NAAIM Awards $10,000 Prize to New Zealand Statistician Tony Cooper for Paper Uncovering Optimal Leverage Levels Through Volatility Analysis
LITTLETON, Colo. & ORLANDO, Fla. — The National Association of Active Investment Managers (NAAIM) announced today that Tony Cooper, managing director Double-Digit Numerics in Auckland, New Zealand, is the 2010 firstplace winner of the $10,000 Wagner Award for Advancements in Active Investment Management. In their second year, NAAIM’s Wagner Awards promote the effectiveness of active investment management strategies; this year’s entries have come to NAAIM from all over the world.
“Buy-Write or Put-Write: An Active Portfolio to Strike It Right”
“Mr. Cooper’s paper is a significant addition to the body of knowledge on active investment management,” said Jerry Wagner, president of Flexible Plan Investments, Ltd. and co-chair of NAAIM’s 2010 Wagner Awards Committee. “He was able to mathematically synthesize a formula for determining optimal leverage of a portfolio. I believe his advancement has multiple applications for the investment management industry.”
The winning paper, “Alpha Generation and Risk-Smoothing Using Volatility of Volatility,” explains a method for predicting volatility in a tradable data series. Under the premise that volatility is easier to predict than price, Cooper suggests several methods for predicting volatility to specify levels of leverage that can increase performance with limited risk.
“Volatility has long been an important element of market analysis,” explained Dr. William Barack, president of Barack Capital Management, a member of the judging panel and co-chair of the 2010 Wagner Awards committee. “Rising volatility is typically a sign of uncertainty, and often precedes market declines, while low volatility tends to occur in rising markets. Cooper’s approach digs deeper into volatility, beyond analyzing VIX charts and other volatility measures, to predict volatility and apply that knowledge to a leveraged investment approach.”
Mr. Cooper has a distinguished academic record, including having won the IBM Prize in Computer Science and the G.H. Bennett Prize in Statistics at Massey University; he was a recipient of the National Research Advisory Council Fellowship to study at Stanford University. His professional career includes experience as a consulting statistician for the Applied Mathematics Division of the New Zealand Department of Scientific and Industrial Research, significant IT experience at New Zealand Funds Management, as well as quantitative experience at Wellington, NZ, hedge fund Crema Capital. A volunteer for Team New Zealand, Mr. Cooper has conducted wind field interpolation studies for the America’s Cup. He has a graduate degree in Statistics from Stanford University.
In 2004, Cooper founded Double-Digit Numerics, an independent quantitative research and consulting firm, with the mission of strengthening the science infrastructure of New Zealand and applying quantitative and other specialized skills in statistics to business, especially those in the finance industry.
he 2010 Wagner Awards attracted entries from the U.S., Great Britain, Canada and New Zealand. Second-place in the competition is George Yang for his paper, “Buy-Write or Put-Write: An Active Portfolio to Strike It Right,” followed by third-place winner Bruce Greig for his paper, “Alternative Overlay for a Traditional Managed Equity Portfolio.”
Top papers will be published on the NAAIM website at www.NAAIM.org, following the association’s May 2010 annual conference in Orlando, Florida at the Hilton Bonnet Creek Resort.