Wagner Award 2012

Launched in 2009, the NAAIM Wagner Award is designed to expand awareness of active investment management techniques and the results of active strategies through the solicitation and publication of research on active management. $10,000 is presented annually for the best paper submitted to the competition.

The 2007-2008 bear market, following on the heels of the 2000-2002 decline, led many investors to question the wisdom of buy-and-hold investing, explains Jerry Wagner, a NAAIM founding member and co-chairman of the association’s drive to generate academic research on the viability of active management. NAAIM members have always believed active is better, he said. Our competition is designed to support this position through sound research and shine the spotlight on those individuals advancing this field of study.

Click here to view and download all submitted Wagner Award papers from 2009, 2010, 2011

Download a copy of all of the 2012 papers including the prize winning papers:

Other Submissions:

Short Term Alpha as a Predictor of Future Mutual Fund Performance – Second Place
Michael Hartmann
Plan to Invest Capital Management

Optimal Portfolio Strategy to Control Maximum Drawdown (The Case of Risk-based Active Management with Dynamic Asset Allocation) – Third Place
Z. George Yang
Director of Research
Flexible Plan Investments, Ltd.

Credit-Informed Tactical Asset Allocation – Honorary Mention
Dave Klein
Partner Capital Context LLC

Theoretical Bases and Practical Example of Trend Following
Lukasz Wojtow
Zamosc University of Management and Admin

NAAIM Assessing Trading System Health
Howard Bandy
Blue Owl Press

How Financial Engineering Can Improve your Portfolios
Bob Fulks
President
Pleasant Bay Capital Management

Towards optimization through Step-Forward Testing
Douglas N. Rechia
M. Sc.
Independent Investor

MAP Investment Strategies
Carl Sera
Sr. Quantitative Analyst
Sera Capital Management

IPO Performance In Emerging Market From Trading perspective: An Indian scenario
Pankaj Kumar Jain, Assistant Professor and Aditya T. Navale, Post Graduate Student
Indian Institute of Finance

Exploring Statistical Arbitrage Opportunities in the Term Structure of CDS Spreads
Xiaoxia YE
Research Fellow
National University of Singapores

The Stampede to Safety: A Tragedy of Commons
Gerry Paul
Chief Investment Officer, US Value Equities
Alliance Bernstein

Personification of Corporate Governance in Developing Investment Strategies
Pratima Jain
ICSI-CCGRT

Analyzing Valuation Measures: A Performance Horse-Race over the Past 40 Years
Wesley R. Gray, Ph.D
Assistant Professor of Finance
Drexel University

The Indicators of Stock Market Macro Turning Points During Global Financial Crisis
George Bijak
Director, Investment Strategist
GB Capital PTY LTD

Indicator and Seasonal Effects on Monthly Trading Models
Matthew Weiland
Independent Quantitative Trader

An Alternative to Risk Parity
John Hall

The Case for Using Seasonality in Stock Prices
Jacob Bernstein
Chief Trader
Trade-Futures.com

e=mpt2 Efficient Modern Portfolio
Rick Andrews
President
Avant Capital Management, Inc.

Back to the Future: Portfolio Optimization Downside Risk, and Alternative Assets,
Carlton J. Chin

Uncommon Solutions
Steve Blumenthal
Founder & CEO
CMG Capital Management Group, Inc.