Winners of the 2021 Harry M. Markowitz Award from the Journal of Investment Management and the New Frontier Institute


LAFAYETTE, Calif.–(BUSINESS WIRE)–The Journal of Investment Management (JOIM) and the New Frontier Institute today announced the winners of the 2021 Harry M. Markowitz Prize. The winners are finalized by a special selection panel of Nobel laureates.

The Harry M. Markowitz Award (jointly sponsored by JOIM and New Frontier Advisors, LLC) recognizes the seminal and transcendent impact of Dr. Markowitz’s work as a financial economist and mathematician on theoretical finance and the practice of business management. assets. The award was created to honor his legacy and to support future research and innovation in practical asset management. Nominees for the annual award are chosen from articles published in JOIM during a calendar year. An honorarium of $10,000 will be awarded to the winning article. Two other finalist articles will receive a special award of distinction as well as compensation of $5,000.

2021 Markowitz Prize Winner

This year’s highest honor went to What Happens with More Funds than Stocks? Crowding Analysis of Style Factors and Individual Stocks by Ananth Madhavan, Managing Director and Global Head of Research for ETFs and Index Investing at BlackRock, Inc. and Lecturer, Haas School of Business, Aleksander Sobczyk, Vice -Senior Chairman at Two Sigma Investments, LP, and Andrew Ang, Head of Factors, Sustainability and Solutions at BlackRock, Inc.

The winning paper examines how the proliferation of funds juxtaposed with the decline in individual stock listings since the mid-1990s raises questions about individual stock crowding or style factors. The authors examine these questions by characterizing common fund components from 2007 to 2018, explicitly examining fund holdings over time for all active mutual funds and exchange-traded funds listed in the United States, and comparing their differences. The authors also explore the implications of this proliferation of funds for the pricing of individual securities and funds.

Special honors

Additionally, two 2021 Special Distinction Awards were presented for the following items:

1) How do factor premiums vary over time? A century of proof by Antti Ilmanen, Director and Global Co-Head of Portfolio Solutions Group at AQR Capital Management, LLC, Ronen Israel, Director at AQR Capital Management, Rachel Lee, Vice President of Research and Portfolio Management at AQR Capital Management, Tobias J. Moskowitz, Principal at AQR Capital Management, Professor of Finance and Economics at Yale University, Associate Fellow at NBER, and Ashwin Thapar, Director of Macro Strategies at AQR Capital Management.

In this article, the authors assess how factor premiums vary over time and across asset classes, examining four important factors in six asset classes over a century. The authors also identify significant temporal variation in risk-adjusted factor returns that appears unrelated to macroeconomic risks, supporting other dynamic return premia theories. Attempting to capture this variation, the authors evaluate various factor synchronization strategies, finding relatively modest predictability that likely fails to overcome implementation costs.

2) Active investment and efficiency of securities markets by Russ Wermers, Paul J. Cinquegrana ’63 Chair in Finance and Director of the Center for Financial Policy at the Smith School of Business at the University of Maryland at College Park.

This study examines the impact of active investment management on the efficiency of public safety markets. The scientific literature indicates that active management contributes to market efficiency, thereby providing positive externalities for all investors, including investors in passively managed funds. Contrary to popular interpretations of Sharpe’s (1991) “active arithmetic”, the benefits of active management are magnified in US small- and mid-cap stocks, enhancing these companies’ ability to raise capital to invest in the real economy. In all public companies, the increased efficiency offered by active management helps discipline corporate capital spending through more efficient stock pricing.

“We are delighted to recognize the groundbreaking work of the 2021 award winners who honor the impact of Harry Markowitz and his work in the theoretical and applied theory of the modern portfolio,” said Dr. Richard Michaud, founder of the New Frontier Institute, and Chairman and Chief Executive Officer of New Frontier. “Now in its twelfth year, the Markowitz Awards reflect the pursuit of the highest quality conducted in the marketplace today.”

About the New Frontier Institute

The Institute is designed to be a scientific repository and resource for academics, investment professionals and investors wishing to understand the evolution of quantitative asset management from the late 20th century. The legacy of fifty years of published research and professional presentations by Dr. Richard Michaud, representing the fundamental archives of the Institute, reflects the quantitative methods and procedures that have been put into practice at New Frontier Advisors. The Institute also archives the critical contributions of Robert Michaud and Dr. David Esch. The Institute’s mission is to promote authoritative research in asset management by bridging the gap between the academy and the established with cutting-edge research into daily practice. Visit the New Frontier Institute ( to learn more.

About the Journal Of Investment Management (JOIM)

The Journal Of Investment Management (JOIM), established in 2003, is a high quality, fully refereed publication that links the theory and practice of investment management. JOIM offers rigorous research with practical significance, drawing from the disciplines of finance, economics and accounting. Special issues on current topics, including distinguished authors who have both impressive academic and professional experience, are a highlight. The overall aim of JOIM is to be aware of the need to present the best quality material in a form that is appealing to the practitioner, student and scholar.

JOIM celebrates its twentieth anniversary this year. To commemorate our twentieth anniversary, we will publish a series of “Insights” written by leading contributors to our mandate to bridge the gap between theory and practice in investment management.

To come up:

Climate change and retirement investing

May 23 – 24, 2022 / Santa Clara University

We will explore practical research associated with two themes, climate change and investing for retirement. Coverage will include actionable insights on these important topics from leading experts in these specialty areas with physical (policy permitting) and virtual presence available.

JOIM Conference Series

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