Updated with correction.
Campbell R. Harvey, Anthony Ledford, Emidio Sciulli, Philipp Ustinov and Stefan Zohren were named winners of the top prize in the Bernstein Fabozzi/Jacobs Levy Awards.
Mr. Harvey, professor of finance at Duke University; Mr. Ledford, chief scientist and academic liaison, and Mr. Sciulli, head of fast trading strategies, both at Man-AHL; Mr. Ustinov and Mr. Zohren, both principal quants, central trading, at Man Group, were honored for their article "Quantifying Long-Term Market Impact."
The article highlighted the importance of considering market impact costs when measuring strategy performance, and also provided a method for analyzing more complex trades where there is auto-correlation in the orders. The piece appeared in the February 2022 issue of The Journal of Portfolio Management.
Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management, which funds the award, said in a statement that "despite the rise in computer-assisted, high-turnover strategies, most academic research papers continue to ignore the market impact costs of trading, but the authors of this article provide a welcome focus on the issue, as well as a useful method for measuring long-term impact costs."
The winners were selected by subscribers who voted for the best papers published in the quarterly journal and special issues in 2022.
In addition to the Best Article award of $5,000, three additional pieces were awarded $2,500 each as outstanding articles: "The Covariance Structure between Liquid and Illiquid Assets" by Marielle de Jong; "Intangibles: The Missing Ingredient in Book Value" by Feifei Li; and "Corporate Bonds and Climate Change Risk" by Afsaneh Mastouri, Rohit Mendiratta, and Guido Chase.
The awards, now in their 24th year, are named for Peter L. Bernstein, who founded the journal; Frank J. Fabozzi, editor; and Bruce Jacobs and Ken Levy of Jacobs Levy Equity Management.
The papers are available on the Journal of Portfolio Management's website. A subscription is required.
