2016 NAAIM Wagner Award Winner Spencer Seggebruch Identifies Why Past Performance Can Be Indicative of Future Results
Littleton, CO – April 2, 2016 – The National Association of Active Investment Managers (NAAIM) announced today that Spencer Seggebruch of R.T. Jones Capital Equities Management, Inc., St. Louis, Missouri, is the 2016 first-place winner of the $10,000 NAAIM Wagner Award for Advances in Active Investment Management for his paper “Multivariate Regression Analysis: Considering the Relevance of Past Performance.”
In its eighth year, the NAAIM Wagner Award is designed to expand awareness of active investment management techniques and the results of active strategies.
Of the winning paper, Greg Morris, the Chairman of the Award Committee, writes “Once again, our first-place winner has delivered a quantitative proof of the validity of active management in the real world. The judges were extremely impressed with the organization and presentation of his compelling conclusions.” Morris, author of “Investing with the Trend” and “Dancing with the Trend,” is Chairman of the Board of Trustees for the Stadion Trust and a consultant.
In his award-winning paper, Seggebruch shows that multivariate regression analysis can successfully identify mathematical relationships between various past performance statistics and future returns.
This paper provides a response to questions such as, “What time period should be used for performance calculations?” and “How long is the prediction relevant?” Seggebruch explains the details of multivariate regression in consideration of the fact that not every investor has an advanced degree in mathematics.
Seggebruch demonstrates conclusively that a rules-based trading system, supplemented with multivariate regression, is a viable alternative to investing in a passive index. He also states that, “This approach is not limited to these assets, input variables or time periods, and is merely a glimpse of the benefit that multivariate regression can provide to an active investment manager.”
A panel of investment professionals selected by the NAAIM Wagner Award committee reviewed entries and awarded the prizes. The criteria used in judging the papers are: practical significance to practitioners of active investing; quality of exposition; analytical rigor; and novelty of results. In addition to Morris, the panel included Jerry Wagner of Flexible Plan Investments, Ltd.; John Ehlers of Mesa Software; Bill Barack of Lindisfarne Investments LLC; Jeff Pietsch of Concert Capital Management; and Steve LeCompte, CXO Advisory Group, LLC. To find out more about the judges’ panel, follow this link: https://www.naaim.org/resources/wagner-award-papers/wagner-award-judging-team/. The 2016 NAAIM Wagner Award received 15 entries this year, mostly from the United States but also from Ireland, England and the Netherlands.
Tied for second place in the competition were Don Beasley with his paper “A Stock Basket Strategy in a Bullish Market Regime” and Scott Juds with his paper “Investment Performance Improvement Utilizing Automated Polymorphic Momentum.” The Second place winners will each receive $2,000 as their award in the competition.
The NAAIM Wagner Award research papers are available to the public. Up to three papers can be requested using a search feature on the NAAIM website. Users will be able to search for papers by competition year and/or keyword such as the author’s name. To access the search tool, follow this link https://www.naaim.org/programs/find-a-whitepaper/ or visit the NAAIM website and select “Find A Whitepaper” under the Programs tab at the top.
First Place winner Spencer Seggebruch will be presenting his winning paper at NAAIM’s 2016 national conference, Uncommon Knowledge, May 1-4 in Fort Lauderdale, Florida. For more information or to register for the annual conference, visit the NAAIM website https://www.naaim.org/events/uncommon-knowledge-national-conference/
About the Winner
Spencer Seggebruch has been working at RT Jones Capital Equities Management, Inc. for approximately three years. He started at RT Jones after graduating in 2013 from Southern Illinois University Edwardsville with a degree in Mathematics, specializing in Actuarial Science. While the majority of his coursework focused on analysis, he also earned a minor in Business Administration. Seggebruch contributes to the firm in several ways but mainly does research, and designs and optimizes trading algorithms. He also creates and manages new portfolios strategies. This is his first year as a competitor in the NAAIM Wagner Award whitepaper competition.
About the NAAIM Wagner Award
In honor of the vision and work of Jerry Wagner, NAAIM founding member and president and CEO of Flexible Plan Investments, Ltd., the NAAIM Wagner Award for Advances in Active Investment Management annually awards $10,000 to a first-place paper providing evidence of the validity of an active investing approach using a trading system that outperforms the market by some well-accepted metric such as risk-adjusted return, annual return or drawdowns. Second-place and third-place winners are awarded $2,000 and $1,000, respectively, unless there is a tie for second place. The public can request up to three copies of previous whitepapers using the Find A Whitepaper search tool on the NAAIM website. Contact NAAIM for more information.
The top prize in 2015 went to Michael Gayed and Charlie Bilello for their thought-provoking paper, “Lumber: Worth Its Weight in Gold ‐ Offense and Defense in Active Portfolio Management.”
The National Association of Active Investment Managers (NAAIM) is a non-profit trade group of nearly 200 Registered Investment Advisors and Investment Advisor Representatives that collectively manage over $35 billion in assets. NAAIM members provide active money management services to their clients to produce favorable risk-adjusted returns as an alternative to more passive, buy-and-hold investment strategies. NAAIM publishes the weekly NAAIM Exposure Index, and sponsors the annual Uncommon Knowledge conference along with smaller conferences and regional workshops on managing portfolios, trading techniques for various instruments and markets, regulation and compliance, and other topics of interest to its membership. For more information, visit www.naaim.org.