2013 Wagner Award Submissions
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.
Download a copy of all of the 2013 papers including the prize winning papers:
Equity Sector Rotation via Credit Relative Value
Capital Context LLC
Easy Volatility Investing
Double Digit Numerics – Second Place
Filtered Market Statistics and Technical Trading Rules
Z. George Yang, Ph.D, CFA
Flexible Plan Investments, Ltd. – Third Place
Can Hedge Funds Time Market Liquidity?
Charles Cao, Penn State University
Yong Chen, Virginia Tech
Bing Liang, University of Massachusetts
Andrew W. Lo, MIT Sloan School of Management
Using Foreign Exchange Markets to Outperform Buy and Hold Saeed Amen, Qauntitative FX Strategy
Brent Donnelly, Head of G10 FX Spot Trading
A Useful Pairing – The Development of the SELECTOR® Trend Reversal Indicator
Edward D. Foy, RFC
Foy Financial Services, Inc.
Absolute Momentum: a Simple Rule-Based Strategy and Universal Trend-Following Overlay
Portfolio Management Associates, LLC
Risk Adjusted Trend Indicator in Asset Allocation
Practitioner – Independent Financial Advisor
Implications of Index Construction Methodologies for Price and Dividend Indices
Georg Cejnek and Otto Randl
WU (Vienna University of Economics and Business)
Portfolio Preservation During Severe Market Corrections: A Market Timing Enhancement to Modern Portfolio Theory
Dr. Kristine Andersen and Patrick Glenn
Stock Market Cook Book, LLC
A Red Ryder Christmas – A Bean Counter’s Journey through the World of Seasonal Barometers
Witter & Lester, Inc.
A Test of Momentum Strategies in Funded Pension Systems – The Case of Sweden
KTH – Royal Institute of Technology
Correlations Have Personality, Too: An Analysis of Correlations between Assets
Carlton J. Chin, CFA
Price Asset Management
The Modified Expectations Equity Curve
Using Maximum Drawdowns to Capture Tail Risk
Wesley R. Gray and Jack R. Vogel
Adaptive Risk Management Strategy (ARMS)
International Capital Management Corp.
Momentum Strategies in Futures Markets and Trend-following Funds
Akindynos-Nikolaos Baltas and Robert Kosowski
Imperial College Business School