March 23, 2012

Jason Hsu (Ph.D. '04) and Tzee-man Chow (MFE '09) Win Graham and Dodd Award

Article presents an integrated evaluation framework

LOS ANGELES -- Jason Hsu (Ph.D. '04) and Tzee-man Chow (MFE '09) were named winners of the Graham and Dodd Award for their article, A Survey of Alternative Equity Index Strategies co-authored with Vitali Kalesnik and Bryce Little. The article appeared in the September/October 2011 issue of the Financial Analysts Journal, a publication of the CFA Institute. The FAJ Advisory Council and Editorial Board selected the winners.

The award, created in 1960, honors the contributions of legendary investors Benjamin Graham and David L. Dodd to the investment analysis field. The article also received the annual FAJ "Readers' Choice Award."

Jason Hsu is an Adjunct Professor of Finance at UCLA Anderson. He is also Chief Investment Officer at Research Affiliates in Newport Beach. Tzee-man Chow is a Research Associate at Research Affiliates.

Abstract
After reviewing the methodologies behind the more popular quantitative investment strategies offered to investors as passive equity indices, the authors devised an integrated evaluation framework. They found that the strategies outperform their cap-weighted counterparts largely owing to exposure to value and size factors. Almost entirely spanned by market, value, and size factors, any one of these strategies can be mimicked by combinations of the others. Thus, implementation cost is a better evaluation criterion than returns.

 

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