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Graham and Dodd Award 2020 Awarded to Research Exploring Tax Efficiencies Gained by Separating Active Returns from Market Exposure

Runner-up examines combination of ESG data and ‘big data’, and impact on valuation premium for strong sustainability performance

Charlottesville, United States 11 Jan 2021

CFA Institute, the global association of investment professionals, announces the winners of the 2020 Graham and Dodd Awards of Excellence. Every year, a research article published in the Financial Analysts Journal (the Journal), the flagship publication of CFA Institute, receives the prestigious Graham and Dodd (G&D) Award to recognize the research contribution to the practice of investment management. The article, The Tax Benefits of Separating Alpha from Beta, by Joseph Liberman, Clemens Sialm, Nathan Sosner, and Lixin Wang receives the top award for 2020.

Published in the First Quarter 2020 issue of the Journal, the authors of the article present a simple technology for more efficient tax management using “passive (beta)” and “active (alpha)” investments. Drawing upon simulated and historical data, the authors find that significant tax benefits can be gained by separating active returns (alpha) from market exposure (beta).

In addition, the G&D selection committee honored Public Sentiment and the Price of Corporate Sustainability, by George Serafeim with a Scroll Award for 2020. The article was originally published in the Second Quarter 2020 issue of the Journal and combines ESG data with ‘big data’, measuring public sentiment about corporate sustainability performance. Serafeim finds that the valuation premium for strong sustainability performance increases as a function of positive momentum in public sentiment.

“This year has been a celebration of 75 years of the Journal at CFA Institute advancing the profession, with outstanding contributions from luminaries in the field of investment management. Both articles stood out for boldly addressing two well-covered areas of investment practice and research: tax management and sustainability investing,” said Dr Heidi Raubenheimer, CFA, managing editor of the Financial Analysts Journal at CFA Institute.

“Efficient tax management is an important, albeit not necessarily attractive field: alpha may be elusive, difficult, small, and not very persistent, yet efficient tax management offers gains for the investor and it is appropriate for practitioners to be up to date on the latest techniques. The Journal has published three articles on tax management over the last two years to recognize the importance of being appropriately tax-cognizant as a core area of investment practice. The committee was impressed by the excellent presentation of this innovation, and the robustness of the arguments in addition to the potential impact expected of this article on investment practice. George Serafeim’s article offered similarly bold research: finding the “value” within the ESG stock universe using big data on public sentiment. We expect this article to attract attention for its testing of the pricing of sustainability, and to substantially influence further studies in sustainable investing.”

The annual Graham and Dodd Awards of Excellence include the top G&D Award to recognize the best research article and up to two Scroll Awards to acknowledge the runners-up. Winners are chosen through a two-stage selection process. First, all members of the Financial Analysts Journal Advisory Council and Editorial Board are invited to vote, producing a shortlist of peer-reviewed research articles published in the Journal throughout the year. Second, the G&D Awards Committee (six members selected from the CFA Institute Board of Governors, the CFA Institute Leadership Team, CFA Society Leadership, and the Journal editorial team) collectively decides the award winners from the shortlist.

About CFA Institute Financial Analysts Journal

The CFA Institute Financial Analysts Journal is the flagship publication of CFA Institute. It is published quarterly with a mission to advance the knowledge and understanding of the practice of investment management through the publication of rigorous, peer-reviewed, practitioner-relevant research.

The Financial Analysts Journal Podcast is available via Apple Podcasts and Spotify and includes:

  • Editor's Snapshot with Managing Editor Heidi Raubenheimer: a short digest of each issue of the Journal;
  • Audio summaries of all research articles published since 2019. All Journal articles can be found here.


About the Graham and Dodd Awards of Excellence

The Graham and Dodd Awards of Excellence 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.


About 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 of ethical behavior in investment markets and a respected source of knowledge in the global financial community. Our aim is to create an environment where investors’ interests come first, markets function at their best, and economies grow. There are more than 160,000 CFA charterholders worldwide in 164 markets. CFA Institute has nine offices worldwide and there are 159 local member societies. For more information, visit www.cfainstitute.org or follow on Twitter at @CFAInstitute and on Facebook.com/CFAInstitute.