Ryan Lewis winner of the AQR Fellowship Award 2015
Congratulations to Ryan Lewis, PhD candidate in Finance, who has won the inaugural AQR Fellowship Award.
He received the award from the AQR Asset Management Institute (AQR Institute), founded at London Business School in January 2015. The award was presented by David Kabiller, Founding Principal of AQR Capital Management, before a distinguished crowd of leading academics and practitioners on the academic day of the AQR Institute’s Insight Summit on 26 October 2015.
This annual award recognises a single PhD student who demonstrates intellectual rigour, academic excellence and innovation. The award, which includes a prize of £10,000, is open to LBS PhD students in their fourth year of study, with research interests in the field of asset management.
Ryan primarily researches the role of intermediaries in asset pricing where he has worked on the role of activist investors in the bankruptcy process. Distressed funds are able to obtain better outcomes for bond classes but demand a premium for doing so. The premium is highest when defaulted assets are abundant but activist wealth is low, leading to reduced post-default prices in recession states. His model accurately captures time series variation in post-default trading prices and returns to distressed investing, and improves the ability to match spreads vs a fixed recovery rate framework.
In related research Ryan examines more specifically this reorganisation process and how assets are allocated among various parties. There he documents the important role of prices in promoting bankruptcy efficiency.
Ryan has a separate line of research that explores scale in the Mutual Fund industry. He develops a measure to capture a funds pricing impact on purchases and sales and shows that funds who face constraints appear to diversify away from existing positions in response to inflows. When their assets increase, the same constrained funds experience significant underperformance relative to unconstrained funds over long horizons.
After studying Economics and Mathematics at Swarthmore College, Ryan worked in the Macroeconomics research division of the New York Federal Reserve Bank. Subsequently he moved to the private sector where he explored the spectrum of employment opportunities, spending some time as a snowboard instructor followed by a stint as an analyst at a distressed strategy hedge fund. His activities centred on enterprise valuation across a variety of industries and bankruptcy process risk assessment. Ryan is an active member of the CFA Institute.
View Ryan’s latest paper “Corporate Debt Markets and Recovery Rates with Vulture Investors”.
The AQR Fellowship Award is one of a series of awards presented by the AQR Institute to recognise academic and research excellence in asset management among both LBS students and rising scholars around the world.
To learn more about the awards and the AQR Institute, visit www.london.edu/AQRInstitute.