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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.”

The 2010 call for papers resulted in an international response, with authors from New Zealand, the Great Britian and Canada, as well as the U.S., submitting research demonstrating advancements in active investment management and its potential.

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

Alpha Generation and Risk Smoothing using Volatility of Volatility Tony Cooper - Quantitative Analyst Double-Digits Numerics

Other Submissions

	Buy-Write or Put-Write, An Active Portfolio to Strike it Right - 2nd Place Z. George Yang - Ph.D. Flexible Plan Investments, Ltd.
	Alternative Overlay for a Traditional Managed Equity Portfolio - 3rd Place Bruce C. Greig - CFA, CAIA Altin Holdings LLC
	A More Quantitative Approach to "A Quantitative Approach to Tactical Asset Allocation" John Hall - Senior Economist Prudential International Investment Advisors
	A System of Models Ian Naismith Sarasota Capital Strategies
	Active Investment Management - Assessing Return on Activity Bruce Robinson Omniphase Systems, Inc.
	Combining Strategic and Tactical Asset Allocation Gary Antonacci - Portfolio Manager Portfolio Management Associates
	Considering the Predictive Impact of Different Volatility Measures On Daily Follow-Through Using An Adaptive Framework Ramon Cummins David Varadi - President
	Diversified Statistical Arbitrage: Dynamically combining mean reversion and momentum investment strategies James Velissaris - Research Associate Arden Asset Management
	Monte Carlo Portfolio Optimization Nikolaus von Soldokoff
	Monthly Momentum Allocation by Sharpe Ratio - A Tactical Allocation Strategy for Maximizing Risk-adjusted Return Laura Rogers - Financial Researcher FastTrack
	MR Swing: A quantitative system for mean-reversion and swing trading in market regimes Dave Abrams - Quantitative System Designer Scott Walker - Portfolio Manager CSS Analytics
	Phase Investing for the Active Investment Manager Christopher P. Hendrix - CMT, Team Leader - Investment Services Spectrum Financial Inc.
	The Importance of Investment Strategy C. Thomas Howard - CEO and Director of Research AthenaInvest, Inc.
	Trend Following Signal Confirmation Using Non-Price Indicators David Serbin WIJOPA Investments, LLC
	Using Adaptive Rebalancing to Bridge the Gap Between Strategic Asset Allocation and Tactical Asset Allocation William T. Hepburn - President Hepburn Capital Management, LLC
	Building a Foundation for Active Management Thomas Hamilton - President Special Risk Capital Management, LLC

To View and Download 2009 papers click here

Alpha Generation and Risk Smoothing using Volatility of Volatility

2010 Wagner Award Winner -

New Zealand statistician TONY COOPER

Tony Cooper is the founder of Double-Digit Numerics, (http://ddnum.com) an independent company located in Auckland, New Zealand, carrying out high-level quantitative research and consulting in developing and applying statistical methods and models to enhance business returns. In founding Double Digit Numerics, Cooper’s objective was to strengthen the science infrastructure of New Zealand and to bring quantitative skills and specialized skills in statistics to businesses, especially those in the finance industry.

Cooper has seven years experience as a consulting statistician In the Applied Mathematics Division of the New Zealand Department of Scientific and Industrial Research, five years in the Masters and PhD program in Statistics at Stanford University California, 11 years IT experience at New Zealand Funds Management, and three years quantitative experience at Wellington hedge fund Crema Capital.

Included in his professional experience is one year voluntary work for Team New Zealand doing wind field interpolation for the America's Cup. He has a distinguished academic record including the IBM Prize in Computer Science and G.H. Bennett Prize in Statistics at Massey University, and a National Research Advisory Council Fellowship to study at Stanford University.

Double-Digit Numerics specializes in modeling and optimization, primarily in finance but with expertise where ever optimization can be used. Although most of the company’s work has been with investment funds the same mathematical concepts (modeling and optimization) are common to other business processes.

Perhaps the best mathematics competition in the world is America's Cup yacht racing. The team with the best math wins. Mathematics and statistics are used to design boats and sails, to predict the wind, to sail optimum routes through wind fields, and to sail optimum strategy against an opponent. But even land-based businesses provide mathematical challenges for maximizing returns. Beating the stock market, maximizing profits given fixed resources, scheduling to minimize traffic time, loading an aircraft as quickly as possible, figuring out an optimal marketing campaign, are all situations where the application of mathematics enhances profitability. This is Tony Cooper’s specialty.