Dr. Z. George Yang and Liang Zhong selected as the 2012 Wagner Award Third-Place Winners

LITTLETON, Colo., May 31, 2012 /PRNewswire/ -- The National Association of Active Investment Managers (NAAIM) has announced that Dr. Z. George Yang and Liang Zhong are the 2012 third-place winners of the NAAIM Wagner Award for Advances in Active Investment Management for their paper, "Optimal Portfolio Strategy to Control Maximum Drawdown: The Case of Risk-Based Active Management with Dynamic Asset Allocation."

In their paper, Yang and Zhong examine an active quantitative trading strategy to control a portfolio's drawdown within a target level while maximizing the long-term portfolio growth rate. Contrasting against the classical mathematical framework of continuous drawdown control by Grossman and Zhou (1993), Yang and Zhong introduce a new concept of Rolling Economic Drawdown (REDD) to define a maximum loss limit, taking into consideration a rolling time period of fixed length.

Yang and Zhong conclude that REDD "demonstrates the prowess of risk-based investment management: driven by active risk control, rather than performance chasing, your portfolio will out-perform consistently, for the long term."

Dr. Yang, 2010's Wagner Award second-place winner, is Director of Research at Flexible Plan Investments, Ltd. He has extensive knowledge in the financial and technology fields with a Ph.D. degree from Cornell University and an MBA degree from the University of Michigan. Dr. Yang joined Flexible Plan Investments as Director of Research in July 2008, following a 10-year engineering career developing quantitative and analytical methods in the automotive industry. He was a winner of the Henry Ford Technology Award from Ford Motor Company in 1999.

Zhong is currently a candidate of Ph.D. in economics at Alfred Lerner College of Business and Economics, University of Delaware, and was a 2011 Summer Research Associate at Flexible Plan. He previously obtained a Masters degree in Finance from Illinois Institute of Technology, and a Bachelors degree in Engineering from Tongji University, Shanghai, China.

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 Award for Advances in Active Investment Management annually awards $10,000 to a first-placed 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 $3,000 and $1,000, respectively. A jury of investment professionals selected by the Wagner Award committee reviewed entries judging papers on the: practical significance to practitioners of active investing; quality of exposition; analytical rigor; and novelty of results. Top winning papers and entries can be found at: http://naaim.org/wagneraward.aspx.

The 2012 top prize went to Gary Antonacci, of Portfolio Management Associates of Sarasota, Florida, for an innovative white paper entitled, "Momentum Success Factors."

About NAAIM

The National Association of Active Investment Managers (NAAIM) is a non-profit trade group of nearly 200 registered investment advisor firms that collectively manage over $31 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 www.NAAIM.org.

SOURCE National Association of Active Investment Managers