CFA Institute Names Top Financial Analysts Journal Articles with Annual Graham and Dodd Awards Best Article of 2011 Examines How International Diversification Offers Investor Protection

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New York , New York, , 15 March 2012

International Diversification Works (Eventually)" by Clifford S. Asness, Roni Israelov, and John M. Liew, was selected Best Article in the prestigious Graham and Dodd Awards, a CFA Institute program honoring the top Financial Analysts Journal articles of 2011. The article, published in the May/June issue of FAJ, examines how despite  the many critics of diversification, global portfolio diversification indeed offers a high degree of investor protection over the longer term.

The FAJ Advisory Council and Editorial Board also awarded four Graham and Dodd Scroll Awards to recognize additional outstanding articles published last year:

  • Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly” by Malcolm Baker, Brendan Bradley, and Jeffrey Wurgler (Jan/Feb 2011): Contrary to basic finance principles, high-beta and high-volatility stocks have long underperformed low-beta and low-volatility stocks. This anomaly looks at arbitrage activity in both high-alpha, low-beta stocks and low-alpha, high-beta stocks.

  • A Survey of Alternative Equity Index Strategies” by Tzee-man Chow, Jason Hsu, Vitali Kalesnik, and Bryce Little (Sept/Oct 2011): 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.

  • The ABCs of Hedge Funds: Alphas, Betas, and Costs” by Roger G. Ibbotson, Peng Chen, CFA, and Kevin X. Zhu (Jan/Feb 2011): The authors decomposed their estimated pre-fee 1995–2009 hedge fund returns into alphas, betas, and costs. The year-by-year results show that alphas were positive during every year of the past decade, even during the recent financial crisis.

  • Active Management in Mostly Efficient Markets” by Robert C. Jones, CFA, and Russ Wermers (Nov/Dec 2011): This survey of the literature on the value of active management shows that the average active manager does not outperform but that a significant minority of active managers do add value.

This year’s Best Perspectives Award for the timeliest and most thought-provoking opinion article was given to Richard Roll, UCLA Anderson School of Management, for his article “The Possible Misdiagnosis of a Crisis,” which appeared in the March/April edition. In his article, Roll examines the inconsistencies in explanations of the 2007–08 financial crisis and suggests an alternative diagnosis that is fully compatible with rationality.

The Readers’ Choice Award was given to Tzee-man Chow, research associate at Research Affiliates; Jason Hsu, chief investment officer at Research Affiliates; Vitali Kalesnik, vice president at Research Affiliates; and Bryce Little, graduate student at Texas A&M University; for their article “A Survey of Alternative Equity Index Strategies,” which appeared in the September/October edition. Using an integrated evaluation framework that they devised, the authors look at how strategies outperform their cap-weighted and how any one of these strategies can be mimicked by combinations of the others, proving that implementation cost is a better evaluation criterion than returns.

FAJ is published six times a year by CFA Institute, the global association of more than 100,000 investment professionals, and advances the knowledge and understanding of the practice of investment management through the publication of high-quality, practitioner-relevant research. Several of the award-winning articles may be accessed online at no cost. 

CFA Institute

CFA Institute is the global association of investment professionals that sets the standard for professional excellence and credentials. The organization is a champion for ethical behavior in investment markets and a respected source of knowledge in the global financial community. The end goal: to create an environment where investors’ interests come first, markets function at their best, and economies grow. CFA Institute has over 145,000 members in 163 countries and territories, including 140,000 CFA charterholders, and 148 member societies. For more information, visit

Graham and Dodd Award

The Graham and Dodd Awards were created in 1960 to recognize excellence in research and financial writing and to honor Benjamin Graham and David L. Dodd for their enduring contributions to the field of financial analysis. The award-winning articles may be accessed online at no cost via