April 2, 2008
Kodjovi Assoé, Associate Professor in the Department of Finance, has won a Bernstein Fabozzi/Jacobs Levy Award in the “Outstanding Articles” category, for his article entitled “The Relative Importance of Asset Allocation and Security Selection.” The article, co-authored by Jean-François L’Her and Jean-François Plante, of the Caisse de dépôt et placement du Québec, is one of three deemed exceptional out of all the articles published in The Journal of Portfolio Management between fall 2006 and summer 2007.
In their paper the co-authors presented the findings of a study examining the relative importance of the two main investment activities, i.e. asset allocation among various classes (stocks, bonds, etc.) and security selection, in portfolio performance.
They used a purely normative framework, but added a more representative opportunity set for asset allocation, an unbiased dataset for stocks and a modified security selection methodology that ensures strict uniformity with asset allocation rebalancing rules.
Their results do not support a clear hierarchy of investment choice. The extent to which asset allocation or security selection generates dispersion in active return was found to be largely time-dependent.
The Bernstein Fabozzi/Jacobs Levy Awards were established in 1999 to promote excellence in the theory and practice of portfolio management. This tribute is all the more prestigious in that it reflects a broad industry consensus, since it is based on voting by all subscribers to The Journal of Portfolio Management.
The Journal of Portfolio Management publishes cutting-edge research on asset allocation, performance measurement, market trends, risk management, and portfolio optimization. Contributors to the Journal are the industry's foremost academics and practitioners.