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NAAIM Uncommon Knowledge 2010 Conference

April 30, 2010

A quick note to anybody that will be at the NAAIM Uncommon Knowledge 2010 conference next week.

CSS Analytics will be at the conference.  One our researchers, Dave Abrams, will be presenting a paper next Wed in the “Secret Sauce Trading Techniques” based on an innovative new trading system that uses the DV2 and other design principles from this blog.  You’ll be hearing more about the paper and system next week .  Be sure to stop by to see the presentation if you are going to be at the conference!

3 Comments leave one →
  1. John permalink
    April 30, 2010 10:12 pm

    Well done David!

  2. May 2, 2010 5:02 pm

    Media queries:
    William Barack, Ph.D
    Barack Capital Management
    bill@barackcapitalmanagement.com // 440-892-9956

    Gerry Wisz, GW Communications
    gerry@gwcom.biz //201-280-2816

    UNIQUE INVESTMENT STRATEGY BASED ON `VOLATILITY OF VOLATILITY’ CAPTURES NAAIM WAGNER AWARD

    NAAIM Awards $10,000 Prize to New Zealand Statistician Tony Cooper for Paper Uncovering Optimal Leverage Levels Through Volatility Analysis

    Littleton, CO, Orlando, FL — May 3, 2010 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 first-place 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.

    “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 NAAIMs 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. Coopers 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.

    The 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 http://www.NAAIM.org, following the associations May 2010 annual conference in Orlando, Florida at the Hilton Bonnet Creek Resort.

    About the Wagner Awards
    In honor of the vision and work of NAAIM founding member, and president and CEO of Flexible Plan Investments, Ltd., Jerry Wagner, the Wagner Awards for Advancements 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 draw-downs. Second-place and third-place winners are awarded $3,000 and $1,000, respectively.

    The top prize in 2009 went to independent trader and quantitative trading consultant Justin Lent for his paper, “Tactical Equity Allocation Model (T.E.A.M.): A Quantitative Approach for Investing in Long-Term Trends by Using Short-Term Mean-Reversion Techniques to Optimize Risk-Adjusted Return.”

    About NAAIM
    The National Association of Active Investment Managers or NAAIM is a non-profit trade group of nearly 200 registered investment advisor firms that collectively manage over $16 billion in assets. NAAIM member firms 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 Survey of Manager Sentiment, the NAAIM Active Mutual Fund (AMF) Index, and sponsors the annual Uncommon Knowledge conference along with smaller conferences 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 http://www.NAAIM.org.

  3. John French permalink
    May 13, 2010 10:17 am

    Hi David, how did you get on? I read the winning paper. Varying leverage with respect to the current level of volatility has long been a pet topic of mine so it was interesting to see someone else’s (rather more formal) efforts in this regard.

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