ANALYSIS

Alternatives and Liquidity: Will Spending and Capital Calls Eat Your “Modern” Portfolio?

Larry SiegalAn award for the academic paper with the most relevance to institutional investors, as judged by a panel including the chief investment officers of three large European pension funds, has been awarded to Laurence B Siegel, for his paper “Alternatives and Liquidity: Will Spending and Capital Calls Eat Your ‘Modern’ Portfolio?” published in the Journal of Portfolio Management.

Siegel, who has authored more than 70 articles and one book, Benchmarks and Investment Management, was a previous member of the editorial board of the Journal of Portfolio Management and the Journal of Investing.

The inaugural EDHEC Robeco Journal of Portfolio Management Award is awarded to the author of the academic paper
published in the Journal of Portfolio Management in the previous calendar year which, in the opinion of the jury, has had the most relevance for institutional investors.

Siegel’s paper was chosen following a two-stage selection process, firstly involving a panel of academic experts who
drew up a shortlist of potential winning papers, and then a final vote from a jury made up of three chief investment officers from leading European pension funds.

The pension fund representatives on the selection committee were: Johan van der Ende, chief investment officer, PGGM, Frederic Methlow, chief investment officer, AVS-AHV Compensation Fund, and Tom Steenkamp, chief investment officer for asset allocation and research, APG.

Siegel, who is renowned as a “bull”, was appointed as research director of the Research Foundation at the CFA Institute in 2005, he has also served as the director of research in the investment division of the Ford Foundation, and was a former managing director of consulting firm Ibbotson Associates.

Part of his (voluntary) role at the Research Foundation was to emphasise research of practical value to investment
professionals, while exploring new and challenging topics that provided a unique perspective.

At the time of his appointment to the CFA’s Research Foundation he said: “Some thoughtful investors have expressed concern that the “glory days” of discovery in finance are in the past, beginning in the 1950s with Harry Markowitz’s work and ending in the 1970s with the Black-Scholes option pricing formula.

“While these founding events are monumentally important, discovery has continued, practical financial innovation
has greatly accelerated, and the direct impact of finance on people’s lives has dramatically increased. The monograph series will both reflect these innovations and try to advance them further.”

He received both his BA and his MBA from the University of Chicago.

His winning paper can be found at http://www.cfapubs.org/doi/abs/10.2469/dig.v39.n2.14

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