Author Page for Andrew Clare

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

Downloads 14,430 ( 547)

Citation 12

3

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 of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School

Downloads 13,343 (614)

Abstract:

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 of London - Bayes Business School, University of York - Department of Economics and Related Studies and City University London - The Business School

Downloads 694 (68,481)

Citation 4

Abstract:

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 of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School

Downloads 393 (137,872)

Citation 11

Abstract:

2.

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 - The Business School, City, University of London - Bayes Business School, City University London - The Business School and University of York - Department of Economics and Related Studies

Downloads 2,440 (10,945)

Citation 2

Abstract:

3.

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 - The Business School, City University London - The Business School, City, University of London - Bayes Business School and University of York - Department of Economics and Related Studies

Downloads 2,130 (13,686)

Citation 9

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4.

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 of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School

Downloads 1,879 (16,615)

Citation 9

Abstract:

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 of London - Bayes Business School, City University London - Bayes Business School and City University London - The Business School

Downloads 1,865 (16,816)

Citation 5

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6.

The Gross Truth About Hedge Fund Performance and Risk: The Impact of Incentive Fees

Number of pages: 20 Posted: 19 Nov 2007

Chris Brooks, Andrew Clare and Nick Motson

University of Bristol - School of Economics, Finance and Management, City, University of London - Bayes Business School and City University London - Bayes Business School

Downloads 1,748 (18,590)

Citation 3

Abstract:

7.

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 of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School

Downloads 1,341 (27,812)

Citation 3

Abstract:

8.

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 of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School

Downloads 1,242 (31,076)

Abstract:

9.

A Comparison of Extreme Value Theory Approaches for Determining Value at Risk

Journal of Empirical Finance, Forthcoming, Cass Business School Research Paper

Number of pages: 20 Posted: 05 Dec 2004

Chris Brooks, Andrew Clare, John W. Dalle Molle and Gita Persand

University of Bristol - School of Economics, Finance and Management, City, University of London - Bayes Business School, Independent and University of Bristol - Department of Economics

Downloads 1,208 (32,381)

Abstract:

10.

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 of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School

Downloads 1,169 (33,942)

Abstract:

11.

Are Investors Better Off with Small Hedge Funds in Times of Crisis?

Number of pages: 27 Posted: 14 Jul 2015

Andrew Clare, Dirk Nitzsche and Nick Motson

City, University of London - Bayes Business School, City University London - The Business School and City University London - Bayes Business School

Downloads 1,079 (38,072)

Citation 1

Abstract:

12.

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 of London - Bayes Business School, City University London - Bayes Business School, City University London - The Business School and City University London - The Business School

Downloads 1,035 (40,350)

Citation 2

Abstract:

13.

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 - The Business School, City, University of London - Bayes Business School and City University London - Bayes Business School

Downloads 1,030 (40,702)

Citation 1

Abstract:

14.

Securitization and Bank Performance

Number of pages: 29 Posted: 20 Oct 2009 Last Revised: 11 Mar 2020

Anna Sarkisyan, Barbara Casu, Andrew Clare and Steve Thomas

University of Essex - Essex Business School, City University London - The Business School, City, University of London - Bayes Business School and City University London - The Business School

Downloads 938 (46,364)

Citation 11

Abstract:

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 of London - Bayes Business School, City University London - The Business School and City University London - The Business School

Downloads 859 (52,403)

Citation 3

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16.

The Rehabilitation of Glidepath Investing

Downloads 803 (57,334)

Citation 1

2

The Rehabilitation of Glidepath Investing

Number of pages: 36 Posted: 29 Mar 2019 Last Revised: 27 Oct 2019

Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas

City, University of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School

Downloads 450 (117,646)

Abstract:

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 of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School

Downloads 353 (155,570)

Citation 1

Abstract:

17.

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

Downloads 718 (66,595)

2

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 of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School

Downloads 531 (96,354)

Abstract:

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 of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School

Downloads 187 (293,878)

Abstract:

18.

An Analysis of the Relationship between International Bond Markets

Bank of England Working Paper No. 123, Cass Business School Research Paper

Number of pages: 36 Posted: 27 Jan 2001

Andrew Clare and Ilias Lekkos

City, University of London - Bayes Business School and Bank of England

Downloads 709 (67,615)

Citation 12

Abstract:

19.

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 of London - Bayes Business School, University College Cork, University College Cork and City University London - The Business School

Downloads 659 (74,259)

Citation 3

Abstract:

20.

Is there a Boutique Asset Management Premium?

Number of pages: 36 Posted: 20 Mar 2020

Andrew Clare

City, University of London - Bayes Business School

Downloads 634 (77,978)

Abstract:

21.

The Performance of Long-Serving Fund Managers

Number of pages: 27 Posted: 10 Sep 2016

Andrew Clare

City, University of London - Bayes Business School

Downloads 616 (80,832)

Citation 1

Abstract:

22.

Was 2016 the Year of the Monkey?

Number of pages: 18 Posted: 22 Feb 2017

Andrew Clare, Nick Motson and Steve Thomas

City, University of London - Bayes Business School, City University London - Bayes Business School and City University London - The Business School

Downloads 576 (87,994)

Abstract:

23.

The Impact of Foreign Governing Law on European Government Bond Yields

Number of pages: 54 Posted: 10 Mar 2014

Andrew Clare and Nicolas Schmidlin

City, University of London - Bayes Business School and Sir John Cass Business School

Downloads 564 (90,353)

Citation 9

Abstract:

24.

How Many Alternative Eggs Should You Put in Your Investment Basket?

Number of pages: 19 Posted: 15 Jul 2008 Last Revised: 27 Aug 2008

Andrew Clare and Nick Motson

City, University of London - Bayes Business School and City University London - Bayes Business School

Downloads 526 (98,552)

Citation 2

Abstract:

25.

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 - The Business School, City, University of London - Bayes Business School and City University London - The Business School

Downloads 478 (110,764)

Abstract:

26.

An Empirical Investigation into the Performance of UK Pension Fund Managers

Number of pages: 21 Posted: 12 Jan 2009

Andrew Clare, Keith Cuthbertson and Dirk Nitzsche

City, University of London - Bayes Business School, affiliation not provided to SSRN and City University London - The Business School

Downloads 454 (117,707)

Citation 1

Abstract:

27.

The Information in UK Company Profit Warnings

Bank of England Quarterly Bulletin, Spring 2001, Cass Business School Research Paper

Number of pages: 6 Posted: 26 Jul 2005

Andrew Clare

City, University of London - Bayes Business School

Downloads 435 (123,800)

Abstract:

28.

Liability-Driven Investment for Pension Funds: Stochastic Optimization with Real Assets

Number of pages: 29 Posted: 23 Apr 2021 Last Revised: 09 Aug 2021

Chul Jang, Andrew Clare and Iqbal Owadally

Nottingham University Business School, City, University of London - Bayes Business School and Cass Business School, City, University of London

Downloads 434 (124,130)

Abstract:

29.

An Examination of Ex Ante Fund Performance: Identifying Indicators of Future Performance

Number of pages: 52 Posted: 17 Oct 2018

Andrew Clare and Mariana Clare

City, University of London - Bayes Business School and Imperial College London

Downloads 408 (133,354)

Abstract:

30.

Manager characteristics: Predicting fund performance

International Review of Financial Analysis, Vol. 80, 2022

Number of pages: 11 Posted: 06 Apr 2022

Meadhbh Sherman, Andrew Clare, Niall O'Sullivan, Jun Gao and Sheng Zhu

University College Cork, City, University of London - Bayes Business School, University College Cork, University College Cork and Principal Asset Management

Downloads 387 (141,481)

Citation 2

Abstract:

31.

Developing a Measure of Sequence Risk

Number of pages: 27 Posted: 27 Jan 2020

Andrew Clare, Simon Glover, James Seaton, Peter N. Smith and Steve Thomas

City, University of London - Bayes Business School, affiliation not provided to SSRN, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School

Downloads 365 (151,146)

Abstract:

32.

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 of London - Bayes Business School and City University London - The Business School

Downloads 357 (154,859)

Abstract:

33.

The Case for Integrating ESG into Fixed Income Portfolios

Number of pages: 35 Posted: 18 Jul 2022

Andrew Clare, Aneel Keswani and Nick Motson

City, University of London - Bayes Business School, Faculty of Finance, Cass Business School, City University, London and City University London - Bayes Business School

Downloads 332 (167,518)

Abstract:

34.

A Comparison of Long Bond Yields in the United Kingdom, the United States, and Germany

Bank of England Quarterly Bulletin, February 2000, Cass Business School Research Paper

Number of pages: 9 Posted: 02 Aug 2005

Martin Brooke, Andrew Clare and Ilias Lekkos

Bank of England - International Economic Analysis Division, City, University of London - Bayes Business School and Bank of England

Downloads 280 (200,297)

Citation 2

Abstract:

35.

Financial Market Reactions to Interest Rate Announcements and Macroeconomic Data Releases

Bank of England Quarterly Bulletin, August 2000, Cass Business School Research Paper

Number of pages: 8 Posted: 03 Aug 2005

Andrew Clare and Roger Courtenay

City, University of London - Bayes Business School and Vizor Investment Management, London

Downloads 234 (241,266)

Abstract:

36.

Towards a New Model for Early Warning Signals for Systemic Financial Fragility and Near Crises: An Application to OECD Countries

Number of pages: 38 Posted: 06 Feb 2012 Last Revised: 30 Jan 2013

Nashwa Saleh, Barbara Casu and Andrew Clare

City University London - The Business School, City University London - The Business School and City, University of London - Bayes Business School

Downloads 228 (245,297)

Citation 1

Abstract:

37.

Constructing an Index of Persian Rug Prices

Number of pages: 25 Posted: 26 Apr 2017

Andrew Clare

City, University of London - Bayes Business School

Downloads 221 (252,687)

Abstract:

38.

Benchmarking UK Mutual Fund Performance: The Random Portfolio Experiment

Number of pages: 21 Posted: 21 Apr 2015

Andrew Clare, Niall O'Sullivan and Meadhbh Sherman

City, University of London - Bayes Business School, University College Cork and University College Cork

Downloads 209 (266,172)

Abstract:

39.

The Performance of US Bond Mutual Funds

International Review of Financial Analysis, Forthcoming

Number of pages: 28 Posted: 08 Apr 2019

Andrew Clare, Niall O'Sullivan, Meadhbh Sherman and Sheng Zhu

City, University of London - Bayes Business School, University College Cork, University College Cork and Principal Asset Management

Downloads 204 (272,140)

Citation 6

Abstract:

40.

Family Status and Mutual Fund Performance

Number of pages: 22 Posted: 24 May 2013 Last Revised: 02 May 2014

Andrew Clare, Niall O'Sullivan and Meadhbh Sherman

City, University of London - Bayes Business School, University College Cork and University College Cork

Downloads 182 (301,572)

Abstract:

41.

Optimal Investment for a Retirement Plan with Deferred Annuities

Number of pages: 30 Posted: 06 Nov 2019

Iqbal Owadally, Chul Jang and Andrew Clare

Cass Business School, City, University of London, Nottingham University Business School and City, University of London - Bayes Business School

Downloads 155 (346,300)

Citation 3

Abstract:

42.

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

Number of pages: 43 Posted: 06 May 2022

Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas

City, University of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School

Downloads 152 (352,109)

Abstract:

43.

By How Much Can a Diversified Approach to Investing Improve the Prospects of Reducing a DB Pension Deficit?

Number of pages: 24 Posted: 06 Mar 2008

Andrew Brigden, Shamik Dhar and Andrew Clare

City University London - The Business School, City University London - The Business School and City, University of London - Bayes Business School

Downloads 148 (359,686)

Abstract:

44.

Do UK Retail Investors Buy at the Top and Sell at the Bottom?

Number of pages: 22 Posted: 05 Feb 2016

Andrew Clare and Nick Motson

City, University of London - Bayes Business School and City University London - Bayes Business School

Downloads 147 (361,699)

Citation 2

Abstract:

45.

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

Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas

City, University of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School

Downloads 140 (375,952)

Citation 1

Abstract:

46.

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 of London - Bayes Business School, City University London - The Business School and City University London - The Business School

Downloads 118 (428,527)

Abstract:

47.

The Science of Flexible Retirement Choices: Switching Retirement Savings into an Annuity

Number of pages: 27 Posted: 25 Apr 2023

Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas

City, University of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School

Downloads 107 (463,779)

Abstract:

48.

What Do Foreigners Want? Evidence from Targets in Bank Cross-Border M&As

Number of pages: 31 Posted: 06 Nov 2010

Stefano Caiazza, Andrew Clare and Alberto F. Pozzolo

Università degli Studi di Roma Tor Vergata - Dipartimento di Economia e Finanza, City, University of London - Bayes Business School and Roma Tre University

Downloads 82 (547,488)

Citation 1

Abstract:

49.

Locking in the Profits or Putting It All on Black? An Empirical Investigation into the Risk-Taking Behaviour of Hedge Fund Managers

Number of pages: 41 Posted: 18 Feb 2009

Andrew Clare and Nick Motson

City, University of London - Bayes Business School and City University London - Bayes Business School

Downloads 60 (648,299)

Citation 4

Abstract:

50.

What Can We Learn About Monetary Policy Transparency from Financial Market Data?

Bundesbank Series 1 Discussion Paper No. 2001,06

Number of pages: 32 Posted: 08 Jun 2016

Andrew Clare and Roger Courtenay

City, University of London - Bayes Business School and Vizor Investment Management, London

Downloads 37 (793,892)

Citation 2

Abstract:

51.

How Skilful are US Fixed-Income Fund Managers?

International Review of Financial Analysis, Vol. 74, No. 101673, 2021

Posted: 18 Nov 2021

Andrew Clare, Keith Cuthbertson, Dirk Nitzsche and Niall O'Sullivan

City, University of London - Bayes Business School, affiliation not provided to SSRN, City University London - The Business School and University College Cork

Abstract:

52.

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

https://doi.org/10.3905/joi.2017.26.3.053

Posted: 21 May 2019

Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas

City, University of London - Bayes Business School, City University London - The Business School, University of York - Department of Economics and Related Studies and City University London - The Business School

Abstract:

53.

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 - The Business School, City, University of London - Bayes Business School, University of Essex - Essex Business School and City University London - The Business School

Abstract:

54.

Locking in the Profits or Putting it All on Black? An Investigation into the Risk-Taking Behaviour of Hedge Fund Managers

Journal of Alternative Investments, Vol. 12, No. 2, 2009

Posted: 27 Nov 2008 Last Revised: 08 Oct 2009

Andrew Clare and Nick Motson

City, University of London - Bayes Business School and City University London - Bayes Business School

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55.

An Extreme Value Theory Approach to Calculating Minimum Capital Risk Requirements

Journal of Risk Finance, Vol. 3, No. 2, pp. 22-33, 2002, Cass Business School Research Paper

Posted: 04 Dec 2004

Chris Brooks, Andrew Clare and Gita Persand

University of Bristol - School of Economics, Finance and Management, City, University of London - Bayes Business School and University of Bristol - Department of Economics

Abstract:

56.

A Word of Caution on Calculating Market-Based Minimum Capital Risk Requirements

Journal of Banking and Finance, Vol. 14, No. 10, pp. 1557-1574, 2000, Cass Business School Research Paper

Posted: 04 Dec 2004

Chris Brooks, Andrew Clare and Gita Persand

University of Bristol - School of Economics, Finance and Management, City, University of London - Bayes Business School and University of Bristol - Department of Economics

Andrew Clare

City, University of London - Bayes Business School

Professor of Asset Management

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Scholarly Papers (56)

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