Andrew Clare

Andrew Clare is the 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 is the co-author of “The Trustee Guide to Investment”. He has also 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 £4.0bn scheme, and is a trustee and Chairman of the Investment Committee of the £2.5bn Magnox Electric Group Pension scheme.

Please visit Andrew's homepage for recent publications.

Qualifications

BA Hons, MSc and PhD.

Expertise

Primary Topics

• Hedge Funds
• Fund Management
• Investment Management
• Asset Pricing
• Economics
• Pension Funds
• Financial Markets
• Investment Theory
• Bond Markets
• Capital Markets
• Asset Valuation

Research Topics

Pension funds

Modelling pension funds

Alternative investments

Fund manager performance

Identifying the characteristics of successful fund managers

Asset Allocation

Book

Clare, A. and Wagastaff, C. (2011). The Trustee Guide to Investment. London: Palgrave Macmillan. ISBN 0-230-24424-6.

Chapter

Clare, A., Johnson, M., Proudman, J. and Saporta, V. (1999). The Impact of UK Macroeconomic Announcements on the Market for Gilts. In Settlements, B.F.I. (Ed.), Market Liquidity: Research Findings and Selected Policy Implications (pp. 1–16).

Journal Articles (80)

• Clare, A. (2017). The performance of long-serving fund managers. International Review of Financial Analysis, 52, pp. 152–159. doi:10.1016/j.irfa.2017.07.001.
• Clare, A., Duygun, M., Azzim Gulamhussen, M. and Pozzolo, A.F. (2016). Bank business models, regulation, and the role of financial market participants in the global financial crisis☆. Journal of Banking and Finance, 72, pp. S1–S5. doi:10.1016/j.jbankfin.2016.10.007.
• Clare, A., Seaton, J., Smith, P.N. and Thomas, S. (2016). The trend is our friend: Risk parity, momentum and trend following in global asset allocation. Journal of Behavioral and Experimental Finance, 9, pp. 63–80. doi:10.1016/j.jbef.2016.01.002.
• Clare, A., Sherman, M.B. and Thomas, S. (2016). Multi-asset class mutual funds: Can they time the market? Evidence from the US, UK and Canada. Research in International Business and Finance, 36, pp. 212–221. doi:10.1016/j.ribaf.2015.09.011.
• Agyei-Ampomah, S., Clare, A., Mason, A. and Thomas, S. (2015). On luck versus skill when performance benchmarks are style-consistent. Journal of Banking and Finance, 59, pp. 127–145. doi:10.1016/j.jbankfin.2015.05.013.
• Moss, A., Clare, A., Thomas, S. and Seaton, J. (2015). Trend following and momentum strategies for global reits. Journal of Real Estate Portfolio Management, 21(1), pp. 21–31.
• Clare, A., Motson, N.E., Payne, R. and Thomas, S. (2014). Heads We Win, Tails You Lose. Why Don't More Fund Managers Offer Symmetric Performance Fees? SSRN .
• Clare, A., Motson, N., Sapuric, S. and Todorovic, N. (2014). What impact does a change of fund manager have on mutual fund performance? International Review of Financial Analysis, 35, pp. 167–177. doi:10.1016/j.irfa.2014.08.005.
• Clare, A., O'Sullivan, N. and Sherman, M. (2014). Family status and mutual fund performance. Journal of Asset Management, 15(3), pp. 163–175. doi:10.1057/jam.2014.19.
• Clare, A., Seaton, J., Smith, P.N. and Thomas, S. (2014). Trend following, risk parity and momentum in commodity futures. International Review of Financial Analysis, 31, pp. 1–12. doi:10.1016/j.irfa.2013.10.001.
• Clare, A., Nitzsche, D. and Sherman, M. (2013). Mutual fund performance and management location. Journal of Asset Management, 14(6), pp. 336–353. doi:10.1057/jam.2013.23.
• Casu, B., Clare, A., Sarkisyan, A. and Thomas, S. (2013). Securitization and Bank Performance. Journal of Money, Credit and Banking, 45(8), pp. 1617–1658. doi:10.1111/jmcb.12064.
• Clare, A., Seaton, J., Smith, P.N. and Thomas, S. (2013). Breaking into the blackbox: Trend following, stop losses and the frequency of trading - The case of the S&P500. Journal of Asset Management, 14(3), pp. 182–194. doi:10.1057/jam.2013.11.
• Thomas, S., Clare, A. and Motson, N.E. (2013). An Evaluation of Alternative Equity Indices - Part 2: Fundamental Weighting Schemes. SSRN .
• Clare, A., Motson, N.E. and Thomas, S. (2013). An Evaluation of Alternative Equity Indices - Part 1: Heuristic and Optimised Weighting Schemes. SSRN .
• Clare, A., Gulamhussen, M.A. and Pinheiro, C. (2013). What factors cause foreign banks to stay in London? Journal of International Money and Finance, 32(1), pp. 739–761. doi:10.1016/j.jimonfin.2012.06.007.
• Caiazza, S., Clare, A. and Pozzolo, A.F. (2012). What do bank acquirers want? Evidence from worldwide bank M&A targets. Journal of Banking & Finance, 36(9), pp. 2641–2659. doi:10.1016/j.jbankfin.2012.06.004.
• Gwilym, O.A., Clare, A., Seaton, J. and Thomas, S. (2012). Tactical equity investing across bull and bear markets. Journal of Wealth Management, 14(4), pp. 61–69. doi:10.3905/jwm.2012.14.4.061.
• Gwilym, O.A., Clare, A., Seaton, J. and Thomas, S. (2011). Gold stocks, the gold price and market timing. Journal of Derivatives and Hedge Funds, 17(3), pp. 266–278. doi:10.1057/jdhf.2011.16.
• Clare, A., Gwilym, O.A., Seaton, J. and Thomas, S. (2011). Explaining international equity valuation ratios: The roles of commodity price inflation and relative asset volatilities. Journal of Asset Management, 12(1), pp. 11–29. doi:10.1057/jam.2009.36.
• Casu, B., Clare, A., Sarkisyan, A. and Thomas, S. (2011). Does securitization reduce credit risk taking? Empirical evidence from US bank holding companies. EUROPEAN JOURNAL OF FINANCE, 17(9-10), pp. 769–788. doi:10.1080/1351847X.2010.538526.
• Clare, A., Nitzsche, D. and Cuthbertson, K. (2010). An empirical investigation into the performance of UK pension fund managers. Journal of Pension Economics and Finance, 9(4), pp. 533–547. doi:10.1017/S1474747209990138.
• Clare, A., Sapuric, S. and Todorovic, N. (2010). Quantitative or momentum-based multi-style rotation? UK experience. Journal of Asset Management, 10(6), pp. 370–381. doi:10.1057/jam.2009.19.
• ap Gwilym, O., Clare, A., Seaton, J. and Thomas, S. (2010). Price and Momentum as Robsut Tactical Approaches to Global Equity Investing. Journal of Investing, 19(3), pp. 80–91. doi:10.3905/joi.2010.19.3.080.
• Casu, B., Sarkisyan, A., Clare, A. and Thomas, S. (2010). Le cartolarizzazioni migliorano la performance delle banche?
• Alcune evidenze empiriche sulle banche commerciali statunitensi. Bancaria, Special Issue .
• Ap Gwilym, O., Clare, A., Seaton, J. and Thomas, S. (2009). Consistent dividend growth investment strategies. Journal of Wealth Management, 12(3), pp. 113–124.
• Clare, A. and Motson, N. (2009). Locking in the profits or putting it all on black? an empirical investigation into the risk-taking behavior of hedge fund managers. Journal of Alternative Investments, 12(2), pp. 7–25. doi:10.3905/JAI.2009.12.2.007.
• Brigden, A., Clare, A., Driver, R. and Selvaggi, M. (2009). The road to buy-out. Pensions, 14(2), pp. 90–110. doi:10.1057/pm.2009.5.
• Gwilym, O.A., Clare, A.D., Seaton, J. and Thomas, S.H. (2009). Dividends and Momentum. The Journal of Investing, 18(2), pp. 42–49. doi:10.3905/JOI.2009.18.2.042.
• Brigden, A., Clare, A. and Dhar, S. (2008). By how much can a diversified approach to investing improve the prospects of reducing a DB pension deficit? Pensions: An International Journal, 13(3), pp. 136–150. doi:10.1057/pm.2008.19.
• Brooks, C., Clare, A. and Motson, N. (2008). The gross truth about hedge fund performance and risk the impact of incentive fees. Journal of Financial Transformation, 24, pp. 31–40.
• Brooks, C., Clare, A.D., Dalle Molle, J.W. and Persand, G. (2005). A comparison of extreme value theory approaches for determining value at risk. Journal of Empirical Finance, 12(2), pp. 339–352. doi:10.1016/j.jempfin.2004.01.004.
• Brooks, C., Clare, A.D. and Persand, G. (2002). A note on estimating market-based minimum capital risk requirements: a multivariate GARCH approach. The Manchester School, 70(5), pp. 666–681. doi:10.1111/1467-9957.00319.
• Clare, A. and Priestley, R. (2002). Calculating the probability of failure of the Norwegian banking sector. Journal of Multinational Financial Management, 12(1), pp. 21–40. doi:10.1016/S1042-444X(01)00029-9.
• Clare, A. and Moschetti, P. (2002). Aggregate market returns and UK unit trust net acquisitions. Applied Financial Economics, 12(7), pp. 457–467.
• BROOKS, C.H.R.I.S., CLARE, A.N.D.R.E.W.D. and PERSAND, G.I.T.A. (2002). An Extreme Value Theory Approach to Calculating Minimum Capital Risk Requirements. The Journal of Risk Finance, 3(2), pp. 22–33. doi:10.1108/eb043485.
• Clare, A., Morgan, G. and Thomas, S. (2002). Direct Evidence of Non-trading on the London Stock Exchange. Journal of Business Finance & Accounting, 29(1&2), pp. 29–53.
• Clare, A.D. and Oozeer, M.C. (2001). Hedging sterling eurobond portfolios: a proposal for eurobond futures contract. Applied Financial Economics, 11(1), pp. 37–44. doi:10.1080/09603100150210246.
• Clare, A. and Courtenay, R. (2001). Assessing the impact of macroeconomic news announcements on securities prices under different monetary policy regimes
• (Working paper No 125). Bank of England Quarterly Bulletin, 41(1), pp. 123–123.
• Clare, A. (2001). The information in UK company profit warnings. Bank of England Quarterly Bulletin, 41(1), pp. 104–109.
• Brooks, C., Clare, A.D. and Persand, G. (2000). A word of caution on calculating market-based minimum capital risk requirements. Journal of Banking & Finance, 24(10), pp. 1557–1574. doi:10.1016/S0378-4266(99)00092-8.
• Clare, A., Brooke, M. and Lekkos, I. (2000). A comparison of long bond yields in the United Kingdom, the United States, and Germany. Bank of England Quarterly Bulletin, 40(2), pp. 150–158.
• Clare, A., Ioannides, M. and Skinner, F.S. (2000). Hedging corporate bonds with stock index futures: a word of caution. Journal of Fixed Income, 10(2), pp. 25–34.
• Clare, A., Oozeer, M.C., Priestley, R. and Thomas, S.H. (2000). Modelling the risk premium in the eurodollar bond market. Journal of Fixed Income, 9(4), pp. 61–74.
• Clare, A. and Courtenay, R. (2000). Financial market reactions to interest rate announcements and macroeconomic data releases. Bank of England Quarterly Bulletin, 40(3), pp. 266–273.
• Ap Gwilym, O., Brooks, C., Clare, A. and Thomas, S. (1999). Tests of non-linearity using LIFFE futures transactions price data. The Manchester School, 67(2), pp. 167–186. doi:10.1111/1467-9957.00140.
• Clare, A. and Kaplan, P. (1999). A macroeconomic model of the equity risk premium. Corporate Finance Review, (Summer), pp. 26–34.
• Buckle, M.J., Clare, A.D. and Thomas, S.H. (1999). Developing a Trading Rule from the FTSE-100 Stock Index Futures Contract: Evidence in Support of the EMH. Journal of Business Finance and Accounting, 26(1/2), pp. 249–260.
• Andrade, I.C., Clare, A.D., O'Brien, R.J. and Thomas, S.H. (1999). Tests for Stochastic Seasonality Applied to Daily Financial Time Series. Manchester School, 67(1), pp. 39–59. doi:10.1111/1467-9957.00132.
• ap Gwilym, O., Clare, A. and Thomas, S. (1998). Price clustering and bid-ask spreads in international bond futures. Journal of International Financial Markets, Institutions and Money, 8(3-4), pp. 377–391. doi:10.1016/S1042-4431(98)00045-6.
• Clare, A.D., Priestley, R. and Thomas, S.H. (1998). Reports of beta's death are premature: Evidence from the UK. Journal of Banking & Finance, 22(9), pp. 1207–1229. doi:10.1016/S0378-4266(98)00050-8.
• ap Gwilym, O., Clare, A. and Thomas, S. (1998). Extreme price clustering in the London equity index futures and options markets. Journal of Banking & Finance, 22(9), pp. 1193–1206. doi:10.1016/S0378-4266(98)00054-5.
• Gwilym, O.A., Clare, A. and Thomas, S. (1998). The bid-ask spread on stock index options: An ordered probit analysis. JOURNAL OF FUTURES MARKETS, 18(4), pp. 467–485. doi:10.1002/(SICI)1096-9934(199806)18:43.0.CO;2-R.
• Clare, A., O’Brien, R., Thomas, S. and Wickens, M. (1998). Macroeconomic shocks and the CAPM: evidence from the UK stockmarket. International Journal of Finance & Economics, 3(2), pp. 111–126. doi:10.1002/(SICI)1099-1158(199804)3:23.0.CO;2-L.
• Clare, A. and Priestley, R. (1998). Risk factors in the Malaysian stock market. Pacific-Basin Finance Journal, 6, pp. 103–114.
• Clare, A., Ibrahim, M.S.B. and Thomas, S.H. (1998). The Impact of Settlement Procedures on Day-of-the-week Effects: Evidence from the Kuala Lumpur Stock Exchange. Journal of Business Finance and Accounting, 25(3/4), pp. 401–418. doi:10.1111/1468-5957.00194.
• Gwilym, O.A., Buckle, M., Clare, A.D. and Thomas, S.H. (1998). The Transaction-by-Transaction Adjustment of Interest Rate and Equity Index Futures Markets to Macroeconomic Announcements. The Journal of Derivatives, 6(2), pp. 7–17. doi:10.3905/jod.6.2.7.
• Clare, A., Priestley, R. and Thomas, S. (1997). Is Beta dead? The role of alternative estimation methods. APPLIED ECONOMICS LETTERS, 4(9), pp. 559–562.
• Clare, A.D., Smith, P.N. and Thomas, S.H. (1997). UK stock returns and robust tests of mean variance efficiency. Journal of Banking & Finance, 21(5), pp. 641–660. doi:10.1016/S0378-4266(96)00058-1.
• Clare, A., Priestley, R. and Thomas, S.H. (1997). Stock return predictability or mismeasured risk? Applied Financial Economics, 7, pp. 679–688.
• Clare, A., Garrett, I. and Jones, G. (1997). Testing for seasonal patterns in conditional return volatility: evidence from Asia-Pacific markets. Applied Financial Economics, 7(5), pp. 517–523.
• Barron, M.J., Clare, A.D. and Thomas, S.H. (1997). The Effect of Bond Rating Changes and New Ratings on UK Stock Returns. Journal of Business Finance and Accounting, 24(3/4), pp. 497–510.
• Clare, A. and Priestley, R. (1996). Estimating the cost of capital of the UK's newly privatized utilities. APPLIED ECONOMICS LETTERS, 3(10), pp. 653–657.
• Clare, A., OBrien, R., Smith, P.N. and Thomas, S. (1996). Global macroeconomic shocks, time-varying covariances and tests of the international CAPM. APPLIED ECONOMICS LETTERS, 3(2), pp. 109–113.
• Clare, A. (1995). THE CAPM, THE APT AND A CONTINGENT CLAIMS MODEL OF A SECURITIES HOUSE. Journal of Business Finance & Accounting, 22(8), pp. 1147–1168. doi:10.1111/j.1468-5957.1995.tb00898.x.
• Clare, A. and Thomas, S. (1995). THE OVERREACTION HYPOTHESIS AND THE UK STOCKMARKET. Journal of Business Finance & Accounting, 22(7), pp. 961–973. doi:10.1111/j.1468-5957.1995.tb00888.x.
• Clare, A.D. (1995). Using the Arbitrage Pricing Theory to Calculate the Probability of Financial Institution Failure: Note. Journal of Money, Credit and Banking, 27(3), pp. 920–920. doi:10.2307/2077760.
• Clare, A.D., Maras, M. and Thomas, S.H. (1995). THE INTEGRATION AND EFFICIENCY OF INTERNATIONAL BOND MARKETS. Journal of Business Finance & Accounting, 22(2), pp. 313–322. doi:10.1111/j.1468-5957.1995.tb00687.x.
• Clare, A. and Miffre, J. (1995). A note on forecasting the CAC 40 and DAX stock index futures. Applied Economic Letters, 2, pp. 327–.
• Clare, A. (1995). An Analysis of Seasonality in the U.K. Equity Market. Economic Journal, 105(429), pp. 398–409.
• ANDRADE, I. and CLARE, A. (1994). IS THE UK TREASURY BILL RATE A GOOD PROXY FOR EXPECTED INFLATION IN THE UNITED-KINGDOM. ECONOMICS LETTERS, 45(3), pp. 335–341. doi:10.1016/0165-1765(94)90034-5.
• Clare, A.D. and Thomas, S.H. (1994). MACROECONOMIC FACTORS, THE APT AND THE UK STOCKMARKET. Journal of Business Finance & Accounting, 21(3), pp. 309–330. doi:10.1111/j.1468-5957.1994.tb00322.x.
• Clare, A.D., Thomas, S.H. and Wickens, M.R. (1994). Is the Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns? The Economic Journal, 104(423), pp. 303–303. doi:10.2307/2234751.
• Clare, A. and Thomas, S. (1993). Relative price variability and inflation in an equilibrium price misperceptions' model: Evidence for the UK. Economics Letters, 42, pp. 51–.
• Clare, A.D. and Thomas, S.H. (1992). International evidence for the predictability of bond and stock returns. Economics Letters, 40(1), pp. 105–112. doi:10.1016/0165-1765(92)90252-T.
• Clare, A., McKenzie, G.W. and Thomas, S.H. (1991). The regulation of securities firms: some key issues. Rivista Internazionale di Scienze Sociali (Reprinted in Europe 1992 and Monetary Union, Edited by G. Vaciago), 99(1), pp. 119–138.
• Clare, A. and Priestly, R. Evidence in Support of the CAPM from Three South East Asian Stock Markets. Ekonomia, 2(2), pp. 145–154.
• Clare, A., Priestley, R. and Thomas, S. The Robustness of the APT to Alternative Estimators. Journal of Business Finance & Accounting, 24(5), pp. 645–655.
• Moss, A., Clare, A., Seaton, J. and Thomas, S. The Blended Approach to Real Estate Allocations: Performance Implications of Combining an Exposure to German Spezialfonds with Global Listed Real Estate Securities. Alternative Investment Analysts' Review .
• Clare, A., Thomas, S., Smith, P.N. and Seaton, J. Reducing sequence risk using trend following and the CAPE ratio. Financial Analysts Journal .

Course Directorship

• 2006 - 2016, Associate Dean
• 2004 -2006, Investment Management, Director
• 2009 - 2011, Finance & Investment, Director

Subject/Academic Leadership

Associate Dean position is still current.