The first 50 voters will receive Volume IV of the Bernstein Fabozzi/Jacobs Levy Awards book, which includes commentaries by the award-winning authors accompanied by their winning articles from The Journal of Portfolio Management from 2014 to 2018. The books will be mailed in early 2022.

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* 4. Articles

  First Choice Second Choice Third Choice Fourth Choice
Active Factor Completion Strategies
Hubert Dichtl, Wolfgang Drobetz, Harald Lohre and Carsten Rother
Quantitative Special Issue 2021
Is (Systematic) Value Investing Dead?
Ronen Israel, Kristoffer Laursen and Scott Richardson
Quantitative Special Issue 2021
Resurrecting the Value Premium
David Blitz and Matthias X. Hanauer
Quantitative Special Issue 2021
Implementing Value and Momentum Strategies in Credit Portfolios
Simon Polbennikov, Albert Desclée and Mathieu Dubois
Quantitative Special Issue 2021
Settling the Size Matter
David Blitz and Matthias X. Hanauer
Quantitative Special Issue 2021
Factor Investing with Black–Litterman–Bayes: Incorporating Factor Views and Priors in Portfolio Construction
Petter N. Kolm and Gordon Ritter
Quantitative Special Issue 2021
Waiting for the Next Factor Wave: Daily Rebalancing around Market Cycle Transitions
Kevin Khang and Antonio Picca
Quantitative Special Issue 2021
Portfolio Optimization Using Factor Scores as Constraints—Factor Constrained Portfolio Optimization Approach
Teo Jašić, Stoyan Stoyanov and Dubravko Štimac
Quantitative Special Issue 2021
Currency Conversion of Fama–French Factors: How and Why
Maximilian Glück, Benjamin Hübel and Hendrik Scholz
Quantitative Special Issue 2021
Work Harder: Diligent Rebalancing and Investment Horizon
Wai Lee and Pai Liu
February 2021
Portfolio Protection? It’s a Long (Term) Story…
Nicholas McQuinn, Ashwin Thapar and Dan Villalon
February 2021
Model Risk in Risk Models: Quantifying Statistical Uncertainty in Active Risk
Kevin Khang
February 2021
The Stock-Bond Correlation
Megan Czasonis, Mark Kritzman and David Turkington
February 2021
Get Green or Die Trying? Carbon Risk Integration into Portfolio Management
Maximilian Görgen, Andrea Jacob and Martin Nerlinger
February 2021
Deconstructing ESG Ratings Performance: Risk and Return for E, S, and G by Time Horizon, Sector, and Weighting
Guido Giese, Zoltán Nagy and Linda-Eling Lee
February 2021
Valuing a Lost Opportunity: An Alternative Perspective on the Illiquidity Discount
Jamil Baz, Steve Sapra, Christian Stracke and Wentao Zhao
February 2021
Implied Mortality for the Firm: The Market Tells the Tail
Maggie Copeland, Thomas Copeland and Koda Song
February 2021
A Survey of Institutional Investors’ Investment and Management Decisions on Illiquid Assets
Kristy Jansen and Patrick Tuijp
February 2021
Modelling the Shiller CAPE Ratio, Mean Reversion, and Return Forecasts
Otto Waser
February 2021
Deep Value
Cliff Asness, John Liew, Lasse Heje Pedersen and Ashwin Thapar
Multi-Asset Special Issue 2021
Turning Tail Risks into Tailwinds
Jérôme Gava, Francisco Guevara and Julien Turc
Multi-Asset Special Issue 2021
Asset Allocation and Private Market Investing
Junying Shen, Ding Li, Grace (Tiantian) Qiu, Vishv Jeet, Michelle (Yu) Teng and Ki Cheong Wong
Multi-Asset Special Issue 2021
Forecasting Long-Horizon Volatility for Strategic Asset Allocation
Mirko Cardinale, Narayan Y. Naik and Varun Sharma
Multi-Asset Special Issue 2021
Managing Portfolio Volatility
Michael Stamos and Thomas Zimmerer
Multi-Asset Special Issue 2021
Fuzzy Factors and Asset Allocation
Alexander Rudin and Daniel Farley
Multi-Asset Special Issue 2021
Climate Change and Asset Allocation: A Distinction That Makes a Difference
Brian Jacobsen, Eddie Cheng and Wai Lee
Multi-Asset Special Issue 2021
Measuring Investment Skill in Multi-Asset Strategies: An Empirical Study of the Information Coefficient as Weighted Rank Correlation
Steve Q. Xia and Joseph Simonian
Multi-Asset Special Issue 2021
Expected Surplus Growth Compared with Mean–Variance Optimization
Jarrod Wilcox and Stephen Satchell
Multi-Asset Special Issue 2021
Optimal Allocation to Time-Series and Cross-Sectional Momentum
Olivier Schmid and Patrick Wirth
Multi-Asset Special Issue 2021
Tactical Asset Allocation with the Relative Total Return CAPE
Rolando F. Peláez
Multi-Asset Special Issue 2021
New Perspective on Investment Models
Kees Koedijk and Alfred Slager
Investment Models 2021
Factor Allocation Model: Integrating Factor Models and Strategies into the Asset Allocation Process
Dimitris Melas
Investment Models 2021
The Role of Factors in Asset Allocation
Mark Kritzman
Investment Models 2021
Factor Allocation as Reverse Attribution
Joseph Simonian
Investment Models 2021
Macro Factor Model: Application to Liquid Private Portfolios
Scott Gladstone, Ananth Madhavan, Anita Rana and Andrew Ang
Investment Models 2021
Black–Litterman and Beyond: The Bayesian Paradigm in Investment Management
Petter N. Kolm, Gordon Ritter and Joseph Simonian
Investment Models 2021
Strategic Asset Allocation for Endowment Funds
Kathleen E. Jacobs and Adam Kobor
Investment Models 2021
Failure of the Endowment Model
Richard M. Ennis
Investment Models 2021
Don’t Give Up the Ship: The Future of the Endowment Model
Laurence B. Siegel
Investment Models 2021
The Canadian Pension Model: Past, Present, and Future
Keith Ambachtsheer
Investment Models 2021
The Canadian Pension Fund Model: A Quantitative Portrait
Alexander D. Beath, Sebastien Betermier, Chris Flynn and Quentin Spehner
Investment Models 2021
The Norway Model in Perspective
David Chambers, Elroy Dimson and Antti Ilmanen
Investment Models 2021
The Quant Crisis of 2018–2020: Cornered by Big Growth
David Blitz
May 2021
Real Economy Portfolio: The Market Risk Premium as a Source of Alpha
Gerald Garvey
May 2021
Factor Modeling: The Benefits of Disentangling Cross-Sectionally for Explaining Stock Returns
Bruce I. Jacobs and Kenneth N. Levy
May 2021
Financial Anomalies in Portfolio Construction and Management
Harry Markowitz, John Guerard, Ganlin Xu and Bijan Beheshti
May 2021
Value and Interest Rates: Are Rates to Blame for Value’s Torments?
Thomas Maloney and Tobias J. Moskowitz
May 2021
Bridging the Gap between Strategic Allocation and Investment Risk
Redouane Elkamhi, Jacky S.H. Lee and Sheikh Sadik
May 2021
Diversifying Diversification: Downside Risk Management with Portfolios of Insurance Securities
Vineer Bhansali and Jeremie Holdom
May 2021
Optimal Strategies for ESG Portfolios
Fabio Alessandrini and Eric Jondeau
May 2021
Beta Instability and Implications for Hedging Systematic Risk: Takeaways from the COVID-19 Crisis
Arik Ben Dor, Stephan Florig, Jingling Guan and Xiaming Zeng
May 2021
Volatility Targeting: The Bridge Between Options-Based and Traditional Defensive Strategies
Ryan Poirier
May 2021
Foreign Revenue: A New World of Risk Exposures
David Blanchett
May 2021
Calculating Outperformance in Dollars: Introducing the Excess Value Method
Avi Turetsky, Matthew Pyrz, Barry Griffiths, Joaquin Lujan and Isaac Beckel
May 2021
American Exceptionalism: The Long-Term Evidence
Elroy Dimson, Paul Marsh and Mike Staunton
Non-US Financial Markets 2021
Emerging Market Stock Momentum Returns during US Economic Regimes
Anna Martirosyan and Joseph Simonian
Non-US Financial Markets 2021
Overnight Return Momentum: Evidence from European Markets
Arik Ben Dor and Xiaming Zeng
Non-US Financial Markets 2021
Euro Stoxx 50 Dividends—Reconciling Analyst Estimates and Dividend Future Prices
Arik Ben Dor and Stephan Florig
Non-US Financial Markets 2021
What Portfolio in Europe Makes Sense?
Gueorgui S. Konstantinov
Non-US Financial Markets 2021
The European ETF Market: Growth, Trends, and Impact on Underlying Instruments
Véronique Le Sourd and Shahyar Safaee
Non-US Financial Markets 2021
Benefits of Open Architecture and Multi-Management in Real Estate Markets—Evidence from French Nonlisted Investment Trusts
Béatrice Guedj, Lionel Martellini and Shahyar Safaee
Non-US Financial Markets 2021
China A-Shares: Strategic Allocation to Market and Factor Premiums
Wilma de Groot, Laurens Swinkels and Weili Zhou
Non-US Financial Markets 2021
The Revealed Inefficiencies of the China A-H Premium
Fujun Li, Xiaoyang Liu and Vivek Viswanathan
Non-US Financial Markets 2021
Recent Trends and Perspectives on the Korean Asset Management Industry
Jang Ho Kim, Yongjae Lee, Jaekyu Bae and Woo Chang Kim
Non-US Financial Markets 2021
Market Timing Skill and Trading Activity in Taiwan’s Retail-Dominated Futures Market
Shean-Bii Chiu, Jason Hsu, Hsing-Kuo Lai and Phillip Wool
Non-US Financial Markets 2021
The Best Strategies for Inflationary Times
Henry Neville, Teun Draaisma, Ben Funnell, Campbell R. Harvey and Otto Van Hemert
August 2021
The Quantitative Approach for Sustainable Investing
Eric Sorensen, Mike Chen and George Mussalli
August 2021
Tax-Smart Portfolio Valuation and Performance Measurement
Andrew Kalotay
August 2021
Volatility Targeting: It’s Complicated!
George Mylnikov
August 2021
A Market Microstructure View of the Informational Efficiency of Security Prices
Robert A. Schwartz
August 2021
Long-Term Investing and the Frequency of Investment Decisions
Ronald J. M. van Loon
August 2021
Hedge Funds and Their Prime Brokers: Favorable IPO Allocations
Xiaohui Yang, Hossein B. Kazemi and Mila Getmansky Sherman
August 2021
The Myth of Diversification Reconsidered
William Kinlaw, Mark Kritzman, Sébastien Page and David Turkington
August 2021
A Time-Series Analysis and Forecast of CAPE
Marc Fandetti
August 2021
The Global Market Portfolio
Gregory Gadzinski, Markus Schuller and Andrea Vacchino
August 2021
The P/E Ratio, the Business Cycle, and Timing the Stock Market
Sangkyun Park
August 2021
Firm-Specific Industries, Volatility, and Return: A Text-Based Network Industrial Classification Approach
Hussein Abdoh
August 2021
Momentum Information Propagation through Global Supply Chain Networks
Rei Yamamoto, Naoya Kawadai and Hiroki Miyahara
August 2021
Novel Risks: A Research and Policy Overview
Ahmet K. Karagozoglu
Novel Risks 2021
Foundations of Climate Investing: How Equity Markets Have Priced Climate-Transition Risks
Guido Giese, Zoltán Nagy and Bruno Rauis
Novel Risks 2021
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio
Théo Roncalli, Théo Le Guenedal, Frédéric Lepetit, Thierry Roncalli and Takaya Sekine
Novel Risks 2021
Top-Down Portfolio Implications of Climate Change
Yesim Tokat-Acikel, Marco Aiolfi, Lorne Johnson, John Hall and Jessica (Yiwen) Jin
Novel Risks 2021
Geopolitical Risk in Investment Research: Allies, Adversaries, and Algorithms
Joseph Simonian
Novel Risks 2021
Firm-Level Cybersecurity Risk and Idiosyncratic Volatility
Nazli Sila Alan, Ahmet K. Karagozoglu and Tianpeng Zhou
Novel Risks 2021
The Implications of Contemporary Research on COVID-19 for Volatility and Portfolio Management
Dominique Outlaw, Aimee Hoffmann Smith and Na Wang
Novel Risks 2021
Socially Responsible Investing Strategies under Pressure: Evidence from the COVID-19 Crisis
Gunther Capelle-Blancard, Adrien Desroziers and Olivier David Zerbib
Novel Risks 2021
Measuring and Managing ESG Risks in Sovereign Bond Portfolios and Implications for Sovereign Debt Investing
Lionel Martellini and Lou-Salomé Vallée
Novel Risks 2021
Three Decades of Global Institutional Investment in Commercial Real Estate
Alexander Carlo, Piet Eichholtz and Nils Kok
Special Real Estate Issue 2021
Tokenization—The Future of Real Estate Investment?
Andrew Baum
Special Real Estate Issue 2021
Reexamining the Real Estate Quadrants
Kieran Farrelly and Alex Moss
Special Real Estate Issue 2021
Climate Risk and Real Estate Prices: What Do We Know?
Jim Clayton, Steven Devaney, Sarah Sayce and Jorn Van de Wetering
Special Real Estate Issue 2021
Global Risk Premiums on Direct Office Real Estate Returns
Ivo de Wit and Christopher Mayer
Special Real Estate Issue 2021
Private Equity Real Estate Fund Performance: A Comparison to REITs and Open-End Core Funds
Thomas R. Arnold, David C. Ling and Andy Naranjo
Special Real Estate Issue 2021
Investment Performance of US High-Yield Real Estate Debt: An Empirical Analysis
Michael Giliberto
Special Real Estate Issue 2021
Who Gains from Place-Based Tax Incentives? Exploring Apartment Sales Prices in Qualified Opportunity Zones
Edward F. Pierzak
Special Real Estate Issue 2021
Portfolio Upside and Downside Risk—Both Matter!
Jeffrey D. Fisher and Joseph D’Alessandro
Special Real Estate Issue 2021
Risky Corporate Bonds in 2021: A Bubble, or Rational Underwriting in a Low-Rate Environment?
Edward I. Altman and Mike Harmon
November 2021
Measuring and Managing the Opportunity Cost of Downside Risk Protection
Nicole Beevers, Hannes Du Plessis, Lionel Martellini and Vincent Milhau
November 2021
A Tale of Two Tails: Mortality, Size, Volatility, and EPU
Maggie Copeland, Thomas Copeland and Zhitong Lai
November 2021
Volatility-Dependent Skewness Preference
Xiang Gao, Kees G. Koedijk and Zhan Wang
November 2021
Fund Success and Assurance Frontiers
Martin L. Leibowitz and Stanley Kogelman
November 2021
Volatility Timing under Low-Volatility Strategy
Poh Ling Neo and Chyng Wen Tee
November 2021
The Efficient Frontier: A Note on the Curious Difference between Variance and Standard Deviation
Richard Roll
November 2021
Should Equity Factors Be Betting on Industries? 
Krishna Vyas and Michael van Baren
November 2021
Developing Practical Investment Resilience
Jarrod Wilcox
November 2021
How Much Information Is Required to Time the Market? 
Rongju Zhang and Henry Wong
November 2021
The Unreasonable Attractiveness of More ESG Data
Mike Chen, Robert von Behren and George Mussalli
November 2021

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