Thematic Investing and Credit Risk Research Honored with Graham and Dodd Awards of Excellence

CFA Institute, the global association of investment professionals, today announced the winners of the Graham and Dodd Awards of Excellence, recognizing the most outstanding research articles published in the CFA Institute Financial Analysts Journal during the year. 

Named after Benjamin Graham and David L. Dodd, whose work laid the foundation for modern investment analysis, the Graham and Dodd Awards celebrate research that combines academic rigor with practical relevance for investment professionals.  

Each year a Top Award is presented to the authors of the most exceptional article, along with up to two Scroll Awards presented to authors of runner-up papers.

Graham and Dodd Awards of Excellence – Top Award:

Thematic Investing: A Risk-Based Perspective

Financial Analysts Journal, Vol 81, Issue 4, pages 103-120

Authors:
Emmanuel Candès, Trevor Hastie (Stanford University)

Ked Hogan, Ronald N. Kahn, Robert Luo (BlackRock)

Asher Spector (Stanford University)

The paper offers a rigorous new way to define and evaluate investment themes – moving beyond marketing narratives to focus on measurable sources of risk and return. 

The authors propose a risk-based framework that identifies themes by examining whether groups of stocks exhibit unexpected and statistically significant transient return correlations. Using real-world thematic baskets, the research shows that themes with meaningful correlations among the included stocks tend to exhibit higher than expected risk and stronger performance trends, while those without such correlations do not. 

The judging panel cited the paper as an exceptional example of quantitative research that remains highly accessible to practitioners, noting its usefulness well beyond its original application.

Graham and Dodd Awards of Excellence – Scroll Award:

Credit-Implied Volatility

Financial Analysts Journal, Vol 81, Issue 2, Pages 89-116

Authors:
Bryan Kelly (Yale University and AQR Capital Management)

Gerardo Manzo (Independent Researcher)

Diogo Palhares (Independent Researcher)

The paper introduces a novel measure of credit-implied volatility, derived from credit default swap (CDS) spreads, to better understand risk pricing in corporate credit markets.

By constructing a volatility surface across firms and maturities, the authors identify key features of credit markets, including how credit risk responds to market shocks and how risk premia are determined. The research provides new insights into the conditional dynamics of credit markets, helping to explain patterns in credit spreads that traditional structural models struggle to capture. 

The judging panel recognized the article as an innovative and important contribution to fixed-income research, highlighting its ability to balance theoretical depth with empirical clarity.

Margaret Franklin, CFA, President and CEO, CFA Institute, comments:

“My congratulations to the authors of this year’s Graham and Dodd Awards of Excellence. For more than six decades, these awards have recognized research that strengthens the intellectual foundations of investment practice. This year’s winning papers continue that tradition by adding clarity and discipline to how investors assess and interpret risk in equity and credit markets. Together, they make a valuable contribution to the evolving body of practitioner-focused research that supports informed analysis and decision-making.” 

William Goetzmann, Executive Editor of the Financial Analysts Journal, comments:

“What distinguishes the winning papers is their ability to address real challenges faced by investment professionals using innovative but practical approaches. Both articles exemplify the Financial Analysts Journal’s mission to bridge academic and investment practice.” 

The winning research articles are available here.