Wai Lee, a director of research at Neuberger Berman, won the top prize of $2,500 in the Bernstein Fabozzi/Jacobs Levy Awards for his article “Risk-Based Asset Allocation: A New Answer to an Old Question?”
Three articles were named “outstanding articles,” according to a statement Tuesday from The Journal of Portfolio Management. Each of these articles was awarded a prize of $1,000 that will be split among their authors.
All the articles appeared in one of the four quarterly issues that ended with the summer issue of 2011.
The article by Mr. Lee, who is also chief investment officer of Neuberger Berman's quantitative investment group, sheds light on portfolio construction approaches focused on risk and diversification characteristics, rather than expected return, and on support for these techniques based on their apparent outperformance compared to passive market-capitalization-weighted portfolios.
In his analysis, he notes “that any portfolio which deviates from the market capitalization-weighted portfolio is an active portfolio” and “concludes that there is no theory to predict, ex ante, that any of these risk-based approaches should outperform,” according to a description of the article.
The recipients are:
- Roger Clarke, chairman of Analytic Investors, and Harindra de Silva, Analytic president, and Steven Thorley, H. Taylor Peery professor of finance at Brigham Young University, for their article “Minimum-Variance Portfolio Composition,” published in the winter issue;
- Richard Grinold, who retired in 2009 as global director of research at Barclays Global Investors, for his article “The Description of Portfolios”; and
- Mark Kritzman, managing partner and CIO, and Yuanzhen Li, senior research associate, both of Windham Capital Management; Sebastien Page, executive vice president at Pacific Investment Management Co.; and Roberto Rigobon, professor of applied economics at the Sloan School of Management, Massachusetts Institute of Technology, and research associate of the National Bureau of Economic Research, for their article “Principal Components as a Measure of Systemic Risk.”
Jacobs Levy Equity Management funds the awards. Bruce Jacobs, principal and co-founder of Jacobs Levy, said in another statement, “We started these awards in 1999 to honor Journal of Portfolio Management (former) editors Peter Bernstein and Frank Fabozzi and their extraordinary work in bringing the latest and most significant financial research to investment practitioners. This year's winners honor their commitment. They also reflect a year that witnessed continuing and often dramatic volatility in financial markets. Each article examines risk at some level, whether that of the individual portfolio or the broad economy.”
The winners are determined by votes from the journal's subscribers.
