Fundamental Investment Analysis via Machine Learning Research Wins Financial Analysts Journal 2024 Graham and Dodd Award
New York—27 January 2025 – CFA Institute, the global association of investment professionals, announces the winners of the 2024 Graham & Dodd Awards of Excellence.
Each year, the CFA Institute Financial Analysts Journal, the flagship publication of CFA Institute, selects from the research articles published in the journal that year to receive the prestigious Graham & Dodd Awards of Excellence, recognizing the contributions of the research to the practice of investment management. The awards are named after Benjamin Graham and David L. Dodd to honor their enduring contributions to the field of financial analysis.
A maximum of three awards are given: a Top Award recognizing the best research article and up to two Scroll Awards acknowledging the best runner-up article(s). The winners of the Financial Analysts Journal Graham & Dodd Awards of Excellence 2024 are:
Graham & Dodd Awards of Excellence Top Award:
Fundamental Analysis via Machine Learning:
Financial Analysts Journal Vol 80, Issue 2, pages 74-98
By Kai Cao, independent researcher; and Haifeng You, CFA, chair professor of accounting, Tsinghua University.
The research explores the integration of machine learning techniques into fundamental analysis, providing insights into how these methods can enhance investment decision making by more effectively extracting and utilizing information from financial statements. The authors found that machine learning can play a transformative role in enhancing the accuracy and efficacy of earnings forecasts, adding significant predictive power with respect to future stock returns. This superior performance appears attributable to the ability of machine learning to uncover new information through identifying economically important predictors and capturing nonlinear relationships.
The judging panel highlighted the article’s relevance and potential to bridge traditional financial analysis with cutting-edge technology, making it highly valuable for CFA Institute members, practitioners, and academics alike.
Graham & Dodd Awards of Excellence Scroll Award:
Empirical Evidence on the Stock–Bond Correlation
Financial Analysts Journal, Vol 80, Issue 3, pages 17-36
By Roderick Molenaar, a senior researcher with Robeco, Rotterdam; Edouard Sénéchal, CFA, a senior portfolio manager with the State of Wisconsin Investment Board, Madison, Wisconsin; Laurens Swinkels, a senior researcher with Robeco, Rotterdam, and an associate professor of finance at Erasmus University, Rotterdam; Zhenping Wang, a senior researcher with PGIM Quant Solutions.
The research provides comprehensive insights into the relationship between stocks and bonds, offering actionable conclusions for portfolio management and risk diversification. The authors investigate the drivers of the correlation between stocks and bonds and find that inflation, real rates, and government creditworthiness are important explanatory variables. They examine the implications of a shift in the stock–bond correlation and find that increases are associated with higher multi-asset portfolio risk and higher bond risk premia.
The judging panel found the research to be particularly impactful for practitioners with a fresh perspective on a well-published topic and noted its strong relevance to academic audiences.
Margaret Franklin, CFA, President and CEO, CFA Institute, comments:
“My congratulations to the winners of this year’s Graham & Dodd Awards of Excellence. We are delighted to recognize and celebrate their success and the contribution their research will make to the body of knowledge for the investment profession. The winning papers provide critical insights that add to our understanding of how AI can work purposefully in supporting the investment process, as well as important new analysis on a classic question concerning asset allocation within investment portfolios. I highly recommend the winning articles to Financial Analyst Journal readers and all students of the investment markets.”
William Goetzmann, Executive Editor of Financial Analysts Journal, comments:
“It’s a pleasure to announce this year’s Graham & Dodd Award winners in what is our 80th year of the Financial Analysts Journal. The journal remains committed to showcasing the highest caliber of research in finance and to continuing to earn its badge as the leading practitioner journal in the investment management profession. We are grateful to our esteemed contributors and our subscribers for their ongoing engagement.”
The winning research is available here.
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About CFA Institute
As the global association of investment professionals, CFA Institute sets the standard for professional excellence and credentials. We champion ethical behavior in investment markets and serve as the leading source of learning and research for the investment industry. We believe in fostering an environment where investors’ interests come first, markets function at their best, and economies grow. Spanning nearly 200,000 charterholders worldwide across 160 markets, CFA Institute has 10 offices and 160 local societies. Find us at www.cfainstitute.org or follow us on LinkedIn and X at @CFAInstitute.
About the Graham & Dodd Awards of Excellence
The Graham & Dodd Awards were created in 1960 to recognize excellence in research and financial writing. First, the Financial Analysts Journal Editorial Board and Advisory Council and managing editor identify a shortlist of research articles that best represent the mission and identity of the Financial Analysts Journal. Second, the Graham & Dodd judging panel -- comprising representatives from the CFA Institute Research and Policy Center, the CFA Institute leadership team, the CFA Institute Board of Governors, the CFA Institute Society President’s Council Representative, and the Executive Editor of the Financial Analysts Journal -- collectively decides the award winners from the shortlist of nominees.
About the Financial Analysts Journal
Now in its 80th year, the CFA Institute Financial Analyst Journal is the leading practitioner journal for the investment management community. The journal continues to advance the knowledge and understanding of the practice of investment management through the publication of peer-reviewed and practitioner-relevant research. Financial Analysts Journal digital content is freely available to CFA Institute members. Members of the media have complimentary access to Financial Analyst Journal content via the Taylor and Francis Press Pass system. Abstracts and summaries of Financial Analysts Journal content are freely available to all via the CFA Institute Research and Policy Center here.