Andrew Clare

City University London - Sir John Cass Business School

Professor of Asset Management

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

SCHOLARLY PAPERS

44

DOWNLOADS
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Top 608

in Total Papers Downloads

29,277

CITATIONS
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SSRN RANKINGS

Top 9,808

in Total Papers Citations

44

Scholarly Papers (44)

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 9,675 (342)

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 544 (40,765)

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 263 (97,100)

Abstract:

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

2.

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 (7,024)

Abstract:

3.

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 Reading - ICMA Centre, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 1,377 (9,486)
Citation 2

Abstract:

hedge fund, returns, alpha, beta, fees, performance

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 (11,385)

Abstract:

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

5.

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
University of Reading - ICMA Centre, City University London - Sir John Cass Business School, Independent and University of Bristol - Department of Economics
Downloads 1,042 (15,339)
Citation 9

Abstract:

Bootstrap, Value at Risk (VaR), Generalised Pareto Distribution, Parametric, Semi-nonparametric and Small Sample Bias Corrected Tail Index Estimators, GARCH models

6.

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 (13,253)

Abstract:

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

7.

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 (19,928)

Abstract:

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

8.

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 (27,233)
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 464 (49,951)

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 106 (218,495)

Abstract:

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

10.

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 (30,404)

Abstract:

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

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 London - Sir John Cass Business School, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 531 (23,666)

Abstract:

Hedge fund performance, Size, Age

12.

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 (22,280)

Abstract:

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

13.

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 London - Sir John Cass Business School and Bank of England
Downloads 478 (44,379)
Citation 5

Abstract:

14.

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 (25,389)

Abstract:

15.

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 London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 408 (52,643)

Abstract:

Alternative asset classes, portfolio diversification, diversifiable risk

16.

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 (45,875)

Abstract:

Market timing, asset class timing, asset allocation

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
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 (67,096)

Abstract:

Securitization, Bank performance

18.

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 London - Sir John Cass Business School, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 321 (67,096)
Citation 2

Abstract:

19.

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 London - Sir John Cass Business School
Downloads 257 (70,224)
Citation 3

Abstract:

20.

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 London - Sir John Cass Business School and Sir John Cass Business School
Downloads 226 (60,636)

Abstract:

Foreign governing bond law, Eurozone government bonds, Eurozone crisis

21.

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 London - Sir John Cass Business School and Vizor Investment Management, London
Downloads 190 (127,261)
Citation 1

Abstract:

22.

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 (45,181)

Abstract:

23.

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 London - Sir John Cass Business School and Bank of England
Downloads 167 (118,223)
Citation 3

Abstract:

24.

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 (114,122)

Abstract:

Mutual fund performance, style benchmarks, skill versus luck

25.

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 - Sir John Cass Business School, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 122 (167,961)

Abstract:

financial crises, financial fragility, liquidity bubbles, early warning signals, financial stability, financial regulation

26.

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 (126,651)

Abstract:

Size portfolios; trend following; international; developing

27.

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 - Sir John Cass Business School, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 113 (198,431)

Abstract:

Alternative asset classes, defined benefit, pension fund deficit, asset allocation

28.

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 London - Sir John Cass Business School, University College Cork and University College Cork
Downloads 109 (192,338)

Abstract:

Mutual fund family, performance persistence and risk

29.

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

Number of pages: 31 Posted: 06 Nov 2010
Università degli Studi di Roma Tor Vergata - Dipartimento di Economia e Finanza, City University London - Sir John Cass Business School and Università del Molise - Dipartimento di Economia, Società e Istituzioni
Downloads 46 (324,803)
Citation 3

Abstract:

M&As, Bank, Bank Internationalization

30.

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 London - Sir John Cass Business School, University College Cork and University College Cork
Downloads 37 (223,340)

Abstract:

mutual fund performance, random portfolios, skill, luck

31.

A Note on Estimating Market-based Minimum Capital Risk Requirements: A Multivariate GARCH Approach

Manchester School, Vol. 70, pp. 666-681, 2002
Number of pages: 16 Posted: 29 Dec 2002
Chris Brooks, Andrew Clare and Gita Persand
University of Reading - ICMA Centre, City University London - Sir John Cass Business School and University of Bristol - Department of Economics
Downloads 30 (403,290)
Citation 1
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Abstract:

32.

Direct Evidence of Non-trading on the London Stock Exchange

Journal of Business Finance & Accounting, Vol. 29, pp. 29-53, 2002
Number of pages: 25 Posted: 25 Apr 2002
Andrew Clare, Gareth Morgan and Stephen Thomas
City University London - Sir John Cass Business School, York University - Schulich School of Business and University of Southampton - School of Management
Downloads 30 (403,290)
Citation 2
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Abstract:

33.

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 (339,599)

Abstract:

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

34.

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 (127,883)

Abstract:

Sequence Risk, Perfect Withdrawal Rate, Decumulation, Trend Following

35.

Constructing an Index of Persian Rug Prices

Number of pages: 25 Posted: 26 Apr 2017
Andrew Clare
City University London - Sir John Cass Business School
Downloads 0 (483,648)

Abstract:

persian rugs, hedonic regression, price index

36.

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 (55,450)

Abstract:

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

37.

The Performance of Long-Serving Fund Managers

Number of pages: 27 Posted: 10 Sep 2016
Andrew Clare
City University London - Sir John Cass Business School
Downloads 0 (53,822)

Abstract:

Mutual fund performance, Experienced fund managers

38.

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 London - Sir John Cass Business School and Vizor Investment Management, London
Downloads 0 (527,963)
Citation 7

Abstract:

39.

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 (51,631)

Abstract:

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

40.

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 London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 0 (379,585)
Citation 1

Abstract:

investor timing, mutual fund performance, fund cash flows

41.

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

42.

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 London - Sir John Cass Business School and City University London - Sir John Cass Business School

Abstract:

hedge fund, risk, return, fees, performance, high-water mark, agency conflicts, benchmarking, portfolio choice

43.

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 Reading - ICMA Centre, City University London - Sir John Cass Business School and University of Bristol - Department of Economics

Abstract:

Minimum capital risk requirements, internal risk management models, volatility persistence

44.

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 Reading - ICMA Centre, City University London - Sir John Cass Business School and University of Bristol - Department of Economics

Abstract:

Minimum Capital Risk Requirements, Generalized Pareto Distribution, GARCH models