Financial Express proposed innovative portfolio construction technique which they believe overcame some of the severe shortcomings of methods that were currently being used in the industry. They approached two Cass academics to undertake research which was aimed at answering two key questions: Was their proposed approach theoretically sound? Would their approach have led to an improvement in performance over more traditional method?

Speaker(s)

• Andrew Clare, Professor of Asset Management, Cass Business School
• Dr Nick Motson, Lecturer in Finance, Cass Business School

Description

In this Cass Consulting research presentation, Professor Andrew Clare and Dr Nick Motson will discuss the work they did for Financial Express which included a comprehensive review of the academic literature, a simulation using 600 years of randomly generated data and how the new approach would be an improvement.

After the presentation, there will be a chance for networking over lunch with fellow industry professionals and academics.

About the author/presenter: Professor Andrew Clare is Professor of Asset Management at Cass Business School and the Associate Dean responsible for Cass's MSc programme, which is the largest in Europe. He was a Senior Research Manager in the Monetary Analysis wing of the Bank of England which supported the work of the Monetary Policy Committee. While at the Bank Andrew was responsible for equity market and derivatives research. Andrew also spent three years working as the Financial Economist for Legal and General Investment Management (LGIM), where he was responsible for the group's investment process and where he began the development of LGIM's initial Liability Driven Investment offering. He has published extensively in both academic and practitioner journals on a wide range of economic and financial market issues. In a survey published in 2007, Andrew was ranked as the world's ninth most prolific finance author of the past fifty years. Andrew serves on the investment committee of the GEC Marconi pension plan, which oversees the investments and investment strategy of this £4.0 billion scheme, and is a trustee and Chairman of the Investment Committee of the £3.0 billion Magnox Electric Group Pension scheme.

Awarded the Foundation for Management Education Fellowship at tCass Business School in 2008, Nick Motson specialises in asset management, particularly hedge funds, alternative assets and structured products. Before returning to Cass as a PhD student in 2005 Nick spent 13 years working as a proprietary trader of interest rate derivatives in the City of London for various banks including First National Bank of Chicago, Industrial Bank of Japan and Wachovia Bank.