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 2023.

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* 4. Articles

  First Choice Second Choice Third Choice Fourth Choice
The Future of Factor Investing 
Dimitris Melas
Quantitative Special Issue 2022
The Quant Cycle 
David Blitz 
Quantitative Special Issue 2022
Investing in US Core Fixed Income with Macro and Style Factors 
Eugene Pauksta, Karishma Kaul, Tom Parker, Scott Radell, and Andrew Ang 
Quantitative Special Issue 2022
Price Informativeness with Equity Market Factors 
Roger Clarke, Harindra de Silva, and Steven Thorley 
Quantitative Special Issue 2022
Macro Factor Investing with Style 
Alexander Swade, Harald Lohre, Mark Shackleton, Sandra Nolte, Scott Hixon, and Jay Raol 
Quantitative Special Issue 2022
Factor Construction Zoo: Are Factor Exposures Created Equal? 
Shaojun Zhang 
Quantitative Special Issue 2022
Factor Investing Using Capital Market Assumptions 
Redouane Elkamhi, Jacky S. H. Lee, and Marco Salerno 
Quantitative Special Issue 2022
Why Are High Exposures to Factor Betas Unlikely to Deliver Anticipated Returns? 
Chris Brightman, Forrest Henslee, Vitali Kalesnik, Feifei Li, and Juhani Linnainmaa
Quantitative Special Issue 2022
How Valuable Are Target Price Forecasts to Factor Investing? 
Hamza Bahaji 
Quantitative Special Issue 2022
Socially Responsible Investing and Factor Investing, Is There an Opportunity Cost? 
Li Cai, Ricky Cooper, and Di He 
Quantitative Special Issue 2022
Toward Tax-Efficient Low-Volatility Investing 
Shaojun Zhang 
Quantitative Special Issue 2022
Factor Investing in Sovereign Bond Markets: Deep Sample Evidence 
Guido Baltussen, Martin Martens, and Olaf Penninga 
Quantitative Special Issue 2022
Latent Factors in Equity Returns: How Many Are There and What Are They? 
Ross French 
Quantitative Special Issue 2022
Active versus Passive: Old Wine in New Wine Skins 
Eric Sorensen, Nicholas Alonso, Sebastian Lancetti, and Daniel Belanger
February 2022
Quantifying Long-Term Market Impact 
Campbell R. Harvey, Anthony Ledford, Emidio Sciulli, Philipp Ustinov, and Stefan Zohren
February 2022
Predicting Performance Using Consumer Big Data 
Kenneth Froot, Namho Kang, Gideon Ozik, and Ronnie Sadka
February 2022
The Better-of-Two Strategy for Active versus Passive Management: The Option Value of Active through Time 
Steve Fox and P. Brett Hammond
February 2022
The Gerber Statistic: A Robust Co-Movement Measure for Portfolio Optimization 
Sander Gerber, Harry M. Markowitz, Philip A. Ernst, Yinsen Miao, Babak Javid, and Paul Sargen
February 2022
Trending Fast and Slow 
Eddie Cheng, Nazar Kostyuchyk, Wai Lee, Pai Liu, and Chenfei Ma
February 2022
Public and Private Equity Returns: Different or Same? 
Alexander Rudin and Daniel Farley
February 2022
The Covariance Structure between Liquid and Illiquid Assets
Marielle de Jong
February 2022
History, Shocks, and Drifts: A New Approach to Portfolio Formation 
Mark Kritzman and David Turkington
February 2022
There Is No Unique Rational Decision Strategy in Financial Markets 
Klaus Schredelseker
February 2022
Intangibles: The Missing Ingredient in Book Value 
Feifei Li
February 2022
Changes in Ownership Breadth and Capital Market Anomalies
Yangru Wu and Weike Xu
February 2022
Gains from Markowitz Optimization: Evidence from Reoptimization of Mutual Fund Holdings 
Tony Elavia, S. P. Kothari, Xu Li, and Haifeng You
February 2022
Aggregate Alpha in the Hedge Fund Industry: A Further Look at Best Ideas 
F. Amir-Ghassemi, A. Papanicolaou, and M. Perlow
February 2022
Multi-Asset Class Factor Premia: A Strategic Asset Allocation Perspective
Stefano Cavaglia, Louis Scott, Kenneth Blay, and Scott Hixon
Multi-Asset Special Issue 2022
Net-Zero Investing for Multi-Asset Portfolios Seeking to Satisfy Paris-Aligned Benchmark Requirements with Climate Alpha Signals 
Philip Hodges, He Ren, Katharina Schwaiger, and Andrew Ang
Multi-Asset Special Issue 2022
Dual-Horizon Strategic Asset Allocation 
Alexander Rudin and Daniel Farley
Multi-Asset Special Issue 2022
A Novel Approach to Risk Parity: Diversification across Risk Factors and Market Regimes 
Chris Kelliher, Avishek Hazrachoudhury, and Bill Irving
Multi-Asset Special Issue 2022
When to Diversify Differently 
Brian Jacobsen and Matthias Scheiber
Multi-Asset Special Issue 2022
Risk Parity and Beyond—From Asset Allocation to Risk Allocation Decisions 
Romain Deguest, Lionel Martellini, and Attilio Meucci
Multi-Asset Special Issue 2022
Portfolio Risk Mitigation without Bonds 
Michael Stamos
Multi-Asset Special Issue 2022
Sharpe Parity Redux  
Joseph Simonian and Anna Martirosyan
Multi-Asset Special Issue 2022
Cross-Asset Skew 
Nick Baltas and Gabriel Salinas
Multi-Asset Special Issue 2022
Diversification—A Free Starbucks Cup of Coffee? 
Mark Anson
Multi-Asset Special Issue 2022
Using a Life Cycle Model to Design a Target Date Glidepath 
Ilia Lanski, Raj Paramaguru, Wesley Phoa, Yung Wang, and P. Brett Hammond
Multi-Asset Special Issue 2022
The Long and the Short of Risk Parity 
Alexandre Rubesam
Multi-Asset Special Issue 2022
Downside Risk-Parity Portfolio 
Ronghua Luo, Haohan Wang, and Weiyi Liu
Multi-Asset Special Issue 2022
On the Benefits of Scale Economies in Asset Management 
Shreya Adiraju, Dalia Blass, Samara Cohen, Ananth Madhavan, and Salim Ramji
April 2022
Tail Risk Hedging Performance: Measuring What Counts
Linda Chang, Jeremie Holdom, and Vineer Bhansali
April 2022
Stock-Market Risk Factors and Manager Performance 
Peter Mladina and Steven Germani
April 2022
Toward Regime-Aware Risk Forecasts 
Kevin Khang
April 2022
Systematic ESG Risk and Passive ESG Investing 
Ick Jin
April 2022
Performance, Perception, and Manager Selection 
Scott D. Stewart
April 2022
Drawdown Measures: Are They All the Same? 
Olaf Korn, Philipp M. Möller, and Christian Schwehm
April 2022
Carbon-Tax-Adjusted Value 
David Blitz and Tobias Hoogteijling
April 2022
Cost, Performance, and Benchmark Bias of Public Pension Funds in the United States: An Unflattering Portrait 
Richard M. Ennis
April 2022
Portfolio Decisions within a Generalized Funding Ratio Framework 
Martin L. Leibowitz and Stanley Kogelman
April 2022
Maximizing Capital Efficiency in US Defined Benefit Pension Plan Immunizing Portfolio Construction Using Derivatives and a Power Law Relationship 
Scott McDermott
April 2022
Option-Enhanced Tax-Smart Portfolio Value 
Andrew Kalotay
April 2022
The Performance Life Cycle of Hedge Funds: Can Investors Achieve Lasting Performance? 
Chao Gao, Timothy D. Haight, Chengdong Yin, and Chengsi Zhang
April 2022
Inflation Risk Premium 
Jamil Baz, Josh Davis, Jerry Tsai, and Ziqi Zhang
April 2022
Equity Market Structure and the Persistence of Unsolved Problems: A Microstructure Perspective 
Robert A. Schwartz, James Ross, and Deniz Ozenbas
Market Microstructure 2022
Emerging Technologies and the Transformation of Exchange Trading Platforms 
Andy Novocin and Bruce Weber
Market Microstructure 2022
Market Design—A Practitioner’s Perspective 
Martin Reck
Market Microstructure 2022
A Primer on Liquidity from an Asset Management and Asset Allocation Perspective 
Harshdeep Ahluwalia, Anatoly Shtekhman, Venky Venkatesh, and Yu Zhang
Market Microstructure 2022
Corporate Bond Trading: Finding the Customers’ Yachts 
Maureen O’Hara and Xing (Alex) Zhou
Market Microstructure 2022
The Return of the Call Auction 
Deniz Ozenbas and Robert A. Schwartz
Market Microstructure 2022
Market Impact Decay and Capacity 
Hector Chan
Market Microstructure 2022
Endogenous Dynamics of Intraday Liquidity 
Mikołaj Bińkowski and Charles-Albert Lehalle
Market Microstructure 2022
Demystifying Index Rebalancing: An Analysis of the Costs of Liquidity Provision 
Ananth Madhavan, Jason Ribando, and Nogie Udevbulu
Market Microstructure 2022
Mean-Variance Optimization for Simulation of Order Flow 
Petter N. Kolm and Nicholas Westray
Market Microstructure 2022
Social Networks, Trading, and Liquidity 
Lin Peng, Qiguang Wang, and Dexin Zhou
Market Microstructure 2022
Portfolio Factory 
Bernd Scherer
July 2022
Fund Concentration: A Magnifier of Manager Skill 
Chris Tidmore
July 2022
Shared Experience in Top Management Team and Mutual Fund Performance 
ZhengAi He and Eric K. M. Tan
July 2022
Sector Rotation in Times of Crises 
Pratiksha Sharma, Dhruvi Nishar, Vedant Kabra, Peyasha Sehgal, Debashis Guha, and Larry Pohlman
July 2022
Is Incorporating ESG Considerations Costly?
Arik Ben Dor, Jingling Guan, and Yunpeng Sun
July 2022
The Impact of Intangible Capital on Factor Performance Efficacy 
Andrew L. Berkin, Amitabh Dugar, and Jacob Pozharny
July 2022
Expected Stock Returns When Interest Rates Are Low
David Blitz
July 2022
Consumer Spending and the Cross-Section of Stock Returns
Tarun Gupta, Edward Leung, and Viorel Roscovan
July 2022
Understanding the Stable Components of Seasonality in the Size Effect
Boris Fays, Georges Hübner, and Marie Lambert
July 2022
How Have ETFs Changed Market Macro Efficiency and Risk Structure?
Santiago Guzman, Joseph Peteul, and Amir Rezaee
July 2022
Predicting Stock Index Changes
Sascha Wilkens
July 2022
What Matters More for Emerging Markets Investors: Economic Growth or EPS Growth?
Jason Hsu, Jay Ritter, Phillip Wool, and Yanxiang Zhao
Emerging Markets 2022
Rethinking Emerging Markets: A Fresh Perspective
Gerald Garvey and Ananth Madhavan
Emerging Markets 2022
Emerging Market Investing: A Multi-Asset, Granular, and Dynamic Portfolio Approach
Josh Davis, Grace (Tiantian) Qiu, German Ramirez, Helen Guo, Ding Li, and Zhihui Yap
Emerging Markets 2022
Momentum and Downside Risk in Emerging Markets
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin, and Imra Kirli
Emerging Markets 2022
Emerging Markets Currency Factors and US High-Frequency Macroeconomic Shocks
Adrien Alvero and Dalibor Eterovic
Emerging Markets 2022
Stock Selection Modeling and Portfolio Selection in Emerging Markets
John B. Guerard, Jr., Robert A. Gillam, and Bijan Beheshti
Emerging Markets 2022
Navigating Insolvency Risks in Emerging Markets
Aurelio Gurrea-Martinez and Elena L. Daly
Emerging Markets 2022
Evolution of Emerging Markets Debt Investing
Chia Liang Lian
Emerging Markets 2022
The Capital-Protection Capacity of Emerging Markets Inflation-Linked Bonds
Marielle de Jong and Laurens Swinkels
Emerging Markets 2022
Emerging Market Bonds: Expected Returns and Currency Impact
Gueorgui S. Konstantinov
Emerging Markets 2022
Performance Evaluation, Factor Models, and Portfolio Strategies: Evidence from Chinese Mutual Funds
Yeguang Chi, Yu Liu, and Xiao Qiao
Emerging Markets 2022
Mutual Fund Illiquidity and Stock Price Fragility: A Study Based on Chinese Mutual Funds
Jiaxun Song and Jin Gao
Emerging Markets 2022
The COVID-19 Impact On Emerging Markets
Rwan El-Khatib and Anis Samet
Emerging Markets 2022
Perspectives on Private Equity and Venture Capital
Mark Anson
Private Markets 2022
Integrating Private Equity in a Liquid Multi-Asset Portfolio
Roger Aliaga-Diaz, Giulio Renzi-Ricci, Brennan O’Connor, and Harshdeep Ahluwalia
Private Markets 2022
Proposing a New Metric: Private Fund Duration
Rafael Castilla, Felicia David-Visser, and David Brophy
Private Markets 2022
The Value of Smoothing
Jamil Baz, Josh Davis, Lloyd Han, and Christian Stracke
Private Markets 2022
Private Equity Performance and the Effects of Cash-Flow Timing
Stephannie Larocque, Sophie Shive, and Jennifer Sustersic Stevens
Private Markets 2022
New Insights into Private Equity: Empirical Evidence from More Than 500 Buyouts
Andreas Gruener and Leon Marburger
Private Markets 2022
An Infrastructure Investment Primer: From Valuation to Allocation and Manager Selection
Noël Amenc, Frédéric Blanc-Brude, Abhishek Gupta, and Tim Whittaker
Private Markets 2022
Public or Private? Determining the Optimal Ownership Structure
Gregory Brown, Andrea Carnelli Dompé, and Sarah Kenyon
Private Markets 2022
Process Alpha: How to Construct and Manage Optimized Venture Portfolios
Joe Milam
Private Markets 2022
Venture Capital Financing in Europe: Gender and Ethnic Diversity in Founder Teams
Thomas Åstebro, Ramzi Rafih, and Carlos J. Serrano
Private Markets 2022
Global Equity Market Volatility during the Initial Stages of the COVID-19 Pandemic: Drivers and Policy Responses
Nazli Sila Alan, Robert F. Engle, and Ahmet K. Karagozoglu
Novel Risks 2022
Climate Change, Corporate Valuation, and the Proposed Securities and Exchange Commission Disclosure Regulations
Bradford Cornell
Novel Risks 2022
Climate Output at Risk
Riccardo Rebonato, Dherminder Kainth, and Lionel Melin
Novel Risks 2022
Corporate Bonds and Climate Change Risk
Afsaneh Mastouri, Rohit Mendiratta, and Guido Giese
Novel Risks 2022
Assessing Climate Change Impact on Sovereign Bonds
Lera Bowman, Dapeng Hu, Mark Hu, Amit Madaan, and Antonio Baldaque da Silva
Novel Risks 2022
Do Corporate Carbon Emissions Data Enable Investors to Mitigate Climate Change?
Vitali Kalesnik, Marco Wilkens, and Jonas Zink
Novel Risks 2022
Carbon Risk Factor Framework
Alex Gurvich and Germán G. Creamer
Novel Risks 2022
Sustainable Investing and Climate Transition Risk: A Portfolio Rebalancing Approach
Giacomo Bressan, Irene Monasterolo, and Stefano Battiston
Novel Risks 2022
ESG, Fundamentals, and Stock Returns
Eric Sorensen, George Mussalli, Sebastian Lancetti, and Daniel Belanger
Novel Risks 2022
Systematic ESG Risk and Decision Criteria for Optimal Portfolio Selection
Ick Jin
Novel Risks 2022
Comparing Geopolitical Risk Measures
Ahmet K. Karagozoglu, Na Wang, and Tianpeng Zhou
Novel Risks 2022
Scenario-Driven Adaptation to Emergent Risks
Julian N. Abdey, Jared S. Franz, and Wesley K. Phoa
Novel Risks 2022
Risk in Risk Aversion
Jarrod Wilcox and Steven Satchell
November 2022
False Pretenses in Institutional Asset Management
John E. Woods
November 2022
Investment Decisions under Almost Complete Causal Ignorance
Joseph Simonian
November 2022
Type I and Type II Errors of the Sharpe Ratio under Multiple Testing
Marcos López de Prado
November 2022
Where’s Tobin? Protecting Intergenerational Equity for Endowments: A New Benchmarking Approach
M. Barton Waring and Laurence B. Siegel
November 2022
The Effects of Spending Rules and Asset Allocation on Nonprofit Endowments
Zachery Halem, Andrew W. Lo, Egor Matveyev, and Sarah Quraishi
November 2022
The Modern Endowment Story: A Ubiquitous US Equity Factor
Richard M. Ennis
November 2022
Financial Anomalies in Asset Allocation: Risk Mitigation with Cross-Sectional Equity Strategies
Redouane Elkamhi, Jacky S. H. Lee, and Marco Salerno
November 2022
An Investor’s Guide to Crypto
Campbell R. Harvey, Tarek Abou Zeid, Teun Draaisma, Martin Luk, Henry Neville, Andre Rzym, and Otto Van Hemert
November 2022
Using a Mean-Changing Stochastic Processes Exit–Entry Model for Stock Market Long–Short Prediction
Sebastien Lleo, Mikhail Zhitlukhin, and William T. Ziemba
November 2022
A Holistic Approach to Creating High Income Portfolios That Are Risk–Return Efficient and Tax Aware
Todd Schlanger, Brennan O’Connor, and Harshdeep Ahluwalia
November 2022
Value for Equity Index Options: Expected—Not Realized—Volatility and the Distribution of Forecasts
J. Benson Durham
November 2022

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