Steve Thomas

City University London - Sir John Cass Business School

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

  • City University London - Sir John Cass Business School

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SCHOLARLY PAPERS

32

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CITATIONS
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8

Scholarly Papers (32)

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1.

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

Downloads 11,875 ( 294)

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
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
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 11,001 (337)

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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 580 (44,219)

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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
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
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 294 (100,257)

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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
William A. Allen, Ka Kei Chan, Alistair Milne and Steve Thomas
National Institute of Economic and Social Research, Brunel University London, Loughborough University - School of Business and Economics and City University London - Sir John Cass Business School
Downloads 3,384 (2,861)
Citation 3

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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
Steve Thomas, Andrew Clare, James Seaton and Peter N. Smith
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 1,971 (7,196)

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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
Steve Thomas, James Seaton, Andrew Clare and Peter N. Smith
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 1,487 (11,455)

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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 1,335 (13,609)

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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: 30 Posted: 15 May 2014 Last Revised: 28 Feb 2018
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
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 1,059 (19,352)

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

7.

Carry and Trend Following Returns in the Foreign Exchange Market

Number of pages: 32 Posted: 22 Jul 2015
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
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 965 (22,231)

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

8.

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

Number of pages: 55 Posted: 17 Nov 2014
Andrew Clare, Nick Motson, Richard Payne and Steve Thomas
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 881 (25,408)

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9.

Securitization and Bank Performance

Number of pages: 29 Posted: 20 Oct 2009 Last Revised: 28 Oct 2009
Anna Sarkisyan, Barbara Casu, Andrew Clare and Steve Thomas
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 812 (28,500)
Citation 5

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Securitization, Bank Performance, Propensity Score Matching

10.

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
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
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 789 (29,641)

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

11.

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 777 (30,265)

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

12.

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 610 (41,878)

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13.

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

Downloads 597 ( 43,123)

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
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
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 476 (56,970)

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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
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
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 121 (227,543)

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

14.

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
Andrew Clare, Niall O'Sullivan, Meadhbh Sherman and Steve Thomas
City University London - Sir John Cass Business School, University College Cork, University College Cork and City University London - Sir John Cass Business School
Downloads 542 (48,805)

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Market timing, asset class timing, asset allocation

15.

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 482 (56,663)

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

16.

Can Sustainable Withdrawal Rates Be Enhanced by Trend Following?

Number of pages: 34 Posted: 17 Aug 2017 Last Revised: 26 Mar 2018
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
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 422 (66,670)

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Sequence Risk, Perfect Withdrawal Rate, Decumulation, Trend Following

17.

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
Anna Sarkisyan, Barbara Casu, Andrew Clare and Steve Thomas
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 387 (73,923)

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Securitization, Bank performance

18.

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 354 (81,998)

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Liquidity, Trading Probability, Turnover

19.

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

Number of pages: 17 Posted: 07 Nov 2014
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
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 296 (99,977)

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Size portfolios; trend following; international; developing

20.

On Luck versus Skill When Performance Benchmarks are Style-Consistent

Journal of Banking and Finance, Forthcoming
Number of pages: 53 Posted: 01 Jun 2015
Andrew Mason, Sam Agyei-Ampomah, Andrew Clare and Steve Thomas
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 294 (100,758)

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Mutual fund performance, style benchmarks, skill versus luck

21.

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 178 (165,106)

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CPT, Deferred annuities, Annuity puzzle, Reservation price

22.

Absolute Momentum, Sustainable Withdrawal Rates and Glidepath Investing in US Retirement Portfolios From 1925

Downloads 139 (203,404)

Absolute Momentum, Sustainable Withdrawal Rates and Glidepath Investing in US Retirement Portfolios From 1925

CAMA Working Paper No. 31/2019
Number of pages: 36 Posted: 04 Apr 2019
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
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 94 (272,165)

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Sequence Risk, Perfect Withdrawal Rate, Decumulation, Absolute Momentum, Trend Following

Absolute Momentum, Sustainable Withdrawal Rates and Glidepath Investing in US Retirement Portfolios from 1925

Number of pages: 34 Posted: 29 Mar 2019
Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas
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 45 (404,035)

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Sequence Risk, Perfect Withdrawal Rate, Decumulation, Absolute Momentum,Trend Following

23.

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 133 (210,710)

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retirement planning, pensions, deferred annuity, behavioral finance

24.

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 University of Southampton - Southampton Business School
Downloads 98 (262,953)

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

25.

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 University of Southampton - Southampton Business School
Downloads 94 (270,145)

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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

26.

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, University of Southampton - Southampton Business School and City University London - Sir John Cass Business School
Downloads 93 (272,007)

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Style, Investment, Benchmark, Portfolio, Value, Factors

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 91 (275,783)

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Deferred annuity; Decumulation strategy; Defined Contribution; Retirement

28.

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 University of Southampton - Southampton Business School
Downloads 83 (292,015)

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Investment Style, Mutual Funds, Portfolio, Style Analysis

29.

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 60 (348,829)

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

30.

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 59 (351,681)

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

31.

The Impact of Macroeconomic Factors on the Yield Curve in Emerging Markets: The Case of Sub-Saharan Africa

Number of pages: 55 Posted: 12 Dec 2018
Joe Delvaux, Kate Phylaktis 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 25 (481,925)

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yield curve, bond markets, emerging market economies, Sub-Saharan Africa

32.

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

Posted: 06 Feb 2010
Barbara Casu, Andrew Clare, Anna Sarkisyan and Steve Thomas
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

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bank, securitization, risk taking