Duke - The Fuqua School of Business

News Release

Professor Campbell Harvey Receives Graham and Dodd Best Paper Award

April 12, 2007

DURHAM, N.C. -- Campbell R. Harvey, the J. Paul Sticht Professor of International Business at Duke University: The Fuqua School of Business, and co-author Claude B. Erb of Trust Company of the West, were honored with the Graham and Dodd Award given by the CFA Institute. 

The prestigious award recognizes their paper, “The Strategic and Tactical Value of Commodities Futures,” (http://www.cfapubs.org/toc/faj/2006/62/2) as the best article published in the Financial Analysts Journal in 2006. Erb and Harvey attack the recent over-selling of commodity futures (many have argued that commodities have the same expected returns as equities). Erb and Harvey show that the long-term inflation adjusted return on commodities is negative. They show that any excess return to commodity futures is likely due to tactical rebalancing

More information about the award is available at the CFA Institute.