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Investment research award

Paper on factor-based investing co-authored by Professor Elroy Dimson of Cambridge Judge wins Outstanding Article award from publisher of The Journal of Portfolio Management.

Investment Research Award

Professor Elroy Dimson

Professor Elroy Dimson

A paper co-authored by Professor Elroy Dimson, Chairman of the Newton Centre for Endowment Asset Management (CEAM) at Cambridge Judge Business School, was named an Outstanding Article in the annual Bernstein Fabozzi/Jacobs Levy Awards announced by Institutional Investor Journals (II Journals).

The awards are for the best articles that appear in The Journal of Portfolio Management during 2017.

The article co-authored by Professor Elroy Dimson of Cambridge Judge, Professor Paul Marsh and Dr Mike Staunton, both of London Business School – entitled Factor-Based Investing: The Long-Term Evidence – appeared in the 2017 “Quantitative Strategies” issue of the journal.

“The authors examine size, value, income, momentum and volatility as key factors driving equity returns,” II Journals said in announcing the award. “They discuss performance over periods as long as 117 years and conclude that evidence on the premiums associated with the factors is not conclusive.”

The Bernstein Fabozzi/Jacobs Levy Awards were established in 1999 to honour Journal of Portfolio Management editors Peter Bernstein and Frank Fabozzi for their contributions to portfolio management.