Steve Thomas

City University London - Sir John Cass Business School

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

SCHOLARLY PAPERS

39

DOWNLOADS
Rank 991

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Top 991

in Total Papers Downloads

36,479

SSRN CITATIONS
Rank 12,187

SSRN RANKINGS

Top 12,187

in Total Papers Citations

58

CROSSREF CITATIONS

40

Scholarly Papers (39)

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 12,570 (467)

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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 635 (57,907)
Citation 4

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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
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 343 (121,498)
Citation 11

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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
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 3,667 (4,087)
Citation 17

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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
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 2,202 (9,459)
Citation 1

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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
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 1,887 (12,230)
Citation 9

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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 1,635 (15,351)
Citation 5

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

6.

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 1,408 (19,221)
Citation 7

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

7.

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
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 1,173 (25,215)

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

8.

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 1,055 (29,397)

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

9.

Can Sustainable Withdrawal Rates Be Enhanced by Trend Following?

Number of pages: 34 Posted: 17 Aug 2017 Last Revised: 26 Mar 2018
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 1,016 (31,037)
Citation 3

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Sequence Risk, Perfect Withdrawal Rate, Decumulation, Trend Following

10.

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 979 (32,699)
Citation 2

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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 897 (36,962)

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

12.

Securitization and Bank Performance

Number of pages: 29 Posted: 20 Oct 2009 Last Revised: 11 Mar 2020
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 892 (37,288)
Citation 11

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Securitization, Bank Performance, Propensity Score Matching

13.

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 750 (47,213)
Citation 3

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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 501 (78,196)

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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
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 148 (270,815)

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

15.

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 626 (59,744)
Citation 1

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Market timing, asset class timing, asset allocation

16.
Downloads 609 ( 61,887)
Citation 1

The Rehabilitation of Glidepath Investing

Number of pages: 36 Posted: 29 Mar 2019 Last Revised: 27 Oct 2019
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 347 (119,940)

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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

CAMA Working Paper No. 31/2019
Number of pages: 36 Posted: 04 Apr 2019
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 262 (161,186)
Citation 1

Abstract:

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

17.

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 537 (72,535)

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

18.

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 426 (95,670)

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Securitization, Bank performance

19.

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 363 (114,843)

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Liquidity, Trading Probability, Turnover

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
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 323 (130,422)

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Mutual fund performance, style benchmarks, skill versus luck

21.

Developing a Measure of Sequence Risk

Number of pages: 27 Posted: 27 Jan 2020
City University London - Sir John Cass Business School, affiliation not provided to SSRN, 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 268 (158,148)

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Glidepath Investing, Sequence Risk, Perfect Withdrawal Rates, Trend Following

22.

Cumulative Prospect Theory, Deferred Annuities and the Annuity Puzzle

Number of pages: 20 Posted: 02 Nov 2016
Anran Chen, Steven Haberman and Steve Thomas
Redington, City University London - Faculty of Actuarial Science and City University London - Sir John Cass Business School
Downloads 243 (174,124)
Citation 3

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CPT, Deferred annuities, Annuity puzzle, Reservation price

23.

Why the Deferred Annuity Makes Sense

Number of pages: 31 Posted: 23 Jun 2016
Anran Chen, Steven Haberman and Steve Thomas
Redington, City University London - Faculty of Actuarial Science and City University London - Sir John Cass Business School
Downloads 165 (246,887)
Citation 2

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retirement planning, pensions, deferred annuity, behavioral finance

24.

An Overview of International Deferred Annuity Markets

Number of pages: 14 Posted: 24 Aug 2019
Anran Chen, Steven Haberman and Steve Thomas
Redington, City University London - Faculty of Actuarial Science and City University London - Sir John Cass Business School
Downloads 156 (258,794)

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Deferred Annuity; Retirement Solution; Pension

25.

Optimal Decumulation Strategies During Retirement with Deferred Annuities

Number of pages: 32 Posted: 06 Feb 2017
Anran Chen, Steven Haberman and Steve Thomas
Redington, City University London - Faculty of Actuarial Science and City University London - Sir John Cass Business School
Downloads 131 (296,705)
Citation 1

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Deferred annuity; Decumulation strategy; Defined Contribution; Retirement

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 107 (342,765)
Citation 1

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Style, Investment, Benchmark, Portfolio, Value, Factors

27.

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 107 (342,765)

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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

28.

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 102 (353,927)

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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

29.

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 101 (356,218)

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Investment Style, Mutual Funds, Portfolio, Style Analysis

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 82 (405,044)

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

31.

Perfect Withdrawal in a Noisy World: Investing Lessons With and Without Annuities While in Drawdown Between 2000 and 2019

Number of pages: 31 Posted: 08 Feb 2021
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 79 (413,829)

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Sequence Risk, Longevity Risk, Withdrawal Risk, Delayed Annuities, Adaptive Withdrawals

32.

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 73 (432,494)

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

33.

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 65 (459,556)

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

34.

Combining Flexible Asset Allocation, Sustainable Withdrawals, and Deferred Annuities to provide an Adaptive Lifelong Investing Solution

Number of pages: 44 Posted: 22 Apr 2021
Anran Chen, Steven Haberman and Steve Thomas
Redington, City University London - Faculty of Actuarial Science and City University London - Sir John Cass Business School
Downloads 57 (489,789)

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Deferred Annuities, Post-retirement Decumulation, Perfect Withdrawal Rates, Adaptive Investment solution, Glidepath

35.

Measuring Success in Decumulation: The Minimum Acceptable Annual Withdrawal Rate (MAAW)

Number of pages: 43 Posted: 06 May 2022
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 47 (532,240)

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Sequence Risk; Longevity Risk, Withdrawal Risk, Delayed Annuities, Adaptive Withdrawals

36.

Temporal Reframing Elicitations Can Improve the Emergency Savings Intentions of Gig Workers

Number of pages: 46 Posted: 20 Sep 2021
Stephen Shu, Steve Thomas and David A. Smith
Cornell University, City University London - Sir John Cass Business School and City, University of London - Bayes Business School
Downloads 30 (622,607)

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choice architecture, behavioral economics, saving, emergency savings, financial decisions

37.

Temporal Reframing of Recurring Savings Reduces Perceived Pain and Helps Those with Lower Financial Literacy to Save

Number of pages: 43 Posted: 28 Sep 2021
Stephen Shu, Steve Thomas and David A. Smith
Cornell University, City University London - Sir John Cass Business School and City, University of London - Bayes Business School
Downloads 24 (663,051)

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choice architecture, behavioral economics, saving, financial decisions

38.

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

Posted: 21 May 2019
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

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Size portfolios; trend following; international; developing

39.

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

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bank, securitization, risk taking