William F. Sharpe was named winner of the annual Graham and Dodd Award for his article “Adaptive Asset Allocation Policies,” the CFA Institute announced.
Mr. Sharpe, 1990 laureate of the Nobel prize in economics and STANCO 25 professor emeritus of finance at Stanford University, was cited for proposing “an asset allocation policy that adapts to market movements by taking into account changes in the outstanding market values of major asset classes,” the statement said. “Such a policy considers important information, reduces or avoids contrarian behavior, and can be followed by a majority of investors.”
The article appeared in the May/June 2010 issue of the Financial Analysts Journal, which is published by the CFA Institute. The award was created in 1960 to honor excellence in research and financial writing and the enduring contributions of Benjamin Graham and David L. Dodd to the investment analysis field.
CFA Institute plans to present the award to Mr. Sharpe at its San Francisco Society event in September.
Mr. Sharpe has won four other Graham and Dodd awards, his first in 1972.
The FAJ's Best Perspectives Award, recognizing the timeliest and most thought-provoking opinion article, was awarded to Roger G. Ibbotson, chairman and chief investment officer of Zebra Capital, a professor at the Yale School of Management, and founder and adviser to Ibbotson Associates, for his article “The Importance of Asset Allocation.” The article, published in the March/April 2010 issue, “discusses the impact on performance of the long-term asset allocation policy relative to the impact of active management,” the statement said.
Graham and Dodd Scroll Awards, recognizing outstanding FAJ articles published in 2010, were awarded to:
• Bradford Cornell, professor of financial economics at California Institute of Technology, Pasadena, for “Economic Growth and Equity Investing,” published January/February 2010. The article “examines the implications for prospective equity returns from an array of growth models and empirical results,” the statement said.
• Mark Kritzman, president and CEO of Windham Capital Management, Cambridge, Mass; Sebastien Page, executive vice president and head of client analytics, PIMCO, Newport Beach, Calif.; and David Turkington, vice president of State Street Global Markets, Cambridge, Mass., for “In Defense of Optimization: The Fallacy of 1/N,” published March/April 2010. The article “argues that even with naive inputs, optimized portfolios usually outperform equally weighted portfolios — the opposite view normally taken,” the statement said. Mr. Page was senior managing director, State Street Global Markets, Boston, when he co-authored the article.
• John Hull, professor of finance, and Alan White, professor of finance, both at the Joseph L. Rotman School of Management, University of Toronto, for “The Risk of Tranches Created from Mortgages,” published September/October 2010. The article, using credit-rating criteria, “tested how wide the AAA tranches created from residential mortgages can be,” the statement said. They found that the AAA ratings assigned to some tranches “cannot be justified.”
Readers' Choice Award went to Seth A. Klarman, president of The Baupost Group LLC, Boston-based hedge fund private investment partnership, and Jason Zweig, columnist for the Wall Street Journal, for their article, “Opportunities for Patient Investors,” published September/October 2010. Mr. Zweig discusses Mr. Klarman's approach to investing.
The FAJ advisory council and editorial board selects the winners of the awards, except the readers' choice award, which is selected by voting open to the entire readership. The awards have no prize money.