Minimum-Variance Portfolios in the U.S. Equity Market.
New York, NY (PRWEB) February 15, 2008
Morgan Stanley (NYSE:MS) research authors Martin Leibowitz and Anthony Bova were awarded top honors for their contribution to promote research excellence in the theory and practice of portfolio management by The Journal of Portfolio Management.
Leibowitz and Bova's article "Gathering Implicit Alphas in a Beta World" was voted the Best Article in the 9th Annual Bernstein Fabozzi/Jacobs Levy Awards by the readers of Institutional Investor, Inc.'s The Journal of Portfolio Management.
"We are particularly grateful for this award in that it directly reflects the views of The Journal of Portfolio Management's broad readership and also helps to underscore what we believe to be an important message for both institutional and individual investors," Martin Leibowitz and Anthony Bova stated. "Virtually all asset allocations, even the most diversified, have risks that are dominated by a 90% or greater correlation with equities. The broad outline of this relationship is generally recognized, but its many significant implications have yet to be fully incorporated into either the theory or the practice of investment management."
In addition to Best Article, readers of The Journal of Portfolio Management also voted for three Outstanding Articles. Another Morgan Stanley employee, Robert Ferstenberg, shared an Outstanding Article award with Professor Robert Engle of New York University. Professor Engle is the 2003 Nobel Laureate in Economic Sciences. In their article, titled "Execution Risk," they develop a multi-period augmentation of the Markowitz mean/variance model for portfolio construction to include both the cost and risk of execution.
This year's Bernstein Fabozzi/Jacobs Levy Awards also honored repeat winners Roger Clarke and Harindra de Silva of Analytic Investors, along with Steven Thorley of Brigham Young University, for Outstanding Article. Their Outstanding Article is "Minimum-Variance Portfolios in the U.S. Equity Market."
Three Canada-based researchers won an Outstanding Article award: Kodjovi Assoe of HEC Montreal; and Jean-Francois L'Her and Jean-Francois Plante of Caisse de Depot et Placement du Quebec. "The Relative Importance of Asset Allocation and Security Selection" is the title of their Outstanding Article.
Now in its ninth year, the annual Bernstein Fabozzi/Jacobs Levy Awards are generously funded by Jacobs Levy Equity Management. Noted Jacobs Levy Principal Bruce Jacobs, "In the current period of market volatility and retrenchment, the winning articles revisit some of the basics of investing and bring back refreshing, and practical, insights. Best Article recipients Leibowitz and Bova look at beta in a new and promising way, while Mssrs. Assoe, L'Her, and Plante reassess the relative importance of asset allocation and security selection, concluding that time matters. Clarke, de Silva, and Thorley discover new appeal in the minimum-variance portfolio, whileEngle and Ferstenberg show us how to integrate the stock selection and trade execution problems so as to optimize performance. We are delighted to be able to honor this type of research, which opens up ever new perspectives on the age-old art of investing."
About The Journal of Portfolio Management
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. The Journal of Portfolio Management is published quarterly by Institutional Investor, Inc.
About Jacobs Levy Equity Management
Jacobs Levy Equity Management, founded in 1986, is an independent, leading-edge quantitative equity manager with $18 billion in institutional assets under management. Bruce Jacobs and Kenneth Levy are widely recognized for their award winning research on equity management, market neutral long-short strategies, and enhanced active 130-30 strategies, collected in their books Equity Management: Quantitative Analysis for Stock Selection and Market Neutral Strategies.