Award presented at CFA Society Toronto’s 67th Annual Investment Dinner
Toronto, ON, September 20, 2024 –CFA Society Toronto is pleased to announce that this year’s winners of the 2024 Hillsdale Investment Management – CFA Society Toronto Research Award are Kodjovi Assoe, School of Management, Université du Québec à Montréal, and Najah Attig and Oumar Sy, Faculty of Management, Dalhousie University, for their exceptional research and groundbreaking paper entitled, “Navigating Canada’s Factor Zoo”. The winners were announced at CFA Society Toronto’s marquee event, the 67th Annual Investment Dinner, where they were awarded a $10,000 cash prize.
During CFA Society Toronto's 67th Annual Investment Dinner [L–R]: Chair, Board of Directors, CFA Society Toronto: Brian Madden, CFA; Winner: Dr. Oumar Sy, PhD; EVP, Hillsdale Investment Management Inc.: Harry Marmer; Winner: Kodjovi Assoe, PhD, CFA; President & CEO, Hillsdale Investment Management Inc.: Christopher Guthrie; Winner: Najah Attig, PhD (not pictured)
“The Hillsdale Investment Management – CFA Society Toronto Research Award recognizes excellence in the field of investment research and fosters a rich exchange of insights that benefits the entire investment community,” said Fred Pinto, CFA, ICD.D, CEO of CFA Society Toronto. “We congratulate Dr. Kodjovi Assoe, CFA, Dr. Najah Attig, and Dr. Oumar Sy for their outstanding achievement and advancing innovation and insights for the finance and investment community.”
Their detailed analysis and innovative approach made them a clear winner of this prestigious award. The comparison of different asset-pricing models has recently brought critical empirical attention to determine which factors best explain expected returns. Hundreds of factors have been posited and the identification of the most pivotal factors is a focal point of ongoing research, debate and controversy. The award winners’ research delves into the battle of factors in Canadian capital markets employing spanning tests to evaluate 17 factors from ten factor models from 1991-2022. This work provides valuable Canadian-based evidence on the relative performance of the major asset-pricing models, contributing significantly to the field.
“With test results from 1991 to 2022, this award-winning paper provides an excellent reminder of the skills required to successfully navigate all equity markets today,” commented Chris Guthrie, CEO of Hillsdale Investment Management, sponsor of the Research Award. “Attention to local market conditions, knowledge of investor preferences, frequent updates of valuation data, determination of relevancy, as well as both model diversity and parsimony are just a few of the highlights of the authors’ findings. Most importantly, many traditional factors once thought to be drivers of Canadian equities are shown to be subsumed over this recent time period. Truly a must-read for any Canadian equity manager or manager of managers!”
The Hillsdale Investment Management - CFA Society Toronto Research Award welcomes researchers from around the world to conduct studies on Canadian capital markets. This includes both academic researchers, such as professors and students, as well as practitioners. To ensure high quality, the research papers are evaluated by a panel of CFA® charterholder investment experts. The award aims to recognize research that aligns with the values and standards upheld by the CFA charter.
Award Recipients' Reflections:
- Dr. Kodjovi Assoe, CFA, School of Management, Université du Québec à Montréal: “The recognition and credibility that come with this award will undoubtedly open doors to new opportunities and advancements.”
- Dr. Najah Attig, Professor of Finance and Chair of the Department of Finance at Dalhousie University: “As a recipient of this award, we are honoured to be recognized for our contributions in the field.”
- Dr. Oumar Sy, Professor of Finance at Dalhousie University: “This award signifies the culmination of countless hours of in-depth research and dedication. It serves as a testament to the impact and significance of our work and validating our efforts.”
The Award judging panel commended the high quality of the award winners’ academic research for being both “actionable” and “Canadian market specific”.
Research Paper Abstract:
Navigating Canada’s Factor Zoo
This study delves into the battle of factors in Canadian capital markets, employing spanning tests to evaluate 17 factors from ten multifactor models for 1991–2022. While the value factor (HML) proves redundant, its monthly updated counterpart excels. The size factor (SMB) is not improved by discounting mispriced stocks but gains potency after controlling profitability and investment. Q-based and mispricing factors subsume the momentum factor (UMD). No single asset-pricing model emerges dominant, except in three instances. A six-factor model including market, size, monthly updated value, ROE, expected growth, and PEAD factors proves effective for asset pricing in Canadian markets.
Click here to read this year’s award-winning research paper.
About Hillsdale Investment Management Inc.
Celebrating over a quarter of a century of investment excellence, Hillsdale Investment Management is an independent, employee-owned and client-aligned investment boutique managing over $5.0 billion on behalf of a select group of institutional and private wealth investors. Hillsdale engages in disciplined active investment management, specializing in equities, alternatives, ESG and customized mandates. Hillsdale is recognized for both investment and service excellence – a reflection of its relentless pursuit of research and development and the dedication of its partners and employees. For more information, please refer to www.hillsdaleinv.com.
About CFA Society Toronto
CFA Society Toronto is the world's largest Society of CFA® Charterholders, dedicated to supporting the professional and business development of more than 11,500 members. With a focus on education, networking, and thought leadership, CFA Society Toronto empowers finance professionals to excel in a dynamic and competitive global market. Founded in 1936, CFA Society Toronto is a not-for-profit organization affiliated with CFA Institute, the global body that administers the Chartered Financial Analyst (CFA) curriculum and sets voluntary, ethics-based performance-reporting standards for the investment industry. For more information, visit cfatoronto.ca. For more information visit http://www.cfatoronto.ca or follow us on Twitter @cfatoronto and on LinkedIn CFA Society Toronto.
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