LAFAYETTE, Calif.--(BUSINESS WIRE)--The Journal of Investment Management (JOIM) and New Frontier Advisors, LLC (NFA) today announced the winners of the sixth annual Harry M. Markowitz Awards, as determined by a Special Selection Panel composed of Nobel Prize winners Harry M. Markowitz, Robert C. Merton, Myron S. Scholes and William F. Sharpe.
The winners of this year's top award are James X. Xiong and Roger G. Ibbotson, for their paper "Momentum, Acceleration, and Reversal," a look at the impact of accelerated stock price increases on future performance. The paper notes: "Accelerated stock price increases are a strong contributor to both poor future performance and a higher probability of reversals. It implies that accelerated growth is not sustainable and can lead to drops. The acceleration mechanism is also able to reconcile the well documented 2–12 month momentum phenomenon and 1-month reversal." Xiong is head of quantitative research for Morningstar Investment Management LLC and Ibbotson is chairman and chief investment officer for Zebra Capital Management, LLC and a professor of finance at Yale School of Management.
The 2015 Special Distinction Awards were given to Clifford S. Asness, Antti Ilmanen, Ronen Israel and Tobias J. Moskowitz for their paper "Investing with Style," and Harry M. Markowitz for "Consumption, Investment and Insurance in the Game of Life."
"Investing with Style" discusses the four investment “styles”—value, momentum, carry, and defensive—that have "uniquely held up," and "the intuition and evidence" for them, detailing "how to implement a strategy that can access these style premia to improve the risk and returns of traditional portfolios."
"Consumption, Investment and Insurance in the Game of Life," details Markowitz's proposal for a “Game of Life” simulator in which portfolio selection is just one type of move in the financial actions of a subject household.
"Every year I'm impressed by the quality of work and the innovative thinking we see from the winners of these awards," said Dr. Richard Michaud, President and Chief Investment Officer at New Frontier Advisors. "We are pleased to support the progress that this year’s recipients represent in the theory and application of asset management in practice."
The 2015 awards will be presented at the upcoming Spring JOIM Conference March 6-8, 2016 in Rohnert Park, CA. The conference will focus on the Past, Present and Future of Behavioral Finance from the leading scholars and practitioners of this discipline. We will have a review of the science, current practice and future of behavioral finance in investment management.
“Now in their sixth year, the Harry M. Markowitz awards continue to recognize the ideas, scientific research, and intellectual progress that epitomize the spirit and innovation of Harry himself,” said Gifford Fong, editor of JOIM and President of Gifford Fong Associates. “We look forward to honoring the winners in person at JOIM's Behavioral Finance conference in March.”
About the Harry M. Markowitz Award
The Harry M. Markowitz Award (sponsored jointly by the Journal Of Investment Management 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. Final selection consists of Nobel laureates Harry M. Markowitz, Robert C. Merton, Myron S. Scholes, and William F. Sharpe. 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.
About New Frontier Advisors
New Frontier Advisors (NFA) is a Boston-based institutional research and investment advisory firm specializing in the development and application of state-of-the-art investment technology. Founded in 1999, NFA is a pioneer in ETF-based global model portfolios for advisors and their clients. NFA principals are the inventors of the Michaud Efficient Frontier optimizer, a broad spectrum, patented, provably effective portfolio optimization process. With four U.S. patents, NFA continues to pioneer advanced yet practical investment technology and research in asset allocation and portfolio management.
About 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. Our 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.
About the JOIM Conference Series
The mission of the JOIM Conference Series (founded in 2006) is to extend the mandate of the Journal of Investment Management (JOIM) in bridging the theory and practice of investment management. Whereas the JOIM journal is a rigorous peer reviewed publication, the JOIM Conference Series showcases very high quality presentations and a platform for interactive discussions of current topics in the investment management arena. Prevalent throughout both activities is the highest quality material suitable for the academic, practitioner and student.