08 Feb 2018
LBS faculty recognised for work on factor-based investing
London Business School (LBS) faculty have been named winners in the 19th Annual Bernstein Fabozzi/Jacobs Levy Awards.
The awards celebrate the best articles published in The Journal of Portfolio Management during the preceding year.
A paper by Emeritus Professors of Finance at LBS Paul Marsh and Elroy Dimson, and Dr Mike Staunton, Director of LBS’s London Share Price Database, was recognised as one of three Outstanding Articles named in this year’s awards.
Their winning research, ‘Factor-Based Investing: The Long-Term Evidence’, examined size, value, income, momentum and volatility as key factors driving equity returns. They discussed performance over periods as long as 117 years and quantified the long-term premiums associated with these factors. The article was published in last year’s Special Quantitative Strategies issue of The Journal of Portfolio Management.
The winners of the Best Article award were Robert Arnott, Denis Chaves, and Tzee-man Chow.
Professor Marsh commented, “Elroy, Mike and I felt that this was an evidence-based contribution to the debate on the usefulness of smart beta strategies and we are pleased with the positive response it has generated from our peers.”
Professor Dimson added, “This recognition is particularly gratifying given the award was based on the votes of subscribers.”
The Bernstein Fabozzi/Jacobs Levy Awards were established to honour The Journal of Portfolio Management’s founding editor Peter Bernstein and current editor Frank Fabozzi for their extraordinary contributions and to promote research excellence in the theory and practice of portfolio management.