Investment Think Tank 2014

Investment Think Tanks

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 […]

Amanda WhiteJune 25, 2014

Investment Think Tanks

Long-term investors should favour value: LSE academics prove why

The ultimate combination of value and momentum strategies depends on the investors’ time horizon, with a new institutional theory rationally explaining these anomalies by investor flows. Dimitri Vayanos, professor of finance at the London School of Economics explains why this theory can add to the practical debate of what is the best asset mix for […]

Amanda WhiteJune 18, 2014

Investment Think Tanks

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 […]

Amanda WhiteJune 18, 2014