Winning Paper "Trend – Emotion – Timing," introduces a novel method for charting individual stock markets by integrating statistically supported trend-following strategies with classical portfolio optimization techniques.
LITTLETON, Colo., May 13, 2025 /PRNewswire-PRWeb/ -- The National Association of Active Investment Managers (NAAIM) has named Oliver Reiss, Ph.D., Managing Director of Tremti GmbH based in Dusseldorf, Germany, as the 2025 winner of its annual white paper competition, the NAAIM Founders Award.
Reiss' paper, titled "Trend – Emotion – Timing," establishes a new way to chart the market of individual stocks, combining trend following ideas based on a large statistical evidence with classical portfolio optimization.
"Timing the markets for individual stocks is a challenging task. A general advice is to buy up-trending stocks when their prices correct and are not overbought any more. There is an antagonism in the market behavior, however," Reiss explains. "On a short-term basis prices tend to mean revert while on a medium term a momentum manner can be observed."
In "Trend – Emotion – Timing," Reiss provides the statistical evidence of these market characteristics and develops tools to overcome this polarity. 40 different trend-following indicators are used, interpreting each indicator as one vote in a poll. The result is the Trend-Score. A positive value is linked to an up-trend. The higher its value is, the clearer or stronger the up-trend. This is extended to benchmark indices to understand their impact on price movements.
In the next step, Reiss explores the emotions of the investors for a stock, which are usually effected on a short-term basis. Several technical oscillators are used with time-frames up to one month to define an Emotion-Index in a similar manner to the Trend-Score.
To overcome the different market behaviors in the short and medium term, the Anchored-Trend-Score is proposed, which evaluates the Trend-Score of a stock during least emotional times, when the Emotion-Index is close to zero. The Anchored-Trend-Score considers benchmarks too. The Timing-Indicator is defined as the difference of the Anchored-Trend-Score and the Emotion-Index.
Reiss proposes two applications of these indicators and their statistical properties. The first is dedicated to discretionary investors who want to spot either interesting timing opportunities or the strongest trends in the market. The second applies to the classical portfolio theory of the Nobel laureates Markowitz and Sharpe. One permanent challenge in applying their theory is to estimate the return of a stock. While usual trend-following approaches overestimate the returns when a stock is overbought (and vice versa), the Anchored-Trend-Score solves this issue – together with the historical volatility of the stock. The consideration of benchmarks, including the benchmark with respect to a risk-free-rate modifies the expression for the Sharpe-ratio, but the fundamentals of the classical approach are unchanged.
Reiss presented his "Trend – Emotion – Timing" paper and how it can be used for individual stock selection on May 7th at Uncommon Knowledge 2025 in Costa Mesa, CA.
To download the winning paper, visit: Trend-Emotion-Timing
About Oliver Reiss, Ph.D.:
Dr. Oliver Reiss, CFTe, MFTA, received a master's degree in physics from the University of Osnabruck (1998) and a Ph.D. in mathematics from the University of Kaiserslautern (2003)—the latter for his research on financial mathematics performed at the Weierstrass-Institute in Berlin. After receiving his Ph.D., he worked in the banking industry until founding his consultancy business in 2011. Today he is a self-employed consultant for financial institutions with a focus on risk controlling, derivatives pricing (quant), and related IT implementations by his company Tremti GmbH. A member of the International Federation of Technical Analysts (IFTA) via its German association VTAD, he holds CFTe and MFTA certifications.
About the NAAIM FOUNDERS AWARD:
Launched in 2009, the NAAIM Founders 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. $5,000 is presented annually for the best paper submitted to the competition.
The National Association of Active Investment Managers (NAAIM) is a non-profit trade group of 125 member firms nationwide, collectively managing over $32 billion annually. NAAIM's purpose is to promote the common interests of those investment advisors who provide active investment management services to clients. NAAIM's many professional development opportunities are headlined by its annual conference – Uncommon Knowledge – which is held each spring in locations around the U.S. Other events are held several times a year on timely topics for our members, as are teleconference and webinar events. For more information, visit www.naaim.org
All NAAIM Founders Award Papers can be found at: Find a White Paper
Media Contact
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SOURCE National Association of Active Investment Managers
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