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INVESTMENT THINK TANK 2014

When does momentum shift to a risky bet?

Two finance professors at the London School of Economics have introduced a new way to measure the amount of risk arbitrage in markets. Their novel measure, dubbed “comomentum”, exploits time variation in how momentum stocks excessively “comove” together to reveal how crowded the classic price momentum trading strategy is at any point in time. They […]
INVESTMENT THINK TANK 2014

LSE fiduciary investor think tank

Investors were challenged to think differently about their portfolios by the latest academic thinking from the London School of Economics at a one-day investment roundtable in London last week.   Chief investment officers from UK and European public and corporate pension funds convened at the London School of Economics for a highly interactive one-day investment […]