William F. Sharpe was named winner of the $80,000 Wharton-Jacobs Levy Prize for Quantitative Financial Innovation for 2015.
Mr. Sharpe, co-winner of the 1990 Nobel Memorial Prize in Economic Sciences, was recognized by the Wharton-Jacobs Levy prize committee for his work in returns-based style analysis.
“Being named the winner was indeed a great honor,” Mr. Sharpe said in an e-mail. “I'm a bit out of touch with the application of the approach in the financial profession but am told that it is widely used. I am of course very gratified to know this.”
“My wife and I plan to use a substantial portion of the prize to support non-profit organizations in Monterey County (California), where we live.” Mr. Sharpe said. “Importantly, it will make possible the creation of a technology center in Seaside, Calif., to help elementary and middle school kids learn computer programming, expanding teaching that I have been doing there for several years.”
Christopher Geczy, adjunct professor of finance and academic director of the Jacobs Levy Equity Management Center for Quantitative Financial Research at the Wharton School, University of Pennsylvania, said in a news release about the award that Mr. Sharpe’s “work in the area of style analysis is particularly meaningful. His model was widely implemented across the industry and in academia, and continues to be used today.”
Mr. Sharpe, the STANCO 25 professor of finance, emeritus at Stanford University’s Graduate School of Business, “first presented a model in a 1988 article that used return patterns to determine a portfolio’s exposure to investment style characteristics such as large-cap growth or small-cap value,” the news release said. “In a 1992 paper, he went on to show how to use such a model to determine an investor’s effective overall asset mix and compare it to a desired benchmark.”
Mr. Sharpe said he plans to attend the award presentation and give a talk about style analysis at the May 20 Jacobs Levy center’s spring forum at the New York Hilton Midtown hotel.
A committee made up of academics and practitioners selected Mr. Sharpe for the prize: Mr. Geczy; Bruce I. Jacobs, committee chairman, and principal and co-founder of Jacobs Levy Equity Management; John Ameriks, principal and head of the quantitative equity group at Vanguard Group; Ronald N. Kahn, managing director, global head of scientific equity research, BlackRock; Lubos Pastor, the Charles P. McQuaid professor of finance and co-director, Fama-Miller Center for Research in Finance, the University of Chicago Booth School of Business; and Matthew Richardson, the Charles E. Simon professor of applied economics and professor of finance at the Leonard N. Stern School of Business, New York University, and the Sidney Homer director, Salomon Center for Research in Financial Institutions and Markets.
Mr. Sharpe is the second winner of the prize, first awarded in 2013 to Harry Markowitz, also co-winner of the 1990 Nobel Memorial Prize in Economic Sciences and adjunct professor of finance, Rady School of Management, University of California, San Diego.
The Wharton-Jacobs Levy prize — awarded biennially to recognize excellence in quantitative research — is endowed with a $2 million gift from Mr. Jacobs and Kenneth N. Levy, also a principal and co-founder of Jacobs Levy Equity Management.