Steve Thomas

City University London - Sir John Cass Business School

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

SCHOLARLY PAPERS

34

DOWNLOADS
Rank 752

SSRN RANKINGS

Top 752

in Total Papers Downloads

32,366

SSRN CITATIONS
Rank 12,977

SSRN RANKINGS

Top 12,977

in Total Papers Citations

41

CROSSREF CITATIONS

37

Scholarly Papers (34)

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 11,549 (366)

Abstract:

Loading...

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 598 (47,202)
Citation 3

Abstract:

Loading...

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 307 (105,525)
Citation 9

Abstract:

Loading...

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 3,482 (3,116)
Citation 14

Abstract:

Loading...

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 2,050 (7,633)
Citation 1

Abstract:

Loading...

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 1,655 (10,926)
Citation 9

Abstract:

Loading...

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 1,436 (13,644)
Citation 4

Abstract:

Loading...

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
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 1,110 (20,142)

Abstract:

Loading...

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
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 992 (23,818)

Abstract:

Loading...

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
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 927 (26,243)
Citation 1

Abstract:

Loading...

9.

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 856 (29,419)
Citation 4

Abstract:

Loading...

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

10.

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 844 (30,023)
Citation 7

Abstract:

Loading...

Securitization, Bank Performance, Propensity Score Matching

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 817 (31,419)

Abstract:

Loading...

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

12.

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 737 (36,170)
Citation 2

Abstract:

Loading...

Sequence Risk, Perfect Withdrawal Rate, Decumulation, Trend Following

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 662 (41,782)
Citation 3

Abstract:

Loading...

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 486 (61,495)

Abstract:

Loading...

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 128 (238,989)

Abstract:

Loading...

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 565 (51,398)
Citation 1

Abstract:

Loading...

Market timing, asset class timing, asset allocation

16.

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 498 (60,273)

Abstract:

Loading...

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

17.
Downloads 405 ( 77,503)
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 234 (140,127)

Abstract:

Loading...

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 171 (187,871)
Citation 1

Abstract:

Loading...

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

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 398 (79,066)

Abstract:

Loading...

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 358 (89,385)

Abstract:

Loading...

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 305 (106,869)

Abstract:

Loading...

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 - Faculty of Actuarial Science, City University London - Faculty of Actuarial Science and City University London - Sir John Cass Business School
Downloads 202 (161,756)
Citation 3

Abstract:

Loading...

CPT, Deferred annuities, Annuity puzzle, Reservation price

22.

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 156 (204,246)

Abstract:

Loading...

Glidepath Investing, Sequence Risk, Perfect Withdrawal Rates, 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 - Faculty of Actuarial Science, City University London - Faculty of Actuarial Science and City University London - Sir John Cass Business School
Downloads 147 (213,449)
Citation 2

Abstract:

Loading...

retirement planning, pensions, deferred annuity, behavioral finance

24.

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 - Faculty of Actuarial Science, City University London - Faculty of Actuarial Science and City University London - Sir John Cass Business School
Downloads 107 (271,323)
Citation 1

Abstract:

Loading...

Deferred annuity; Decumulation strategy; Defined Contribution; Retirement

25.

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 99 (286,054)

Abstract:

Loading...

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

26.

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 97 (289,894)

Abstract:

Loading...

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

27.

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 94 (295,766)

Abstract:

Loading...

Style, Investment, Benchmark, Portfolio, Value, Factors

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 88 (308,290)

Abstract:

Loading...

Investment Style, Mutual Funds, Portfolio, Style Analysis

29.

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 68 (358,064)

Abstract:

Loading...

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

30.

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 (381,679)

Abstract:

Loading...

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

31.

An Overview of International Deferred Annuity Markets

Number of pages: 14 Posted: 24 Aug 2019
Anran Chen, Steven Haberman and Steve Thomas
City University London - Faculty of Actuarial Science, City University London - Faculty of Actuarial Science and City University London - Sir John Cass Business School
Downloads 43 (441,702)

Abstract:

Loading...

Deferred Annuity; Retirement Solution; Pension

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 40 (454,002)

Abstract:

Loading...

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

33.

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

Abstract:

Loading...

Size portfolios; trend following; international; developing

34.

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:

Loading...

bank, securitization, risk taking