CFA Institute names Graham and Dodd award winners

Roger G. Ibbotson and three colleagues were named winners of the annual CFA Institute’s Graham and Dodd Award for their Financial Analysts Journal article, “Liquidity as an Investment Style.”

Sharing the award with Mr. Ibbotson — professor in the practice of finance at the Yale School of Management, and chairman and chief investment officer of Zebra Capital Management — are co-authors Zhiwu Chen, Daniel Y.-J. Kim and Wendy Y. Hu.

Mr. Chen is professor of finance at the Yale School of Management; Mr. Kim is research director at Zebra; and Ms. Hu is senior quantitative researcher at Permal Asset Management.

The award honors excellence in research and financial writing for the most outstanding article appearing in the Financial Analysts Journal in 2013.

Their article finds “liquidity is an important indicator of long-run returns,” according to a CFA Institute statement. The authors suggest including liquidity as an investment factor or style, finding “returns on liquidity are economically meaningful and sufficiently different from those of other styles.”

Graham and Dodd Scroll Awards, recognizing other outstanding FAJ articles published last year, were awarded to:

  • William F. Sharpe, 1990 co-winner of the Nobel Memorial Prize in economics, professor emeritus of finance at Stanford University and director emeritus at Financial Engines Inc., Sunnyvale, Calif., for “The Arithmetic of Investment Expenses,” examining the calculation of relative terminal wealth levels of investing in funds with different expense ratios and finding that choosing low-cost investments could produce a standard of living throughout retirement more than 20% higher than selecting high-cost investments;
  • Brad M. Barber, the Maurice J. and Marcia G. Gallagher chair in finance at the Graduate School of Management, and Guojun Wang, a doctoral student in the department of economics, both at the University of California, Davis, for “Do (Some) University Endowments Earn Alpha?” using style attribution models to analyze the returns of U.S. educational endowments, finding no evidence that manager selection, market timing and tactical asset allocation generate alpha;
  • Claude B. Erb, retired managing director, TCW Group Inc., Los Angeles, and Campbell R. Harvey, the J. Paul Sticht professor in international business at the Fuqua School of Business, Duke University, Durham, N.C., research associate at the National Bureau of Economic Research, Cambridge, Mass., and investment strategy adviser with the Man Group PLC, London, for “The Golden Dilemma,” which examined gold’s role in diversified portfolios and concluded among other findings there is “little evidence that gold has been an effective hedge against unexpected inflation, whether measured in the short term or the long term”;
  • Roger Edelen, associate professor of finance at the University of California, Davis; Richard Evans, associate professor of business administration at the Darden School of Business, University of Virginia, Charlottesville; and Gregory Kadlec, R.B. Pamplin professor of finance at Virginia Polytechnic Institute and State University, Blacksburg; for “Shedding Light on ‘Invisible’ Costs: Trading Costs and Mutual Fund Performance,” which found “funds’ annual trading costs are, on average, higher than their expense ratio and negatively affect performance”; and
  • Antti Petajisto, vice president of BlackRock (BLK) Inc. (BLK), San Francisco, for “Active Share and Mutual Fund Performance.” Mr. Petajisto, who wrote the article when he was a finance professor at the Stern School of Business, New York University, found in various categories of active management, most active stock pickers outperformed their benchmark indexes even after fees, whereas closet indexers underperformed.

Robert J. Shiller was named winner of the Best Perspective Award “for the timeliest and most thought-provoking opinion article” for “Capitalism and Financial Innovation.” Mr. Shiller is a 2013 co-winner of the Nobel Memorial Prize in economics and the Arthur M. Okun professor of economics at Yale University and professor of finance at Yale School of Management University.

Messrs. Erb and Harvey were named winners of the readers’ choice award for their article.

The award-winning articles may be accessed online at no cost.

The CFA Institute will present the awards July 21 as part of the 2014 Financial Analysts Seminar in Chicago.

The FAJ advisory council and editorial board select the winners of the awards, except the readers’ choice award, which is chosen by voting open to the entire readership. The awards, which carry no prize money, were created in 1960 to honor the enduring contributions of Benjamin Graham and David L. Dodd, legendary investors, to the investment analysis field.

A global association of 120,000 members, the Charlottesville, Va.-based CFA Institute’s focus includes setting standards for the investment management profession.