015

2016

Best Article:

What Is an Index?
Andrew W. Lo | Winter 2016

Outstanding Articles:

Stability-Adjusted Portfolios
Mark Kritzman, David Turkington | Special Quantitative Equity Strategies Issue, May 2016

Alpha Signals, Smart Betas, and Factor Model Alignment
Terry Marsh, Paul Pfleiderer | Special Quantitative Equity Strategies Issue, May 2016

David and Goliath: Who Wins the Quantitative Battle?
John C. Bogle | Fall 2016

2017

Best Article:

King of the Mountain: The Shiller P/E and Macroeconomic Conditions
Robert D. Arnott, Denis B. Chaves, Tzee-man Chow | Fall 2017

Outstanding Articles:

Factor-Based Investing: The Long-Term Evidence
Elroy Dimson, Paul Marsh, Mike Staunton | Special Quantitative Strategies Issue, March 2017

Does Past Performance Matter in Investment Manager Selection?
Bradford Cornell, Jason Hsu, David Nanigian | Summer 2017

Man vs. Machine: Comparing Discretionary and Systematic Hedge Fund Performance
Campbell R. Harvey, Sandy Rattray, Andrew Sinclair, Otto Van Hemert | Summer 2017

2018

Best Article:

Behavioral Efficient Markets
Meir Statman | Winter 2018

Outstanding Articles:

Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions
Lionel Martellini, Vincent Milhau | Special Multi-Asset Strategies Issue, December 2017

Buyback Derangement Syndrome
Clifford Asness, Todd Hazelkorn, Scott Richardson | Spring 2018

The Impact of Volatility Targeting
Campbell R. Harvey, Edward Hoyle, Russell Korgaonkar, Sandy Rattray, Matthew Sargaison, Otto Van Hemert | Fall 2018

   

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