Leverage for the Long Run: A Systematic Approach to Managing Risk and Magnifying Returns in Stocks
May 25, 2016
A webcast presentation originally held on May 25, 2016 by Michael Gayed, CFA and Charlie Bilello, CMT as part of the CMT Association’s Educational Web Series.
In their 2016 Charles H. Dow Award winning paper “Leverage for the Long Run”, Michael A. Gayed, CFA and Charlie Bilello, CMT challenge popular notions about leverage and moving averages. They establish that certain factors (volatility and path dependency) are critical to effectively deploying leverage and illustrate how moving averages can be used to systematically evaluate these factors. The strategies revealed in the paper counter the Efficient Market Hypothesis and CAPM in exhibiting higher risk-adjusted returns than a comparable buy-and-hold strategy.
Join Michael and Charlie as they discuss the surprising findings of their research and practical ways for active managers to potentially increase returns and manage risk.
You can download their full paper here: https://docs.cmtassociation.org/dow-award/2016-gayed-bilello.pdf
