Generating Alpha: Predicting Volatility and Corrections, Wednesday, June 11, 2014 09:30:00 PM IST – 10:45:00 PM IST
Michael A. Gayed, CFA, and Charlie Bilello, CMT, of Pension Partners, LLC co-authored two award-winning papers in 2014 that challenge the efficient market hypothesis by revealing market anomalies that have persisted over time. In separate papers, they focus on the utilities sector and Treasury bonds, providing a systematic way to outperform the market on an absolute and risk-adjusted basis. Importantly, they also show how the unique behavior of utilities and Treasuries can be used to anticipate periods of higher volatility and market corrections. Their work has important implications for both asset allocators and active managers. You can download both papers from the Social Science Research Network (SSRN): “An Intermarket Approach to Beta Rotation” (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2417974) and “An Intermarket Approach to Tactical Risk Rotation” (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2431022).
Michael A. Gayed, CFA, and Charlie Bilello, CMT
Michael A. Gayed, CFA, is Chief Investment Strategist and Charlie Bilello, CMT, is Director of Research at Pension Partners, LLC.