NEW YORK--(BUSINESS WIRE)--Institutional Investor Journals, the leading publisher of practical research in investment management and finance, is pleased to announce Campbell R. Harvey and Yan Liu as the winners of the 17th Annual Bernstein Fabozzi/Jacobs Levy Awards. Their article, “Backtesting,” was published in the Fall 2015 issue of The Journal of Portfolio Management. The Awards were established in 1999 to honor the journal’s editors, Peter L. Bernstein and Frank Fabozzi, and promote research excellence in the theory and practice of portfolio management.
In their article, Harvey, a professor at Fuqua School of Business, Duke University, and research associate at the National Bureau of Economic Research in Cambridge, Mass., and Liu, an assistant professor of finance at Texas A&M University, offer an analysis on backtesting. This is the practice of applying strategy and analytics to historical trading data to determine how well real trading results could have been predicted.
“It’s a great honor to receive the Bernstein Fabozzi/Jacobs Levy Award. We are in an investment environment where there is intense pressure to produce something that looks good. Unfortunately, this leads to extensive data mining. This, in turn, results in impressive backtests that convince many investors to put their money into products that have the propensity to disappoint,” said Harvey. “I am encouraged by the reception my paper has received in the investment management community. Managers don’t want to disappoint clients, and my paper provides new tools to help them make sure they don’t.”
“These awards are an important part of the journal’s commitment to honoring and encouraging excellence in the theory and practice of portfolio management. We would like to congratulate the winners on their significant and important contributions to the investment community,” said Frank Fabozzi, editor of The Journal of Portfolio Management.
The Bernstein Fabozzi/Jacobs Levy Awards also honored the following authors for Outstanding Articles in 2015:
- Mark Hayes, James A. Primbs and Ben Chiquoine: “A Penalty Cost Approach to Strategic Asset Allocation with Illiquid Asset Classes” (Winter 2015)
- Will Kinlaw, Mark Kritzman and David Turkington: “The Divergence of High- and Low-Frequency Estimation: Implications for Performance Measurement” (Spring 2015)
- Clifford Asness, Andrea Frazzini, Rosen Israel and Tobias Moskowitz: “Fact, Fiction, and Value Investing” (Fall 2015)
“The Bernstein Fabozzi/Jacobs Levy Award is a particularly exceptional honor, because the subscribers of The Journal of Portfolio Management are the judges. Winners are recognized by their peers, so the award carries special merit. I congratulate Campbell Harvey, Yan Liu and the recipients of the Outstanding Article awards for their exceptional contributions to the literature,” said Dave Blide, publisher of Institutional Investor Journals.
The Bernstein Fabozzi/Jacobs Levy Awards consist of a $2,500 prize for Best Article and $1,000 prizes for each Outstanding Article. The awards are generously funded by Jacobs Levy Equity Management.
According to Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management: “Campbell Harvey and Yan Liu, who also took the top prize last year, continue to contribute vital insights into a very important issue: how to tell if the findings obtained from research ‘in the lab’ will hold up to deliver like results in the real world. Congratulations to them and all the winners of the 17th Annual Bernstein Fabozzi/Jacobs Levy Awards.”
Articles published in The Journal of Portfolio Management’s four regular issues, as well as its special China Issue in January 2015 and special Real Estate Issue in September 2015, were eligible for the awards. Winners were nominated by The Journal of Portfolio Management subscribers.
About The Journal of Portfolio Management
Edited by Frank Fabozzi and founded in 1974 by Peter L. Bernstein, The Journal of Portfolio Management is the leading editorial source of cutting-edge strategies and analyses for institutional investment management. Published by Institutional Investor, it is available quarterly in print and online.
About Jacobs Levy Equity Management
Jacobs Levy Equity Management, founded in 1986, is an independent, registered investment advisor dedicated to the management of institutional U.S. equity portfolios, with an investment philosophy and approach grounded in empirical financial research. Bruce Jacobs and Kenneth Levy are widely recognized for their own award-winning research on equity management, market neutral long-short strategies, enhanced active 130-30 strategies, and leverage and systemic risk.
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Institutional Investor Journals offers in-depth, original, and practical research in key areas of investment management and finance, including fixed income, index investing, derivatives, trading, private equity, portfolio management, structured finance, and wealth management. Written and edited by world-renowned practitioners and academics, the journals are extensively read and highly regarded in the industry.