Michele Aghassi, Cliff Asness, Charles Fattouche and Tobias J. Moskowitz were named winners of the top prize in the 25th Annual Bernstein Fabozzi/Jacobs Levy Awards.
Aghassi, a principal; Asness a founder, managing principal and chief investment officer; Fattouche, a managing director; and Moskowitz, a principal, all with AQR Capital Management, were honored for their article "Fact, Fiction and Factor Investing."
The article tests, confirms and rebuts some claims regarding factor investing and finds that those factors finding the most attention in academia are those based on consistent out-of-sample performance, solid theory and strong in-sample statistical significance. The piece appeared in the Quantitative Special Issue 2023 of The Journal of Portfolio Management.
Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management, which funds the award, said in a March 1 news release about the award that "the authors are to be commended for sifting through the many claims about factor investing and presenting an assessment of its benefits and drawbacks."
The winners were selected by subscribers who voted for the best papers published in the quarterly journal and special issues in 2023.
In addition to the Best Article award of $5,000, three additional pieces were awarded $2,500 each as outstanding articles: "Where Are the Factors in Factor Investing?" by Marcos Lopez de Prado; "From ELIZA to ChatGPT: The Evolution of Natural Language Processing and Financial Applications" by Andrew Lo, Manish Singh and ChatGPT; and "Compound Tail Risk" by Robert Engle.
The awards are named for Peter L. Bernstein, who founded the journal; Frank J. Fabozzi, editor; and Bruce Jacobs and Ken Levy of Jacobs Levy Equity Management.
The papers are available on The Journal of Portfolio Management's website. A subscription is required.
