Winner Chosen for Peter L. Bernstein Award

NEW YORK, July 21 /PRNewswire/ -- Joseph R. Prendergast has been chosen as the winner of the Peter L. Bernstein Award for his paper that offers striking new insights, using creative statistical analysis, into the factors that affected capital markets during the financial crisis.  The paper, "Fundamental, Flight-to-Quality, and Flight-to-Liquidity Components in Subprime Mortgage-Backed Security Returns," appeared in the Summer 2009 issue of The Journal of Fixed Income (www.iijfi.com) published by Institutional Investor, Inc., Journals Division (www.iijournals.com).  

The award is named for Peter L. Bernstein, the celebrated economic historian, consultant, founding editor of The Journal of Portfolio Management, and author of seminal works, such as Against the Gods: The Remarkable Story of Risk and Capital Ideas: The Improbable Origins of Modern Wall Street.  The Peter L. Bernstein Award honors extraordinary and compelling research published in any of Institutional Investor's 10 market-leading journals over the past year.

The winning paper was chosen through a blind review process by an independent committee that included Gary Gastineau (ETF Consultants LLC), William Goetzmann (Yale School of Management), and Richard Grinold (formerly of Barclays Global Investors).  "The paper begins," said Gastineau, "by explaining, in detail and with clarity that I have not seen elsewhere, the structure and risk characteristics of CDOs holding subprime mortgage-backed securities and CDSs on the various tranches of these CDOs in 2007 and 2008.  The author then uses a principal components analysis in an attempt to separate the effects of flight to quality and flight to liquidity as the subprime mortgage market deteriorated."  The paper was deemed "exceptional and ingenious" by Grinold, while Goetzmann considered it "a significant contribution to our understanding of market turbulence" and one that "may help investment managers better navigate future periods of extreme uncertainty."

The author, Joseph R. Prendergast, is a principal at Securities Litigation and Consulting Group, Inc., in Fairfax, VA.  Prendergast received a Ph.D. in Finance from the University of Michigan Business School at Ann Arbor where he was a Rackham Pre-Doctoral Fellow. His research interests include the pricing and risk management of fixed-income securities and derivatives, applied econometrics, empirical investments, and interest rate modeling.  "I'm delighted to be able to honor the memory of Peter Bernstein by being the first to receive this award," commented Prendergast.  "Over the years, I've relied strongly on the practical and thoughtful  articles published by Institutional Investor Journals which makes this even more of a special event for me."  Prendergast will be awarded $5,000, which has been generously provided by Research Affiliates, LLC (www.researchaffiliates.com), and will be presented by Institutional Investor Journals.  The winning article can be found online at www.iijfi.com.  

About Institutional Investor Journals  www.iijournals.com

Institutional Investor Journals offer in-depth, original, and practical research in key areas of investment management and finance including fixed income, index investing, derivatives, trading, private equity, portfolio management, structured finance, and wealth management.  Written and edited by world-renowned practitioners and academics, the journals are extensively read and highly regarded in the industry.

About Research Affiliates, LLC  www.researchaffiliates.com

Research Affiliates, LLC, is a global leader in innovative indexing and asset allocation strategies. Dedicated to solving complex investment issues, Research Affiliates creates innovative strategies that respond to the current needs of the market.  Approximately $50 billion in assets are managed worldwide using investment strategies developed by Research Affiliates.

SOURCE Institutional Investor