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New Research on Macroeconomic Exposures in Equity Portfolios Wins 2023 Graham and Dodd Award of Excellence

Published in the Financial Analysts Journal, the winning research offers applications for equity portfolio construction

New York City, United States 23 Jan 2024

CFA Institute, the global association of investment professionals, announces the winners of the 2023 Graham and Dodd Awards of Excellence. These prestigious awards are bestowed annually for the best research articles published in the Financial Analysts Journal, the flagship publication of CFA Institute, and recognize the contribution of the articles to the practice of investment management. The awards are named in honor of Benjamin Graham and David L. Dodd for their enduring contributions to the field of investment analysis.

The 2023 winner of the Graham and Dodd Top Award is “Targeting Macroeconomic Exposures in Equity Portfolios: A Firm Level Measurement Approach for Out-of-Sample Robustness,Financial Analysts Journal  Volume 79, Issue 1, pages 37-57 by Mikheil Esakia, senior quantitative research analyst at Scientific Beta and Felix Goltz, Research Director at Scientific Beta and associate researcher at EDHEC Business School.

In Targeting Macroeconomic Exposures in Equity Portfolios: A Firm-Level Measurement Approach for Out-of-Sample Robustness the authors propose a method that uses firm-level measures of macroeconomic exposures to produce better estimations for equity strategies versus standard methods. This approach has applications for equity portfolio construction. The authors propose the method for equity portfolio investors who have hedging demands or active views regarding macroeconomic conditions.

The 2023 winner of the Graham and Dodd Scroll Award is “Diversification during Hard Times, Financial Analysts Journal, Volume 79, Issue 2, pages 45-65 by Najah Attig, chair, department of finance, and Oumar Sy, associate professor of finance, in the Faculty of Management at Dalhousie University.

The article <color:>analyzes long-term stock data from 48 developed and emerging markets and finds that international and industrial diversification is the best risk-reduction tool. The benefits are countercyclical and persist through negative events and crisis periods. The authors analyzed data over the past 20 years, incorporating the Asian financial crisis, the dot-com bubble burst, the global financial crisis, and the COVID-19 pandemic, to explore the ability of a globally diversified investment portfolio to protect investors during a market crash.</color:>

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

“My congratulations to the winning authors of this year’s Graham and Dodd Awards. In a period where geopolitical risk is again a top risk for investors, the authors bring forth valuable insights through their dive into macroeconomics and equity portfolio construction, and the benefits of international and industry diversification in equity portfolios. Both papers offer a highly informative read and will be of interest to a wide audience of investors. I highly recommend the winning articles to Financial Analyst Journal readers.”

The awards showcase some of the most outstanding investment research talent globally, acknowledging the authors’ meaningful contribution to the investment literature and the new insights their work offers to investors.

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

“This year’s Graham and Dodd award recipients impressed the Financial Analysts Journal team and panel of judges with research that is insightful, timely, pragmatic, and implementable.  The winning articles expertly bridge the gap between the theory and practice in finance.”

The research articles for current and previous winners can be accessed here.

Notes to Editors

About the Graham and Dodd Awards of Excellence

The Graham and Dodd Awards of Excellence comprise a Top Award for the best article and up to two Scroll Awards. Winners are chosen through a two-stage selection process: First, all members of the Financial Analysts Journal Editorial Board and Advisory Council and Managing Editor are invited to vote, producing a shortlist of research articles published in the Financial Analysts Journal throughout the year. Second, the Graham and Dodd Awards of Excellence working group, assembled from representatives of the CFA Institute leadership, Board of Governors, CFA Institute society leadership, and Financial Analysts Journal editorial team, collectively decides the award winners from the shortlist.


About the Financial Analysts Journal

The CFA Institute Financial Analyst Journal is the leading practitioner journal for the investment management community. Since its founding in 1945, the journal has advanced the knowledge and understanding of the practice of investment management through the publication of peer-reviewed and practitioner-relevant research. The Financial Analysts Journal is published four times per year and is a benefit of CFA Institute membership, which includes nearly 200,000 CFA charterholders serving in roles including investment management, research, and consulting. More than 3,200 financial institutions and university libraries worldwide have subscription access. The Taylor & Francis Press Pass provides journalists with free access to Financial Analyst Journal articles.


About CFA Institute 

As the global association of investment professionals, CFA Institute sets the standard for professional excellence and credentials. We champion ethical behavior in investment markets and serve as the leading source of learning and research for the investment industry. We believe in fostering an environment where investors’ interests come first, markets function at their best, and economies grow. Spanning nearly 200,000 charterholders worldwide across 160 markets, CFA Institute has 10 offices and 160 local societies. Find us at www.cfainstitute.org or follow us on LinkedIn and X at @CFAInstitute.

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