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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 […]
Opinion

The business benefits of active ownership

Celebrating active ownership day, Simon Howard the chief executive of the UK Sustainable Investment and Finance Association, describes the business benefits of active ownership.   Active ownership by investors is becoming increasingly recognised for delivering a range of business benefits from helping to protect corporate reputations, to increasing share prices. Active ownership funds, i.e. those […]
Analysis

Wake up to wasted capital, stranded assets

Sobering new figures in the latest report to highlight climate risk should resonate with trustees more than usual. According to the second study from Carbon Tracker and the Grantham Research Institute on Climate Change and the Environment, part of the London School of Economics Unburnable carbon 2013: Wasted capital and stranded assets, between 60 and […]
In Conversation

A series of shorts
don’t make a long

It is easy for long-term investors to avoid short termism, and the solution lies in avoiding momentum and conducting risk analysis using cash flows – not market pricing. “Diversification is a joke. Diversification and risk analysis relies on pricing, but pricing is distorted because it’s driven by momentum,” says Paul Woolley, chairman of the Paul […]
Research

CDS Auctions

This Paul Woolley Centre Working paper, analyses credit default swap settlement auctions, showing the current auction design many not result in the fair bond price, and suggests modifications to the auction design to minimise mispricing. In particular it finds that an auction undervalues bonds by 10 per cent on average, on the day of the […]
News

CIC expands global reach

The Chinese Investment Corporation will hire a throng of investment professionals to join its nearly 200-member global investment team, following the second meeting of its international advisory council in Shanghai this month.