The Journal of Investment Management and New Frontier Institute 2021 Harry M. Markowitz Award Winners

Top Honor Awarded to Madhavan, Sobczyk, and Ang for “What Happens with More Funds than Stocks?”

LAFAYETTE, Calif.--()--The Journal of Investment Management (JOIM) and New Frontier Institute announced today the winners of the 2021 Harry M. Markowitz Award. The winners are finalized by a Special Selection Panel comprised of Nobel Prize Laureates.

The Harry M. Markowitz Award (sponsored jointly by the JOIM and New Frontier Advisors, LLC) recognizes the seminal and transcendent impact of Dr. Markowitz’s work as a financial economist and mathematician on both theoretical finance and the practice of asset management. The award has been established to honor his legacy and to support future research and innovation in practical asset management. Candidates for the annual award are chosen from among papers published in JOIM in a calendar year. An honorarium of $10,000 will be bestowed to the winning paper. Two additional finalist papers will receive a Special Distinction Award along with a $5,000 honorarium.

2021 Markowitz Award Winner

This year’s top honor was awarded to What Happens with More Funds than Stocks? Analysis of Crowding in Style Factors and Individual Equities by Ananth Madhavan, Managing Director and Global Head of Research for ETFs and Index Investing at BlackRock, Inc. and Lecturer, Haas School of Business, Aleksander Sobczyk, Senior Vice President at Two Sigma Investments, LP, and Andrew Ang, Head of Factors, Sustainable and Solutions at BlackRock, Inc.

The winning paper examines how the proliferation of funds juxtaposed against the decline in individual stock listing since the mid-1990s raises questions about crowding in individual stocks or style factors. The authors examine these issues by characterizing the common components of funds from 2007 through 2018, explicitly looking at fund holdings over time for all US-listed equity active mutual funds and exchange-traded funds and contrast their differences. The authors also explore the implications of this proliferation in funds for the pricing of individual securities and funds.

Special Distinction Awards

In addition, two 2021 Special Distinction Awards were given for the following papers:

1) How Do Factor Premia Vary Over Time? A Century of Evidence by Antti Ilmanen, Principal and Global Co-head of the Portfolio Solutions Group at AQR Capital Management, LLC, Ronen Israel, Principal at AQR Capital Management, Rachel Lee, Vice President in Research & Portfolio Management at AQR Capital Management, Tobias J. Moskowitz, Principal at AQR Capital Management, Professor of Finance and Economics at Yale University, Research Associate at NBER, and Ashwin Thapar, Principal of Macro Strategies at AQR Capital Management.

In this paper, the authors evaluate how factor premia vary over time and across asset classes, examining four prominent factors across six asset classes over a century. The authors also identify meaningful time variation in risk-adjusted factor returns that appears unrelated to macroeconomic risks, supporting other theories of dynamic return premia. Attempting to capture this variation, the authors evaluate various factor-timing strategies, finding relatively modest predictability that likely fails to overcome implementation costs.

2) Active Investing and the Efficiency of Security Markets by Russ Wermers, Paul J. Cinquegrana ’63 Endowed Chair in Finance and Director at Center for Financial Policy at the Smith School of Business, University of Maryland at College Park.

This study investigates the impact of active investment management on the efficiency of public security markets. The scholarly literature indicates that active management contributes to market efficiency, thereby providing positive externalities for all investors, including investors in passively-managed funds. Contrary to popular interpretations of Sharpe’s (1991) “active arithmetic,” the benefits of active management are amplified in small and mid-capitalization U.S. stocks, enhancing the ability of these companies to raise capital for investments in the real economy. Across all public corporations, the improved efficiency afforded by active management helps to discipline capital expenditures by corporations through a more efficient stock price.

“We are pleased to recognize the path-breaking work of the 2021 Award Winners who honor the impact of Harry Markowitz and his work in theoretical and applied modern portfolio theory,” said Dr. Richard Michaud, Founder of New Frontier Institute, and President and Chief Executive Officer at New Frontier. “Now in their twelfth year, the Markowitz Awards reflect the highest-quality research being conducted in the market today.”

About New Frontier Institute

The Institute is designed to be a scholarly repository and resource for academics, investment professionals, and investors with interest in understanding the evolution of quantitative asset management beginning in the late 20th century. Dr. Richard Michaud’s fifty-year legacy of published research and professional presentations, representing the foundational archive of the Institute, reflects the quantitative methods and procedures that have been put into practice at New Frontier Advisors. The Institute also archives critical contributions by Robert Michaud and Dr. David Esch. The Institute’s mission is to promote authoritative research on asset management by bridging the gap between the academy and the workbench with cutting-edge research in daily practice. Visit New Frontier Institute ( to learn more.

About the Journal Of Investment Management (JOIM)

The Journal Of Investment Management (JOIM), established in 2003, is a high quality, fully refereed publication, which bridges the theory and practice of investment management. The JOIM offers rigorous research with practical significance, drawing from the disciplines of finance, economics and accounting. Special issues on timely topics including distinguished authors who have both impressive academic and professional experience are a highlight. The JOIM’s overall goal is to be mindful of the need to present the very best quality material in a form appealing to the practitioner, student and academic.

The JOIM is celebrating its twentieth anniversary this year. To commemorate our twentieth anniversary, we will be publishing a series of “Insights” authored by leading contributors to our mandate of bridging the theory and practice of investment management.


Climate Change & Retirement Investing
May 23 – 24, 2022 / Santa Clara University

We will be exploring the practical research associated with two themes, Climate Change and Retirement Investing. The coverage will include actionable insights of these important topics by leading experts from these specialty areas with physical (policy permitting) and virtual attendance available.

© 2022 New Frontier Advisors, LLC. All rights reserved.


Christine Proctor
Journal Of Investment Management (JOIM)

Cynthia Miller
New Frontier Advisors

Release Summary

New Frontier Institute and The Journal of Investment Management announce 2021 Harry M. Markowitz Award Winners.


Christine Proctor
Journal Of Investment Management (JOIM)

Cynthia Miller
New Frontier Advisors