Dr Andrew Mason
Lecturer in Finance
Qualifications: PhD Finance, BSc Economics
Email: andrew.mason@surrey.ac.uk
Phone: Work: 01483 68 3093
Room no: 68 MS 02
Office hours
Tues: 3.15pm-5pm
Thurs: 3.15pm-5pm
Please e-mail for an appointment as priority is given to those who have booked appointments
Further information
Biography
Andrew 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 in Finance from Southampton University ‘Equity Investment Philosophies, Investment Styles & Investment Processes’
Research Interests
Equity Investment Styles, Performance Measurement, Asset Allocation, Mutual Funds, Hedge Funds, Investment Analysis.
Research Collaborations
CASS & University of Southampton
Publications
Journal articles
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(2012) 'Style Analysis for Diversified US Equity Funds'. Palgrave Macmillan The Journal of Asset Management, 13 (3), pp. 170-185.doi: 10.1057/jam.2012.6Full text is available at: http://epubs.surrey.ac.uk/714247/
Abstract
In this study we consider two methods of returns based style analysis for classification of investment styles for a single asset class, US Diversified Equity Funds. We extend Sharpe’s (1992) style Returns Based Style Analysis (RBSA) by forming style groups using cluster analysis and RBSA factors. We also introduce a parsimonious Best Fit Index (BFI) of style classification which explicitly acknowledges the existence of market segmentation and practitioner benchmarking. The methods provide complementary information about mutual fund returns. Both methodologies explain a significant proportion of the cross section of out of sample returns, but the BFI method performs better out-of-sample is more transparent and more closely aligned to investment practice.
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(2011) 'Covered interest rate parity in emerging markets'. Elsevier International Review of Financial Analysis, 20 (5), pp. 355-363.Full text is available at: http://epubs.surrey.ac.uk/127270/
Abstract
This paper finds that while covered interest rate parity holds for large and small triple A rated economies, it holds for emerging markets only for a three-month maturity. For a five-year horizon the size and frequency of violations lead to the conclusion that covered interest rate parity does not hold for longer maturities for Brazil, Chile, Russia and South Korea. Overall this paper finds that aspects of credit risk are the source of violations in CIRP in the long-term capital markets rather than transactions costs or the size of the economy.
Conference papers
- . (2012) 'Complementary or Contradictory: Combining Returns Based and Characteristics Based Investment Style Analysis'. Hamburg: EFM 2012 Symposium on Asset Management
- . (2011) 'Revealed Preferences and Investment Outcomes: Characteristic Based Style Analysis and Market Phases'. Rome, Italy: 18th Annual Conference of the Multinational Finance Society
- . (2010) 'Investment Philosophies and Investment Beliefs Determine Investment Outcomes'. Chicago, IL.: 2nd Annual Meeting of the Academy of Behavioral Finance & Economics
- . (2010) 'Combined Returns Based and Characteristics Based Style Analysis: Greater Than the Sum of the Parts?'. Barcelona, Spain: 17th Annual Conference of the Multinational Finance Society
- . (2009) 'The New Debate for Returns Based Style Analysis; RBSA or BFI?'. Rethymno, Crete: 16th Annual Conference of The Multinational Finance Society
- . (2008) 'Portfolio Characteristics and Equity Investment Styles: A Multidimensional Approach'. Orlando, Florida: 15th Annual Conference of the Multinational Finance Society
Book chapters
- . (2012) 'Equity Investment Styles'. in Baker HK, Filbeck G (eds.) Portfolio Theory and Management Oxford University Press
Internet publications
- . (2012) Investment Style in a Turbulent Decade.
- . (2012) Style Analysis for Diversified U.S. Equity Funds.
- . (2011) Covered Interest Rate Parity in Emerging Markets.
- . (2011) Complementary or Contradictory? Combining Returns Based & Characteristics Based Investment Style Analysis.
Other publications
- . (2011) Combining Returns Based and Characteristics Based Style Analysis for US Diversified Equity Funds.
- . (2011) Returns Based Style Groups and Benchmarking.
- . (2011) Complementary or Contradictory? Combining Returns Based & Characteristics Based Investment Style Analysis.
Teaching
Financial Risk Management (UG Level 6)
Risk Management (MSc Level 7)
Previous Teaching includes Investment Management (MSc Level 7), Business Finance (UG Level 5), & Economics for Business (MBA)
Departmental Duties
Programme Leader Accounting & Finance Executive Education
Affiliations
Member Financial Management Association
Member Multinational Finance Society
Inquire
Other
Representative of the University on the ifs School of Finance Academic Standards & Quality Committee
Judge Insider Media South East Dealmakers Awards 2013 http://www.insidermedia.com/
Interested in recruiting PhD students in the areas of Investment Performance and Investment Style & Textual Sentiment & Earnings Surprises
