Whitebox Advisors Awards Second Annual $25k Whitebox Prize for Best Financial Research

Robust study confirms "time series momentum" as effective investment strategy across multiple asset classes

Aug 20, 2013, 14:00 ET from Whitebox Advisors

MINNEAPOLIS, Aug. 20, 2013 /PRNewswire/ -- After months of deliberation, Whitebox Advisors LLC the $2.4 billion investment adviser based in Minneapolis, announced the winner of the 2013 $25,000 Whitebox Prize for the best financial research (papers had to have been published in 2012): "Time Series Momentum," by Tobias J Moskowitz, Yao Hua Ooi, and Lasse Heje Pedersen, published in May in the Journal of Financial Economics.

"This research was unanimously agreed upon by the prize committee as a major contribution to both financial literature and the investment community," said Andrew Redleaf, Founder and CEO of Whitebox Advisors. "By focusing not on a security's return relative to its peers but on its return relative to itself, the authors give investors an actionable investment hypothesis and confirm what has long been believed about the power of momentum as a means of position selection."

"But the results only tell part of the story of why we reacted so strongly to this paper. What also struck us was what those results imply:  Neither Modern Portfolio Theorists nor Behavioral Finance have got the whole story. When it comes to the markets there is still so much we don't know, so much left for researchers like Moskowitz, Ooi, and Pedersen to discover."

In addition, the following two papers were selected as runners up for a prize of $5,000:

  • Option-implied Measures of Equity Risk, from the April 2012 Review of Finance. Authors: Bo-young Chang, Peter Christoffersen, Kris Jacobs, and Gregory Vainberg
  • Mutual Fund Trading Pressure: Firm-Level Stock Price Impact and Timing of SEOs, from the August 2012 The Journal of Finance. Authors: Mozaffar Khan, Leonid Kogan, George Serafiem

The Whitebox Prize committee is comprised of Whitebox Founder and CEO, Andrew Redleaf; Global Head of Equity Trading, Dr. Jason Cross; Senior Quantitative Strategist, Dr. Blaise Morton; Senior Portfolio Manager, Dr. Chris Bemis; and Chief Communications Officer and Director of WhiteboxInsights.com, Richard Vigilante.

In the coming weeks, WhiteboxInsights.com will publish analyses of these three research papers, detailing the content and methodology of the papers as well as their potential value to investors.

For media inquiries, please contact Amara Kaiyalethe at Whitebox Advisors at (612)-355-2028 or akaiyalethe@whiteboxadvisors.com.

SOURCE Whitebox Advisors