Generating Alpha: Predicting Volatility and Corrections

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In two award wining white papers, Michael A. Gayed, CFA challenged the efficient market hypothesis by revealing market anomalies that have persisted over time. In separate papers, he focused on the utilities sector and Treasury bonds, providing a systematic way to outperform the market on an absolute and risk-adjusted basis. Importantly, he also shows how the unique behavior of utilities and Treasuries can be used to anticipate periods of higher volatility and market corrections. His work has important implications for both asset allocators and active managers.

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