May 8, 2012

2012 NAAIM Wagner Awards

The 2012 NAAIM Wagner Awards for Advancements in Active Investment Management were announced yesterday by National Association of Active Investment Managers.  I'm in Atlanta now to accept the first place award and $10000 prize, and to present my  paper at their annual conference. I'm honored to be receiving this recognition for my research work.    
 
During the past 20 years there have been some 300 published research papers written about momentum. Most have dealt with momentum applied to individual stocks, bonds, commodities, or currencies. (All four publicly available, fully disclosed momentum funds apply momentum only to individual stocks or commodities.) Less than five percent of momentum research has looked at asset groups. Fewer still have applied momentum simultaneously to multiple asset or risk classes, even though this gives the best results.

My research paper last year (the second place winner of the 2011 NAAIM Wagner Award) used fixed income as a safe haven from riskier markets under appropriate market conditions. This was an ad hoc step in the right direction. What was really needed was a logical framework that systematically deals with regime change in order to better exploit momentum's profit-making potential. 

In my new paper, I believe I've accomplished this. I show that volatility is a primary success factor that leads to momentum profits. I then show how to harness that volatility from within a momentum structure that adapts to regime change. You can download from NAAIM  my paper and all the other papers submitted for the Wagner awards, or you can download an updated version of my paper here. I welcome feedback and comments.