Prof. Roger Ibbotson Wins Graham and Dodd Scroll Award

Roger Ibbotson, professor in the practice of finance at Yale SOM, has received the Graham and Dodd Scroll Award from the CFA Institute Financial Analysts Journal. Ibbotson, along with co-authors Peng Chen and Kevin Zhu, was honored for the paper "The ABCs of Hedge Funds: Alphas, Betas, and Costs," which appeared in the January/February 2011 edition of the Financial Analysts Journal.

The Graham and Dodd Scroll Award, named for value investing pioneers Benjamin Graham and David L. Dodd, recognizes excellence in research and financial writing. Ibbotson won the award for the seventh time.

In their paper, Ibbotson, Chen, and Zhu examine hedge fund returns between 1995 and 2009 with the aim of isolating the portion of returns that is generated by hedge fund managers. After controlling for biases in reporting that can inflate returns, they found that the average return was 11.13%, of which 3% was generated by managers (the alpha), 4.7% was generated by the market at large (the beta), and 3.43% was fees. They also found that the alpha was positive in every year but one, suggesting that hedge fund managers add value during both bull and bear markets.