Keith Cuthbertson

Keith Cuthbertson has worked at H.M.Treasury, Bank of England, National Institute of Economic and Social Research NIESR and at Business Schools at Imperial College London and the University of Newcastle. He has been a visitor at the Federal Reserve Bank, Washington and the Freie University, Berlin. He has undertaken consultancy and teaching in applied finance at various financial institutions and government organisations.

For information on three (co-authored)books: "Investments, 2nd ed), "Financial Engineering: Derivatives and Risk Management" and "Quantitative Financial Economics" (all published by J. Wiley) including GAUSS/MATLAB/EXCEL programmes, OH Slides, Q&A etc. go to:

www.keithcuthbertson.weebly.com

Qualifications

• BSc (Physics/Math), Sussex University, United Kingdom
• MA (Econ), Manchester University, United Kingdom

Expertise

Primary Topics

Fund Management Hedge Funds

Research

I work on the performance of investment funds. I am particularly interested in how performance might be exaggerated by two factors. First, consider the the performance of say the "top fund" - as the fiancial press usually does. If you do not take into account that you have pre-ordered the funds (from worst to best),then the "top fund" appears to be statistically significant (using conventional statistics)- but may in fact simply be lucky.

Second, when we try and gauge the performance of all funds taken together and undertake a raw count of the number of funds that are statistically significant positive performers - we ignore the fact that some of these funds are statistically significant due to luck - they are "false discoveries" - so the "true" proportion of successful funds is less than the given by a raw count.

Research Topics

Fund Performance

Measurement and performance of investment funds

Books (4)

• Cuthbertson, K. and Nitzsche, D. (2009). Investments. John Wiley & Sons. ISBN 978-0-470-51956-1.
• Nitzsche, D. and Cuthbertson, K. (2005). Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange. John Wiley and Sons. ISBN 978-0-470-09172-2.
• Cuthbertson, K. and Nitzsche, D. (2001). Investments: Spot and Derivatives Markets. John Wiley & Sons. ISBN 978-0-471-49583-3.
• Cuthbertson, K. and Nitzsche, D. (2001). Financial Engineering: Derivatives and Risk Management. Wiley. ISBN 978-0-471-49584-0.

Chapters (9)

• Cuthbertson, K. (2015). Capital Allocation. The Professional Risk Managers' Handbook Series 1 A Guide to Financial Markets The Professional Risk Managers’ International Association (PRMIA).
• Cuthbertson, K. (2015). The CAPM and Multifactor Models. The Professional Risk Managers’ Handbook
• A Comprehensive Guide to Current Theory and Best Practice The Professional Risk Managers’ International Association (PRMIA).
• Cuthbertson, K. (2015). Forward and Futures Prices. The Professional Risk Managers’ Handbook The Professional Risk Managers’ International Association (PRMIA).
• Cuthbertson, K. (2015). Uses of Forwards and Futures. The Professional Risk Managers' Handbook Series The Professional Risk Managers’ International Association (PRMIA). ISBN 978-0-9766097-6-6.
• Cuthbertson, K. and Nitzsche, D. (2004). Capital Allocation. The Professional Risk Managers’ Handbook (PRMIA Training Manual) The Professional Risk Managers’ International Association (PRMIA).
• Cuthbertson, K. and Nitzsche, D. (2004). Forward and Futures Markets. The Professional Risk Managers’ Handbook (PRMIA Training Manual) The Professional Risk Managers’ International Association (PRMIA.
• Cuthbertson, K. and Nitzsche, D. (2004). The CAPM. The Professional Risk Managers’ Handbook (PRMIA Training Manual) The Professional Risk Managers’ International Association (PRMIA).
• Cuthbertson, K. and Nitzsche, D. (2003). Derivatives and the Insurance Sector. In Sundt, B. and Teugels, J. (Eds.), The Encyclopedia of Actuarial Science (3 Volume Set) Wiley. ISBN 978-0-470-84676-6.
• Cuthbertson, K., Microfoundations, and Money, T.D.F. (1997). Economic Journal. (pp. 1186–1201).

Journal Articles (71)

• Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2016). A review of behavioural and management effects in mutual fund performance. International Review of Financial Analysis, 44, pp. 162–176. doi:10.1016/j.irfa.2016.01.016.
• cuthbertson, K., Hayley, S., motson, N. and Nitzsche, D. (2016). What Does Rebalancing Really Achieve? International Journal of Finance & Economics, 21(3), pp. 224–240. doi:10.1002/ijfe.1545.
• Hayley, S., Nitzsche, D. and Cuthbertson, K. (2015). Market and Style Timing: German Equity and Bond Funds. European Financial Management, 22(4), pp. 667–696. doi:10.1111/eufm.12080.
• Bredin, D., Cuthbertson, K., Nitzsche, D. and Thomas, D.C. (2014). Performance and performance persistence of UK closed-end equity funds. International Review of Financial Analysis, 34, pp. 189–199. doi:10.1016/j.irfa.2014.05.011.
• Cuthbertson, K. and Nitzsche, D. (2013). Winners and losers: German equity mutual funds. European Journal of Finance, 19(10), pp. 951–963. doi:10.1080/1351847X.2012.684098.
• Cuthbertson, K. and Nitzsche, D. (2013). Performance, stock selection and market timing of the German equity mutual fund industry. Journal of Empirical Finance, 21(1), pp. 86–101. doi:10.1016/j.jempfin.2012.12.002.
• Cuthbertson, K. and Nitzsche, D. (2013). Performance, Stock Selection and Market Timing of the German Equity Mutual Fund Industry. Journal of Empirical Finance, 21(March), pp. 86–101.
• Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2012). False Discoveries in UK Mutual Fund Performance. EUROPEAN FINANCIAL MANAGEMENT, 18(3), pp. 444–463. doi:10.1111/j.1468-036X.2009.00536.x.
• 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.
• Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2010). Mutual fund performance: Measurement and evidence. Financial Markets, Institutions and Instruments, 19(2), pp. 95–187. doi:10.1111/j.1468-0416.2010.00156.x.
• Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2010). The market timing ability of UK mutual funds. Journal of Business Finance and Accounting, 37(1-2), pp. 270–289. doi:10.1111/j.1468-5957.2009.02157.x.
• Cuthbertson, K. and Nitzsche, D. (2009). National Institute for Financial Excellence, NIFE. InBusiness .
• Cuthbertson, K. (2009). Sterling Bank Lending to UK Industrial and Commercial Companies. Oxford Bulletin of Economics & Statistics, 47(2), pp. 91–118.
• Cuthbertson, K. (2009). The Behaviour of U.K. Export Prices of Manufactured Goods 1970-1983. Journal of Applied Econometrics, 1(3) .
• Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2008). UK mutual fund performance: Skill or luck? Journal of Empirical Finance, 15(4), pp. 613–634. doi:10.1016/j.jempfin.2007.09.005.
• Nitzsche, D., Cuthbertson, K. and O'Sullivan, N. (2008). Investment Funds : What Next ? Quantitative and Qualitative Analysis in Social Sciences (QASS), 2(2), pp. 45–62.
• Cuthbertson, K., Nitzsche, D. and Hyde, S. (2007). Monetary policy and behavioral finance. Journal of Economic Surveys, 21(5), pp. 935–969. doi:10.1111/j.1467-6419.2007.00525.x.
• Hyde, S., Cuthbertson, K. and Nitzsche, D. (2005). Resuscitating the C-CAPM: Empirical evidence from France and Germany. International Journal of Finance and Economics, 10(4), pp. 337–357. doi:10.1002/ijfe.282.
• Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2005). Most Mutual Funds Rely on Luck Not Skill. Financial Times .
• [publisher’s website]
• Cuthbertson, K. (2004). Introductory econometrics for finance, Chris Brooks, Cambridge University Press, Cambridge, 2002. International Journal of Finance & Economics, 9(1), pp. 82–83.
• Cuthbertson, K. and Nitzsche, D. (2003). Long rates, risk premia and the over-reaction hypothesis. Economic Modelling, 20(2), pp. 417–435. doi:10.1016/S0264-9993(02)00052-4.
• Cuthbertson, K. and Nitzsche, D. (2003). Monetary Policy and Asset Prices (La Politica Monetaria Y Los Precios De Los Activos)'. CLM Economia, (3), pp. 117–150.
• Cuthbertson, K. and Nitzsche, D. (2003). When Public Sector Meets Private. Finance Today, 2003(5) .
• Cuthbertson, K. and Hyde, S. (2002). Excess volatility and efficiency in French and German stock markets. Economic Modelling, 19(3), pp. 399–418. doi:10.1016/S0264-9993(01)00069-4.
• Bredin, D. and Cuthbertson, K. (2002). Liquidity effects and precautionary saving in the Czech Republic. Applied Financial Economics, 12(6), pp. 405–413.
• Cuthbertson, K. and Bredin, D. (2001). Risk premia and long rates in Ireland. Journal of Forecasting, 20(6), pp. 391–403. doi:10.1002/for.811.
• Cuthbertson, K. and Bredin, D. (2001). Money demand in the czech republic since transition. Journal of Economic Policy Reform, 4(4), pp. 271–290.
• Cuthbertson, K. and Bredin, D. (2000). The expectations hypothesis of the term structure: The case of Ireland. ECONOMIC AND SOCIAL REVIEW, 31(3), pp. 267–281.
• Cuthbertson, K., Hayes, S. and Nitzsche, D. (2000). Are German money market rates well behaved? Journal of Economic Dynamics and Control, 24(3), pp. 347–360. doi:10.1016/S0165-1889(99)00009-3.
• Cuthbertson, K., Hayes, S. and Nitzsche, D. (1999). Market segmentation and stock price behaviour. Oxford Bulletin of Economics and Statistics, 61(2), pp. 217–235.
• Cuthbertson, K. and Galindo, L. (1999). The Demand for Money in Mexico. The Manchester School, 67(2), pp. 154–166. doi:10.1111/1467-9957.00139.
• Cuthbertson, K., Hayes, S. and Nitzsche, D. (1999). Explaining movements in UK stock prices. Quarterly Review of Economics and Finance, 39(1), pp. 1–19.
• Cuthbertson, K., Hayes, S. and Hyde, S. (1998). The industry response to macroeconomic shocks in the UK, Germany and France and the convergence debate. ECONOMIC AND SOCIAL REVIEW, 29(4), pp. 383–401.
• Cuthbertson, K., Hayes, S. and Nitzsche, D. (1998). Interest rates in Germany and the UK: Cointegration and error correction models. Manchester School, 66(1), pp. 27–43.
• Cuthbertson, K., Hayes, S. and Nitzsche, D. (1997). The behaviour of UK stock prices and returns: Is the market effecient? Economic Journal, 107(443), pp. 986–1008.
• Cuthbertson, K. (1997). Microfoundations and the demand for money. ECONOMIC JOURNAL, 107(443), pp. 1186–1201. doi:10.1111/1468-0297.00217.
• Cuthbertson, K., Hayes, S. and Nitzsche, D. (1997). Stock market efficiency. Economic Review, 14(3), pp. 16–19.
• Cuthbertson, K., Gasparro, D. and Thomas, D. (1997). Manufacturing Employment in the UK. Ekonomia, 1(1), pp. 20–47.
• Cuthbertson, K. and Dobbs, I.M. (1996). A robust methodology for Ramsey pricing with an application to UK postal services. JOURNAL OF INDUSTRIAL ECONOMICS, 44(3), pp. 229–247. doi:10.2307/2950495.
• CUTHBERTSON, K.E.I.T.H. and HUDSON, J.O.H.N. (1996). THE DETERMINANTS OF COMPULSORY LIQUIDATIONS IN THE U.K. The Manchester School, 64(3), pp. 298–308. doi:10.1111/j.1467-9957.1996.tb00487.x.
• Cuthbertson, K., Hayes, S. and Nitzsche, D. (1996). The behaviour of certificate of deposit rates in the UK. Oxford Economic Papers, 48(3), pp. 397–414.
• Cuthbertson, K. (1996). The expectations hypothesis of the term structure: The UK interbank market. ECONOMIC JOURNAL, 106(436), pp. 578–592. doi:10.2307/2235564.
• Cuthbertson, K. and Gasparro, D. (1995). Fixed investment decisions in UK manufacturing: The importance of Tobin's Q, output and debt. European Economic Review, 39(5), pp. 919–941. doi:10.1016/0014-2921(93)E0131-4.
• Cavaglia, S., Melas, D., Tsouderos, G. and Cuthbertson, K. (1995). Industrial Action: How choosing industries before countries can greatly improve the performance of equity portfolios. Risk, 8(5), pp. 32–32.
• CUTHBERTSON, K. and NITZSCHE, D. (1994). MACROSYSTEMS - THE DYNAMICS OF ECONOMIC-POLICY - KARAKITSOS,E. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 18(5), pp. 1037–1039. doi:10.1016/0165-1889(94)90044-2.
• BARR, D.G. and CUTHBERTSON, K. (1994). THE DEMAND FOR FINANCIAL ASSETS HELD IN THE U.K. BY THE OVERSEAS SECTOR: AN APPLICATION OF TWO-STAGE BUDGETING. The Manchester School, 62(1), pp. 1–20. doi:10.1111/j.1467-9957.1994.tb00643.x.
• CUTHBERTSON, K. (1994). COINTEGRATION, ERROR-CORRECTION, AND THE ECONOMETRIC-ANALYSIS OF NONSTATIONARY DATA - BANERJEE,A, DOLADO,J, GALBRAITH,JW, HENDRY,DF. MANCHESTER SCHOOL OF ECONOMIC AND SOCIAL STUDIES, 62(1), pp. 110–111.
• CUTHBERTSON, K. and GASPARRO, D. (1993). THE DETERMINANTS OF MANUFACTURING INVENTORIES IN THE UK. ECONOMIC JOURNAL, 103(421), pp. 1479–1492. doi:10.2307/2234478.
• HUDSON, J. and CUTHBERTSON, K. (1993). THE DETERMINANTS OF BANKRUPTCIES IN THE UK - 1971-1988. MANCHESTER SCHOOL OF ECONOMIC AND SOCIAL STUDIES, 61(1), pp. 65–81. doi:10.1111/j.1467-9957.1993.tb00224.x.
• Barr, D.G. and Cuthbertson, K. (1992). A Data Based Simulation Model of the Financial Asset Decisions of UK, 'Other' Financial Intermediaries. Scottish Journal of Political Economy, 39(3) .
• Barr, D.G. and Cuthbertson, K. (1992). Company Sector Liquid Asset Holdings: A Systems Approach. Journal of Money, Credit and Banking, 24(1), pp. 83–97.
• Cuthbertson, K. and Taylor, M.P. (1992). A Comparison of the Rational Expectations and the General-to-Specific Approaches to Modelling the Demand for M1. The Manchester School of Economic & Social Studies, 60(1), pp. 1–22.
• Barr, D.G. and Cuthbertson, K. (1991). An Interdependent Error Feedback Model of UK Company Sector Asset Demands. Oxford Economic Papers, 43(4), pp. 596–611.
• Barr, D.G. and Cuthbertson, K. (1991). A Model of UK Personal Sector Holdings of Capital Uncertain Assets. Journal of Economic Studies, 18, pp. 19–35.
• Barr, D.G. and Cuthbertson, K. (1991). Neoclassical Consumer Demand Theory and the Demand for Money. The Economic Journal, 101(407) .
• Cuthbertson, K. (1991). The Encompassing Implications of Feedforward versus Feedback Mechanisms: A Reply. Oxford Economic Papers, 43(2) .
• Cuthbertson, K. and Barlow, D. (1991). Disequilibrium, Buffer Stocks and Consumers' Expenditure on Non-durables. Review of Economics & Statistics, 73(4) .
• Cuthbertson, K. and Barlow, D. (1990). The Determination of Liquid Asset Holdings of the U.K. Personal Sector. The Manchester School of Economic & Social Studies, 58(4) .
• Cuthbertson, K. and Richards, P. (1990). An Econometric Study of the Demand for First and Second Class Inland Letter Services. Review of Economics & Statistics, 72(4) .
• CUTHBERTSON, K. and TAYLOR, M.P. (1990). THE CASE OF THE MISSING MONEY AND THE LUCAS CRITIQUE. JOURNAL OF MACROECONOMICS, 12(3), pp. 437–454. doi:10.1016/0164-0704(90)90007-W.
• Cuthbertson, K. and Taylor, M.P. (1990). Money demand, expectations, and the forward-looking model. pp. 289–324.
• Cuthbertson, K. (1990). Modelling Expectations: A Review of Limited Information Estimation Methods. Bulletin of Economic Research, 42(1), pp. 1–34.
• Cuthbertson, K. and Taylor, M. (1990). Reply to Goodfriend's comments on "Money demand, expectations and the forward looking model". , 12(2), pp. 323–324.
• Cuthbertson, K. and Taylor, M.P. (1989). Anticipated and Unanticipated Variables in the Demand for M1 in the U.K. The Manchester School of Economic & Social Studies, 57(4) .
• Cuthbertson, K. (1988). Expectations, Learning and the Kalman Filter. The Manchester School of Economic & Social Studies, 56(3) .
• Cuthbertson, K. (1988). The Demand for M1: A Forward Looking Buffer Stock Model. Oxford Economic Papers, 40(1) .
• Cuthbertson, K. and Taylor, M.P. (1987). The Demand for Money: A Dynamic Rational Expectations Model. The Economic Journal, 97(388a), pp. 65–76.
• Cuthbertson, K. and Taylor, M.P. (1986). Monetary Anticipation and the Demand for Money in the U.K.: Testing Rationality in the Shock-Absorber Hypothesis. Journal of Applied Econometrics, 1(4) .
• Cuthbertson, K. (1986). Monetary Anticipations and the Demand for Money: Some UK Evidence. Bulletin of Economic Research, 38(3) .
• Cuthbertson, K. (1986). Price Expectations and Lags in the Demand for Money. Scottish Journal of Political Economy, 33(4) .
• Cuthbertson, K., Foreman-Peck, J. and Gripaios, P. (1983). A Model of Local Authority Fiscal Behaviour: A Reply. Public Finance = Finances publiques, 38(2) .

Editorial Activities (3)

• International Journal of Portfolio Analysis & Management (IJPAM), Member of Editorial Board, 2011 – present.
• Journal of Finance, Financial Management, Journal of Money Credit and Banking, European Journal of Finance etc, Referee, 2004 – present.
• International Journal of Finance and Economics, Editor, 1996 – present.