Written on 25 Mar 2020.
A Journal of Portfolio Management article entitled, "Value by Design?" by Bernd Scherer, Research Associate at EDHEC-Risk Institute, Head of Private Wealth Portfolio Management, Head of Product Development, Bankhaus Lampe KG and Former Professor of Finance, EDHEC Business School, and, together with co-authors Stephan Kessler, Global Co-Head of Quantitative Investment Strategies (QIS) Research, and Jan Philipp Harries have been named the winners of the 'Systematic Investing Research Paper of The Year' in the EQDerivatives 2020 Awards, recognizing hedge funds and institutional investors active in volatility, multi-asset and systematic investing.
Although academics and practitioners frequently refer in their work to equity value investing, no consensus exists as to what this style exactly encompasses. For a wide range of 3,168 alternative implementations (design choices) of what could all constitute value portfolios, the authors document the impact of parameter pertubations on risk-adjusted returns. The observed dispersion in Sharpe ratios allows the authors to identify the hierarchy of design choices and to better assess the degrees of freedom consumed within the strategy development process. The authors can therefore derive critical t-values that adjust for overfitting. This will prove to be useful in research governance and strategy selection.
(…) The paper is more than mere academic wonkery. Its findings strike at the heart of the debate over quantitative investing, which promises scientific rigor but whose reliance on human decision-making can spur sharp distinctions within a single style. It’s especially relevant for value at a time when the factor’s decade-long underperformance has led some to claim it’s structurally broken (…) Copyright Bloomberg, 16 January 2020
It is the second win in a row for Bernd Scherer who was the winner of the 2019 EQDerivatives Best Academic Research Paper Award in Alternative Risk Premia for his paper "Tail Risk in the Cross Section of Alternative Risk Premium Strategies", co-authored with Nick Baltas, Head of Research and Development for Systematic Trading Strategies at Goldman Sach, also published in the Journal of Portfolio Management (see announcement).
Bernd Scherer, PhD is member of the executive board and CIO Bernd at Lampe Asset Management responsible for multiasset portfolio management, systematic strategies and alternative investments. During his professional career, he worked in senior positions for various hedge funds, asset management companies and banks in New York, London, Vienna and Frankfurt. His academic work has been published in Journals like the Journal of Banking and Finance, Journal of Financial Markets, Journal of Empirical Finance, Journal of Economics and Statistics, Quantitative Finance, Journal of Derivatives, Journal of Portfolio Management, Financial Analysts Journal, Journal of Investment Management, Risk, Financial Markets and Portfolio Management, Journal of Asset Management etc. Bernd is also author/editor of 8 books on quantitative asset Management for Risk, Springer and Oxford University Press as well as associate editor for the Journal of Asset Management and Journal of Systematic Investment Strategies.