5 Experts Win Bernstein Fabozzi/Jacobs Levy Award for Paper on Market Impact Costs of Trading

by Rob Kozlowski, Pensions & Investments, February 3, 2023: Subscribers to the Journal of Portfolio Management voted “Quantifying Long-Term Market Impact,” by Campbell R. Harvey, Anthony Ledford, Emidio Sciulli, Philipp Ustinov, and Stefan Zohren, as the Best Article in the 24th Annual Bernstein Fabozzi/Jacobs Levy Awards... The article discusses the importance of considering market impact costs when assessing strategy performance and offers a simple method for analyzing more complex trades where there is autocorrelation in the orders. Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management, notes that “despite the rise in computer-assisted, high-turnover strategies, most academic research papers continue to ignore the market-impact costs of trading. The authors of this paper provide a welcome focus on the issue, as well as a useful method for measuring long-term impact costs.”

Russell Investments Canada Launches Tax-Managed Investment Solutions for Canadian Investors

Business Wire, January 31, 2023: Russell Investments’ Tax-Managed US Equity Pool includes Jacobs Levy Equity Management as one of the U.S. equity sub-advisers.

Japan’s GPIF Reveals Active Foreign Equities Manager Lineup

by Natalie Koh and Douglas Appell, Pensions & Investments, January 11, 2023: Japan’s Government Pension Investment Fund has awarded Jacobs Levy Equity Management a mandate.