Steve Thomas

City University London - Sir John Cass Business School

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

SCHOLARLY PAPERS

31

DOWNLOADS
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Top 720

in Total Papers Downloads

26,075

CITATIONS
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SSRN RANKINGS

Top 28,900

in Total Papers Citations

8

Scholarly Papers (31)

The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation

Number of pages: 42 Posted: 08 Aug 2012 Last Revised: 27 Aug 2015
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 9,583 (347)

Abstract:

Risk parity, trend following,bhavioral finance, momentum, global asset allocation, equities, bonds, real estate, commodities

The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation

Number of pages: 34 Posted: 08 Jun 2013
Andrew Clare, Peter N. Smith and Steve Thomas
City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 539 (40,901)

Abstract:

risk parity, trend following, momentum, global asset allocation, equities, bonds,

The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation

Number of pages: 34 Posted: 16 May 2013
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 261 (97,055)

Abstract:

risk parity, trend following, momentum, global asset allocation, equities, bonds, commodities, real estate

2.

Basel III: Is the Cure Worse than the Disease?

Number of pages: 53 Posted: 09 Oct 2010 Last Revised: 18 Oct 2010
City University London - Sir John Cass Business School, University of Westminster, Loughborough University - School of Business and Economics and City University London - Sir John Cass Business School
Downloads 2,625 (2,651)
Citation 3

Abstract:

asset liability management, bank capital, bank regulation, cost of bank capital, liquidity requirements

3.

Trend Following, Risk Parity and Momentum in Commodity Futures

Number of pages: 34 Posted: 09 Aug 2012 Last Revised: 17 Jan 2013
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and University of York - Department of Economics and Related Studies
Downloads 1,401 (6,983)

Abstract:

4.

Breaking into the Blackbox: Trend Following, Stop Losses, and the Frequency of Trading: The Case of the S&P500

Number of pages: 19 Posted: 08 Aug 2012
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and University of York - Department of Economics and Related Studies
Downloads 1,079 (11,351)

Abstract:

trend following, S&P500, stop losses, trading frequency, fundamental investment metrics

5.

An Evaluation of Alternative Equity Indices - Part 1: Heuristic and Optimised Weighting Schemes

Number of pages: 41 Posted: 01 Apr 2013
Andrew Clare, Nick Motson and Steve Thomas
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 967 (13,152)

Abstract:

Alternative equity indices, risk-adjusted performance, Monte Carlo simulation

6.

When Growth Beats Value: Removing Tail Risk From Global Equity Momentum Strategies

Number of pages: 37 Posted: 15 May 2014
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 787 (19,866)

Abstract:

International equity; Value investing; Growth investing; Relative momentum; Trend following; Tail risk

7.

Securitization and Bank Performance

Number of pages: 29 Posted: 20 Oct 2009 Last Revised: 28 Oct 2009
University of Essex - Essex Business School, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 638 (27,034)
Citation 5

Abstract:

Securitization, Bank Performance, Propensity Score Matching

European Equity Investing Through the Financial Crisis: Can Risk Parity, Momentum or Trend Following Help to Reduce Tail Risk?

Number of pages: 31 Posted: 17 Dec 2013
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 462 (49,740)

Abstract:

Trend following; Momentum investing;tail; risk; European equity sectors, Financial Crisis.

European Equity Investing Through the Financial Crisis: Can Risk Parity, Momentum or Trend Following Help to Reduce Tail Risk?

CAMA Working Paper No. 8/2014
Number of pages: 32 Posted: 23 Jan 2014 Last Revised: 24 Jan 2014
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 105 (218,364)

Abstract:

Trend following, Momentum investing, Tail risk, European equity sectors, Financial crisis

9.

An Evaluation of Alternative Equity Indices - Part 2: Fundamental Weighting Schemes

Number of pages: 27 Posted: 01 Apr 2013 Last Revised: 02 Apr 2013
Steve Thomas, Andrew Clare and Nick Motson
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 545 (30,111)

Abstract:

Fundamentally-weighted equity indices, risk-adjusted performance, Monte Carlo simulation

10.

Carry and Trend Following Returns in the Foreign Exchange Market

Number of pages: 32 Posted: 22 Jul 2015
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 501 (22,447)

Abstract:

Forward exchange rate returns, trend following, carry trade, market liquidity and exchange risk.

11.

Heads We Win, Tails You Lose. Why Don't More Fund Managers Offer Symmetric Performance Fees?

Number of pages: 55 Posted: 17 Nov 2014
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 418 (29,456)

Abstract:

12.

Multi-Asset Class Mutual Funds: Can They Time the Market? Evidence from the US, UK and Canada

Clare, Andrew D., O'Sullivan, Niall , Sherman , Meadhbh and Thomas, Steve H., Multi-Asset Class Mutual Funds: Can They Time the Market? Evidence from the US, UK and Canada, Research in International Business and Finance, (2015 Forthcoming).
Number of pages: 25 Posted: 04 Apr 2015
City University London - Sir John Cass Business School, University College Cork, University College Cork and City University London - Sir John Cass Business School
Downloads 379 (45,666)

Abstract:

Market timing, asset class timing, asset allocation

13.

Securitization and Bank Performance: Some Empirical Evidence on US Commercial Banks

Bancaria Special Issue No.03-2010
Number of pages: 7 Posted: 12 May 2010
University of Essex - Essex Business School, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 332 (66,917)

Abstract:

Securitization, Bank performance

14.

Trading Probability and Turnover as Measures of Liquidity Risk: Evidence from the U.K. Stock Market

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 7 Posted: 17 Nov 2008 Last Revised: 07 Jan 2009
Ian D. McManus, Peter N. Smith and Steve Thomas
University of Southampton - School of Management, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 274 (72,229)

Abstract:

Liquidity, Trading Probability, Turnover

15.

Trend Following and Momentum Strategies for Global REITs

Number of pages: 19 Posted: 08 Jun 2015
Alex Moss, Andrew Clare, Steve Thomas and James Seaton
University of Reading - Henley Business School, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 188 (45,666)

Abstract:

16.

On Luck versus Skill When Performance Benchmarks are Style-Consistent

Journal of Banking and Finance, Forthcoming
Number of pages: 53 Posted: 01 Jun 2015
University of Surrey - Surrey Business School, Cranfield University - School of Management, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 149 (113,685)

Abstract:

Mutual fund performance, style benchmarks, skill versus luck

17.

Size Matters: Tail Risk, Momentum and Trend Following in International Equity Portfolios

Number of pages: 17 Posted: 07 Nov 2014
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 118 (126,249)

Abstract:

Size portfolios; trend following; international; developing

18.

Returns Based Style Groups and Benchmarking

Posted: 17 Dec 2010
Andrew Mason, Steve Thomas and Frank McGroarty
University of Surrey - Surrey Business School, City University London - Sir John Cass Business School and Centre for Digital Finance, University of Southampton
Downloads 81 (237,433)

Abstract:

Mutual funds, Style analysis, Benchmarking, Portfolio Management, Management Style, Returns Based Style, Factor Analysis, Cluster Analysis, Style investing, Comovement, Value, Growth, Investment, Asset management

19.

Combining Returns Based and Characteristics Based Style Analysis for US Diversified Equity Funds

Number of pages: 21 Posted: 12 Sep 2010 Last Revised: 04 Aug 2011
Andrew Mason, Steve Thomas and Frank McGroarty
University of Surrey - Surrey Business School, City University London - Sir John Cass Business School and Centre for Digital Finance, University of Southampton
Downloads 78 (247,932)

Abstract:

Portfolio Management, Management Style, Style Analysis, Mutual Funds, Portfolio Characteristics, Characteristics Based Style, Returns Based Style, Factor Analysis, Style investing, Comovement, Value, Growth, Investment, Asset management

20.

Style Analysis for Diversified U.S. Equity Funds

Journal of Asset Management 13, 170-185 (June 2012) DOI:10.1057/jam.2012.6
Number of pages: 31 Posted: 25 May 2012
Andrew Mason, Frank McGroarty and Steve Thomas
University of Surrey - Surrey Business School, Centre for Digital Finance, University of Southampton and City University London - Sir John Cass Business School
Downloads 68 (246,090)

Abstract:

Style, Investment, Benchmark, Portfolio, Value, Factors

21.

Complementary or Contradictory? Combining Returns Based & Characteristics Based Investment Style Analysis

Number of pages: 43 Posted: 21 Jun 2011 Last Revised: 04 Aug 2011
Andrew Mason, Steve Thomas and Frank McGroarty
University of Surrey - Surrey Business School, City University London - Sir John Cass Business School and Centre for Digital Finance, University of Southampton
Downloads 68 (261,243)

Abstract:

Investment Style, Mutual Funds, Portfolio, Style Analysis

22.

Time Varying Prospective Utility and Optimal Asset Allocation for Stocks and Bonds: The Case of Australia and Japan, 1926-1995

Number of pages: 38 Posted: 13 Aug 2012
Ian D. McManus, Owain Ap Gwilym and Steve Thomas
University of Southampton - School of Management, Bangor Business School and City University London - Sir John Cass Business School
Downloads 55 (316,771)

Abstract:

prospective utility, loss aversion, myopia, demographics, equity risk premium

23.

Investment Style in a Turbulent Decade

Number of pages: 32 Posted: 25 May 2012
University of Surrey - Surrey Business School, Cranfield University - School of Management, City University London - Sir John Cass Business School and Centre for Digital Finance, University of Southampton
Downloads 32 (369,752)

Abstract:

Style Analysis, Financial Crisis, Mutual Funds, Portfolio, Benchmarking

24.

The Blended Approach to Real Estate Allocations: Performance Implications of Combining an Exposure to German Spezialfonds with Global Listed Real Estate Securities

Number of pages: 15 Posted: 25 Sep 2015
Alex Moss, Andrew Clare, Steve Thomas and James Seaton
University of Reading - Henley Business School, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 2 (340,154)

Abstract:

REITs, Investment Management, Portfolio Management, Real Estate, Momentum, Trend Following

25.

Can Sustainable Withdrawal Rates Be Enhanced by Trend Following?

Number of pages: 34 Posted: 17 Aug 2017
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 0 (143,345)

Abstract:

Sequence Risk, Perfect Withdrawal Rate, Decumulation, Trend Following

26.

Was 2016 the Year of the Monkey?

Number of pages: 18 Posted: 22 Feb 2017
Andrew Clare, Nick Motson and Steve Thomas
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 0 (54,937)

Abstract:

Market capitalisation-weighted indices, Alternative equity indices, Smart Beta

27.

Optimal Decumulation Strategies During Retirement with Deferred Annuities

Number of pages: 32 Posted: 06 Feb 2017
Anran Chen, Steven Haberman and Steve Thomas
City University London - Sir John Cass Business School, City University London - Faculty of Actuarial Science and City University London - Sir John Cass Business School
Downloads 0 (384,560)

Abstract:

Deferred annuity; Decumulation strategy; Defined Contribution; Retirement

28.

Cumulative Prospect Theory, Deferred Annuities and the Annuity Puzzle

Number of pages: 20 Posted: 02 Nov 2016
Anran Chen, Steven Haberman and Steve Thomas
City University London - Sir John Cass Business School, City University London - Faculty of Actuarial Science and City University London - Sir John Cass Business School
Downloads 0 (218,609)

Abstract:

CPT, Deferred annuities, Annuity puzzle, Reservation price

29.

Why the Deferred Annuity Makes Sense

Number of pages: 31 Posted: 23 Jun 2016
Anran Chen, Steven Haberman and Steve Thomas
City University London - Sir John Cass Business School, City University London - Faculty of Actuarial Science and City University London - Sir John Cass Business School
Downloads 0 (239,153)

Abstract:

retirement planning, pensions, deferred annuity, behavioral finance

30.

Reducing Sequence Risk Using Trend Following and the CAPE Ratio

Financial Analysts Journal, Forthcoming
Number of pages: 34 Posted: 16 Apr 2016 Last Revised: 10 May 2017
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 0 (57,746)

Abstract:

Sequence Risk, Perfect Withdrawal Rate, Decumulation, Trend Following, CAPE

31.

Does Securitization Reduce Credit Risk Taking? Empirical Evidence from US Bank Holding Companies

Posted: 06 Feb 2010
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of Essex - Essex Business School and City University London - Sir John Cass Business School

Abstract:

bank, securitization, risk taking