What I'm Reading - John Rothe | Portfolio Manager, Quant, Tech Geek, And Sometime Superhero To My Kids

What I’m Reading

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.”

2011 WINNER Buying Power – The Overlooked Success Factor

Thomas Krawinkel

Private Trader

Other Submissions

Optimal Momentum Investing – 2nd Place

Gary S. Antonacci

Portfolio Management Associates

Optimal Rotational Strategies Using Combined Technical and Fundamental Analysis – 3rd Place

Tony Cooper

Double-Digit Numerics

Is there a Distress Risk Anomaly? Corporate Bond Spread as a Proxy for Default Risk

Denzig Anginer and Celim Yidizhan

Ross School of Business, University of Michigan

Why Listed Infrastructure

Michael Underhill

Capital Innovations

Fighting the Next War: Redefining the Inflation Protected Portfolio

Jon Ruff and Vince Childers

Alliance Bernstein

Discriminating Bear Market Rallies from Initial Rallies in New Bull Markets: A Statistical Classifier Approach

David R. Aronson

Hood River Research Inc.

Developing an Active Management System for the U.S. Stock Market and Constructing a Live Testing Environment

David Moenning

Heritage Capital Management

Active Management of the Rydex Series Funds

Mark Pankin

MDP Associates LLC

A Multi Objective Approach for Contingent Claim Portfolio

Pankaj Kumar Jain and Aditya T. Navale

Indian Institute of Finance

Strategy Market Barometer

C. Thomas Howard

Professor, University of Denver and Athena Invest

The Abandonment Metric: Negative Fund Flows as a Predictor of Excess Returns

Neil Stoloff

SweetSpot Investments LLC

Relative Momentum: A New Alternative to Relative Strength

Gary Anderson

Anderson & Loe, Inc.

Protecting Equity Investments: Options, Inverse ETFs, Hedge Funds, and AORDA Portfolios

Gaia Serraino, American Optimal Decisions and Stan Uryasev

University of Florida

Buying Power – The Overlooked Success Factor

Thomas Krawinkel

Private Trader

Other Submissions

Optimal Momentum Investing – 2nd Place

Gary S. Antonacci

Portfolio Management Associates

Optimal Rotational Strategies Using Combined Technical and Fundamental Analysis – 3rd Place

Tony Cooper

Double-Digit Numerics

Is there a Distress Risk Anomaly? Corporate Bond Spread as a Proxy for Default Risk

Denzig Anginer and Celim Yidizhan

Ross School of Business, University of Michigan

Why Listed Infrastructure

Michael Underhill

Capital Innovations

Fighting the Next War: Redefining the Inflation Protected Portfolio

Jon Ruff and Vince Childers

Alliance Bernstein

Discriminating Bear Market Rallies from Initial Rallies in New Bull Markets: A Statistical Classifier Approach

David R. Aronson

Hood River Research Inc.

Developing an Active Management System for the U.S. Stock Market and Constructing a Live Testing Environment

David Moenning

Heritage Capital Management

Active Management of the Rydex Series Funds

Mark Pankin

MDP Associates LLC

A Multi Objective Approach for Contingent Claim Portfolio

Pankaj Kumar Jain and Aditya T. Navale

Indian Institute of Finance

Strategy Market Barometer

C. Thomas Howard

Professor, University of Denver and Athena Invest

The Abandonment Metric: Negative Fund Flows as a Predictor of Excess Returns

Neil Stoloff

SweetSpot Investments LLC

Relative Momentum: A New Alternative to Relative Strength

Gary Anderson

Anderson & Loe, Inc.

Protecting Equity Investments: Options, Inverse ETFs, Hedge Funds, and AORDA Portfolios

Gaia Serraino, American Optimal Decisions and Stan Uryasev

University of Florida

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