David Blitz, Matthias Hanauer, Harald Lohre and Alexander Swade were named winners of the top prize in the 26th Annual Bernstein Fabozzi/Jacobs Levy Awards.
Blitz, chief researcher, quant equity research term; Hanauer, researcher, quant equity research team; and Lohre, head of quant equity research, all with Robeco; and Swade, vice president, quantitative researcher at State Street Associates, were honored for their article “Factor Zoo (.zip).”
In the article, the authors seek to determine the minimum number of factors that can explain all factor alphas, the metrics used in quantitative investing that aims to identify market inefficiencies and predict future stock movements.
They do so by beginning with the capital asset pricing model (CAPM) market factor and adding factors that best capture any remaining factor alpha, until arriving at a method that reduces a collection of 153 published U.S. equity factors to 15 factors that can explain what they call the “factor zoo.” The piece appeared in the Quantitative Special Issue 2024 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 3 news release that “the authors’ analysis shows that many more factors are needed to explain returns than the three to six factors found in most academic factor models and highlights the importance of ongoing innovation in factor research.”
The winners were selected by Journal of Portfolio Management subscribers who voted for the best research papers published in the quarterly journal and special issues in 2024.
In addition to the Best Article award of $10,000, three additional pieces were awarded $5,000 each as outstanding articles: “Dynamic Asset Allocation Using Machine Learning: Seeing the Forest for the Trees” by Christian Mueller-Glissmann and Andrea Ferrario; “Do Alternative Risk Premia Diversify? New Evidence for the Post-Pandemic Era” by Antti Suhonen and Kari Vatanen; and “The Less-Efficient-Market Hypothesis,” by Clifford Asness.
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.
