April 05, 2005

Richard Roll Receives Graham and Dodd Award for Best Financial Analysts Journal Article


Richard RollLOS ANGELES —The  CFA Institute Financial Analysts Journal announced that Richard Roll, Japan Alumni Chair in International Finance, has received the prestigious Graham and Dodd Award for his article “Empirical TIPS.” This is the third time Roll has won a Graham and Dodd Award.  In 1984, he won for "The Arbitrage Pricing Theory Approach to Strategic Portfolio Planning," and again in 1988 for "The International Crash of October 1987."

Awarded by the FAJ’s advisory council and editorial board, the Graham and Dodd Award for excellence in research and financial writing is the publication’s highest honor.  The FAJ is published by CFA Institute, the worldwide association of more than 70,000 financial securities analysts and investment managers. The article, published in the January-February 2004 issue, describes how investor portfolios can be improved by the addition of U.S. Treasury Inflation-Indexed Securities, or TIPS.  It investigates the correlations of TIPS returns with the returns on nominal bonds and with equity returns, TIPS real and effective nominal durations and changes in the volatility of TIPS over time. The analysis is also used to derive near-term and long-term inflation expectations of investors.

The Graham and Dodd Award, created in 1960 to honor Benjamin Graham’s and David L. Dodd’s enduring contributions to the field of investment analysis, is presented each year to the author or authors of the most outstanding article published in the Financial Analysts Journal that year.  Past recipients have included such industry leaders as Peter L. Bernstein, William F. Sharpe, Fischer Black and Charles D. Ellis.  In 2004, Clifford S. Asness, managing principle with AQR Capital Management in New York, received this prestigious recognition for his article “Surprise! Higher Dividends = Higher Earnings Growth.”

The 60-year-old Financial Analysts Journal is published six times a year.  Its purpose is to advance the knowledge and understanding of the practice of investment management through the publication of high-quality, practitioner-relevant research.  To celebrate its 60th anniversary, each issue of the FAJ contains special “reflections” pieces written by specially invited authors such as Abby Joseph Cohen, CFA, John C. Bogle and Gary P. Brinson, CFA.  These articles will be compiled into a hard-bound anthology at the end of 2005. 

Read "Empirical TIPS" by Richard Roll (PDF)

About CFA Institute
CFA Institute is the global, non-profit professional association that administers the CFA curriculum and examination program worldwide and, through its CFA Centre for Financial Market Integrity, sets voluntary, ethics-based professional and performance-reporting standards for the investment industry.  CFA Institute has 75,000 members in 119 countries.  Its membership includes the world’s 63,000 CFA charterholders, as well as 130 affiliated professional societies in 51 countries and territories. CFA Institute is headquartered in Charlottesville, Va., USA, with additional offices in London and Hong Kong.  CFA Institute was known as AIMR (Association for Investment Management and Research) from 1990 to early 2004, and before that was two separate organizations whose roots go back to 1947.  More information may be found at www.cfainstitute.org or by calling (800) 247-8132 or (434) 951-5499.

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