Bernstein Fabozzi/Jacobs Levy Awards

Best Article Award Winners

Alpha vs. Alpha: Selection, Timing, and Factor Exposures from Different Factor Models
Ananth Madhavan, Aleksander Sobczyk and Andrew Ang
The Journal of Portfolio Management Fund Manager Selection 2020, 46 (5) 90-103; DOI: https://doi.org/10.3905/jpm.2020.1.142

Divergent ESG Ratings
Elroy Dimson, Paul Marsh and Mike Staunton
The Journal of Portfolio Management November 2020, 47 (1) 75-87; DOI: https://doi.org/10.3905/jpm.2020.1.175

Factor Momentum Everywhere
Tarun Gupta and Bryan Kelly
The Journal of Portfolio Management Quantitative Special Issue 2019, 45 (3) 13-36; DOI: https://doi.org/10.3905/jpm.2019.45.3.013

Behavioral Efficient Markets
Meir Statman
The Journal of Portfolio Management Winter 2018, 44 (3) 76-87; DOI: https://doi.org/10.3905/jpm.2018.44.3.076

King of the Mountain: The Shiller P/E and Macroeconomic Conditions
Robert D. Arnott, Denis B. Chaves and Tzee-man Chow
The Journal of Portfolio Management Fall 2017, 44 (1) 55-68; DOI: https://doi.org/10.3905/jpm.2017.44.1.055

What Is an Index?
Andrew W. Lo
The Journal of Portfolio Management Winter 2016, 42 (2) 21-36; DOI: https://doi.org/10.3905/jpm.2016.42.2.021

Backtesting
Campbell R. Harvey and Yan Liu
The Journal of Portfolio Management Fall 2015, 42 (1) 13-28; DOI: https://doi.org/10.3905/jpm.2015.42.1.013

Evaluating Trading Strategies
Campbell R. Harvey and Yan Liu
The Journal of Portfolio Management Special 40th Anniversary Issue 2014, 40 (5) 108-118; DOI: https://doi.org/10.3905/jpm.2014.40.5.108

Volatility, Correlation, and Diversification in a Multi-Factor World
Richard Roll
The Journal of Portfolio Management Winter 2013, 39 (2) 11-18; DOI: https://doi.org/10.3905/jpm.2013.39.2.011

The Death of Diversification Has Been Greatly Exaggerated
Antti Ilmanen and Jared Kizer
The Journal of Portfolio Management Spring 2012, 38 (3) 15-27; DOI: https://doi.org/10.3905/jpm.2012.38.3.015

Risk-Based Asset Allocation: A New Answer to an Old Question?
Wai Lee
The Journal of Portfolio Management Summer 2011, 37 (4) 11-28; DOI: https://doi.org/10.3905/jpm.2011.37.4.011

Active Portfolio Management and Positive Alphas: Fact or Fantasy?
Robert A. Jarrow
The Journal of Portfolio Management Summer 2010, 36 (4) 17-22; DOI: https://doi.org/10.3905/jpm.2010.36.4.017

Understanding the VIX
Robert E Whaley
The Journal of Portfolio Management Spring 2009, 35 (3) 98-105; DOI: https://doi.org/10.3905/JPM.2009.35.3.098

Dynamic Portfolio Analysis
Richard C Grinold
The Journal of Portfolio Management Fall 2007, 34 (1) 12-26; DOI: https://doi.org/10.3905/jpm.2007.698029

Gathering Implicit Alphas in a Beta World
Martin L Leibowitz and Anthony Bova
The Journal of Portfolio Management Spring 2007, 33 (3) 10-18; DOI: https://doi.org/10.3905/jpm.2007.684748

Five Myths About Fees
Ronald N. Kahn, Matthew H. Scanlan and Laurence B. Siegel
The Journal of Portfolio Management Spring 2006, 32 (3) 56-64; DOI: https://doi.org/10.3905/jpm.2006.628406

The Active Risk Puzzle
Robert B Litterman
The Journal of Portfolio Management 30th Anniversary Issue 2004, 30 (5) 88-93; DOI: https://doi.org/10.3905/jpm.2004.442626

Fight the Fed Model
Clifford S Asness
The Journal of Portfolio Management Fall 2003, 30 (1) 11-24; DOI: https://doi.org/10.3905/jpm.2003.319916

Expected Returns on Stocks and Bonds
Antti Ilmanen
The Journal of Portfolio Management Winter 2003, 29 (2) 7-27; DOI: https://doi.org/10.3905/jpm.2003.319869

Do Hedge Funds Hedge?
Clifford S Asness, Robert J Krail and John M Liew
The Journal of Portfolio Management Fall 2001, 28 (1) 6-19; DOI: https://doi.org/10.3905/jpm.2001.319819

The Growth of Index Funds and the Pricing of Equity Securities
Burton G. Malkiel and Aleksander Radisich
The Journal of Portfolio Management Winter 2001, 27 (2) 9-21; DOI: https://doi.org/10.3905/jpm.2001.319788

The Shrinking Equity Premium
Jeremy J. Siegel
The Journal of Portfolio Management Fall 1999, 26 (1) 10-17; DOI: https://doi.org/10.3905/jpm.1999.319776

Why Do Valuation Ratios Forecast Long-Run Equity Returns?
Thomas K. Philips
The Journal of Portfolio Management Spring 1999, 25 (3) 39-44; DOI: https://doi.org/10.3905/jpm.1999.319714