Prof. Will Goetzmann Receives Graham and Dodd Award for Hedge Fund Risk Study

The Financial Analysts Journal has awarded its annual Graham and Dodd Award for Best Article to William N. Goetzmann, the Edwin J. Beinecke Professor of Finance and Management and Director of the International Center for Finance at Yale SOM, and co-authors Stephen Brown (New York University), Bing Liang (University of Massachusetts), and Christopher Schwarz (University of California, Irvine) for their article "Estimating Operational Risk for Hedge Funds: The ?-Score." The article appeared in the January/February 2009 issue of the Financial Analysts Journal.

In the study, the authors develop a statistical rating, called the ?-score, to assess the operational performance of hedge funds. The ?-score uses such readily available information as fund performance, volatility, size, age, and fee structures. The study demonstrates that operational risk is more significant than financial risk in explaining fund failure and that a significant and positive interaction exists between operational risk and financial risk.

The Graham and Dodd Award for Best Article is the highest honor of the Financial Analysts Journal, a publication of the CFA Institute. The award was created in 1960 to honor excellence in research and financial writing and the enduring contributions of Benjamin Graham and David L. Dodd to the investment analysis field. Each year it is presented to the author or authors of the previous year’s most outstanding FAJ article.