Richard Roll, Clifford Asness and Andrea Frazzini were named co-winners of the top $2,500 prizes of the Bernstein Fabozzi/Jacobs Levy Awards, according to a statement Friday from Jacobs Levy Equity Management Inc.
Mr. Roll — distinguished professor of finance, Joel Fried chair in applied finance, University of California at Los Angeles — will receive $2,500 for “Volatility, Correlation, and Diversification in a Multi-Factor World,” which tied in a vote for best article in 2013 in The Journal of Portfolio Management by subscribers. It examines “the importance of diversifying across factor sensitivities and describes a method for estimating factor sensitivities for every asset,” according a statement about the awards.
Mr. Asness, managing and founding principal, AQR Capital Management, and Mr. Frazzini, senior researcher at AQR, will share $2,500 for their “The Devil in HML's Details,” which also tied in best-article voting. It “presents an approach to measuring the book-to-price ratio that better captures asset value,” the statement said.
Mark Kritzman, founding partner and CEO at Windham Capital Management, won two awards in the runner-up category of “outstanding articles,” each receiving a $1,000 prize.
Mr. Kritzman won a single prize for his “Risk Disparity” article and shares a prize with co-authors Will Kinlaw, senior managing director and head of portfolio and risk management research, and David Turkington, managing director, both of State Street Associates, for their “Liquidity and Portfolio Choice: A Unified Approach.”
Ian Ayres, William K. Townsend professor of law, Yale Law School, and Barry Nalebuff, Milton Steinbach professor of management, Yale School of Management, will share a runner-up prize for their “Diversification Across Time”; Robert D. Arnott, chairman and CEO, Jason Hsu, chief investment officer, and Vitali Kalesnik, senior vice president and head of research, all of Research Affiliates, as well as Phil Tindall, senior investment consultant, Towers Watson & Co., will share a runner-up prize for their “The Surprising Alpha From Malkiel's Monkey and Upside-Down Strategies.”
The awards are named for Peter Bernstein, who founded the journal, and Frank Fabozzi, editor, and Jacobs Levy Equity Management, which finances the annual prizes, begun in 1999.
