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Awards - April 16, 2009

Inaugural EDHEC-Robeco-Journal of Portfolio Management award to be presented to Dr. Laurence Siegel

The EDHEC Risk and Asset Management Research Centre, Robeco and the Journal of Portfolio Management have jointly launched an annual award for the paper published in the Journal of Portfolio Management in the previous year that is deemed to be of most relevance and usefulness for European institutional investors.

The inaugural award will be presented by Dr. Jean-Louis Laurens, Chief Investment Officer of the Robeco group, to Dr. Laurence Siegel, Director of Research within the Investment Division of the Ford Foundation, at a ceremony in Paris on May 26 as part of the EDHEC Institutional Days 2009.

The award-winning article entitled "Alternatives and Liquidity: Will Spending and Capital Calls Eat Your "Modern" Portfolio?" (Journal of Portfolio Management, Fall 2008) shows how high allocation to alternative investments can cause liquidity concerns when a plan has to meet spending requirements, capital calls, and margin calls in bear markets. The article advocates gradual laddering into illiquid assets, so that expected future cash flows from these assets offset cash requirements, and it recommends holding a considerable portion of a portfolio in liquid stocks and bonds.

Dr. Siegel's article was selected following a two-stage process. First, an academic panel drew up a shortlist of potential winning papers, and then a jury of three chief investment officers from leading European pension funds handpicked the best paper. The selection process was designed to identify the paper that best combines academic excellence and industry relevance.

The academic selection committee was composed of Yale School of Management Professor Frank Fabozzi, Editor of the Journal of Portfolio Management, and EDHEC Business School Professors Noël Amenc and Lionel Martellini, who also serve on the journal's editorial board. The final selection was made by Mr. Johan van der Ende, CIO of PGGM and Member of the International Advisory Board of the EDHEC Risk and Asset Management Research Centre, Dr. Frederic Methlow, CIO of AHV Compensation Fund, and Dr. Tom Steenkamp, CIO of Allocation and Research and Member of the Board of APG Asset Management.