Investment Style in a Turbulent Decade
- When?
- Thursday 28 June 2012, 13:00
- Where?
- 66MS03
- Open to:
- Public, Staff, Students
- Speaker:
- Dr Andrew Mason, University of Surrey
- Admission information:
- Please confirm your attendance to fbelevents@surrey.ac.uk
Is the categorisation of investment funds useful in extremely volatile market conditions? Which method of style analysis, if any, dominates in terms of consistency, accuracy and robustness? We analyse the turbulent period 2000-2010 using Returns-Based (RBS), Characteristics-Based (CBS) and a new combined BFI-CBS method. All three perform well in terms of explaining out-of-sample cross sectional returns of a large sample of diversified US equity funds. The combined methodology performs best 2000-2005 but the CBS method performs best in the second period, (including 2007-2008 financial crisis). We attribute this to the timeliness of a portfolio snapshot relative to time-series analysis in a period of extreme economic and market turbulence.
Biography
Andrew Mason gained more than 20 years hands on experience in the financial sector, in Investment Management and Investment Banking, prior to returning to academia. This includes positions as Economist and Investment Strategist at leading investment banks Nomura and Citicorp before moving into investment management. Andrew held senior investment management roles at leading pension funds including USS, one of the UK’s largest funds, and U.S. mutual fund Kemper. He was a top performance ranked investment manager by WM (UK) and Lipper (US). He was also Head of Equities at Philips Pension Fund, one of the largest pension funds in Europe and has experience of asset allocation and specialist mandates including hedge funds and private equity.
PhD ‘Equity Investment Philosophies, Investment Styles & Investment Processes’ from Southampton University.