Keynes the Stock Market Investor: A Quantitative Analysis

Chambers, David; Dimson, Elroy; Foo, Justin

doi:10.1017/s0022109015000186

Cited by 36 publications

(25 citation statements)

References 59 publications

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“…Our results show that the value strategy yielded negative excess returns across both the 1920s and 1930s and are available upon request. 22 See Chambers et al (2015) for details.…”

Section: Profitability Of Technical Currency Strategiesmentioning

confidence: 99%

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If You're So Smart: John Maynard Keynes and Currency Speculation in the Interwar Years

Accominotti¹,

Chambers²

2016

J. Econ. Hist.

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This article explores the risks and returns to currency speculation during the 1920s and 1930s. We study the performance of two well-knowntechnicaltrading strategies (carry and momentum) and compare them with that of afundamentals-basedtrader: John Maynard Keynes. Technical strategies were highly profitable during the 1920s and even outperformed Keynes. In the 1930s, however, both technical strategies and Keynes performed relatively poorly. While our results reveal the existence of profitable opportunities for currency traders in the interwar years, they suggest that such profits were necessary compensation for enduring the substantial risks that all strategies entailed.

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“…Our results show that the value strategy yielded negative excess returns across both the 1920s and 1930s and are available upon request. 22 See Chambers et al (2015) for details.…”

Section: Profitability Of Technical Currency Strategiesmentioning

confidence: 99%

“…Keynes actively invested in stocks for his Cambridge College (Chambers and Dimson 2013;Chambers et al 2015). A second question is whether his currency returns diversified his stock returns at all.…”

Section: Keynes' Currency and Stock Tradingmentioning

confidence: 99%

If You're So Smart: John Maynard Keynes and Currency Speculation in the Interwar Years

Accominotti¹,

Chambers²

2016

J. Econ. Hist.

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“…Having decided to change his investment method, in 1938 Keynes explained that he considered a patient buy-and-hold approach to be the best way to invest but that this approach was challenging for most investment organizations to follow: (Moggridge, 1983, p.166-107, 109) As Chambers, Dimson, and Ilmanen (2012) emphasize, a large, perpetual endowment has a comparative advantage in buying for the long term, and in providing liquidity to the market by avoiding pro-cyclical behavior. Such investors should be able to exploit their comparative advantage in sticking to a well-considered investment strategy around which a prior consensus in the investment committee and within the investment organization has emerged.…”

Section: The Need For a Long Viewmentioning

confidence: 99%

Keynes, King's and Endowment Asset Management

Chambers¹,

Dimson²,

Foo³

2014

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stock-picking approach in the early 1930s allowed him to maintain his commitment to equities when the market fell sharply once more in 1937-1938. In so doing, he provides an excellent example of the natural advantages that accrue to such long-horizon investors as university endowments in being able to behave in a contrarian manner during economic and financial market downturns. King's, one of the thirty-one Cambridge Colleges, was founded in 1441 by King Henry VI and lavishly endowed with agricultural real estate that stretched the length and breadth of England. Famous Kingsmen other than John Maynard Keynes include Sir Francis Walsingham, secretary of state and organizer of Queen Elizabeth I's spy service; Sir Robert Walpole, prime minister; Alan Turing, the father of modern computing; and the novelists E. M. Forster and Salman Rushdie. For centuries, their agricultural estates formed the bulk of the endowment assets of the oldest Colleges and King's was no exception. When Keynes became involved in the management of King's endowment just after World War I, he immediately undertook a substantial reallocation of the portfolio away from real estate into the new asset class, equities. At the time, other institutional investors remained reluctant to follow suit and it was not until after Keynes's death that they began to follow his example. Oxford and Cambridge ("Oxbridge") Colleges have a natural concern for preserving their wealth for future generations (Tobin 1974) and are the ultimate long-horizon investors. Keynes spotted an opportunity for such patient, long-term investors to make a substantial allocation to equities, an innovation at least as radical as the commitment to alternative assets in the late twentieth century by Yale and Harvard. He selected an asset mix for King's consistent with the implications of standard models of consumption and portfolio choice that were to appear many decades later, as described, for example, by Campbell and Viceira (2002). Keynes can justly be regarded as among the first institutional equity investors. This chapter describes why Keynes held strong views about equities and how he changed his investment approach to the benefit of lower transaction costs. We also highlight how King's benefitted from earning an emerging risk premium on UK equities despite the economic turbulence of the 1930s, as well as additional risk premia obtained through tilting the portfolio toward both value and smaller-capitalization stocks. His investment strategy benefitted the endowment considerably, to the extent that upon his death King's had at least drawn level with Trinity, the richest of the Cambridge Colleges. In the post-Keynes era, the endowment has had a more checkered history, illustrating the challenges in trying to emulate Keynes's unconventional investment approach. The chapter begins with a summary of Keynes's various investing roles in section 4.2. Section 4.3 describes our data, followed by a discussion of endowment asset management before Keynes in section 4.4. We then review Keynes'...

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“…Notwithstanding these difficulties, Keynes the investor has recently attracted the attention of several scholars and quite a few articles have come out in the last six years (Fantacci et al 2010;Holder and Kent 2011;Boyle et al 2012;Marcuzzo 2012;Chambers and Dimson 2013;2015;Wasik 2013;Woods 2013;Cristiano and Naldi 2014;Chambers et al 2015a;2015b;Accominotti and Chambers 2016;Chambers and Kabiri 2016;Marcuzzo and Sanfilippo 2016;Cristiano et al 2017;Foresti and Sanfilippo 2017;Marcuzzo and Rosselli 2018), adding to the hitherto sparse literature on the subject (Davenport 1975;Chua and Woodward 1983a;1983b;Pierce 1993;Mini 1995), besides of course the editorial notes in Vol XII of Keynes's Collected Writings (Moggridge 1983), which still remain the main and most authoritative reference.…”

Section: Introductionmentioning

confidence: 99%

John Maynard Keynes: the economist as investor*

Cristiano

Marcuzzo

2018

Review of Keynesian Economics

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Keynes the investor has recently attracted the attention of several scholars and quite a few articles have come out in the last six years. A description of Keynes's dealings has emerged, assessing his performance as an investor as superior but not as stellar as had previously been believed. However, overall evaluation of Keynes's performance is still lacking. This paper contributes to this growing literature by filling some of the gaps, especially in relation to Keynes's investment philosophy and economic theory, and by undertaking a more comprehensive review of the available evidence, drawing on some unpublished sources which have not as yet been fully exploited.

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Keynes the Stock Market Investor: A Quantitative Analysis

Cited by 36 publications

References 59 publications

If You're So Smart: John Maynard Keynes and Currency Speculation in the Interwar Years

If You're So Smart: John Maynard Keynes and Currency Speculation in the Interwar Years

Keynes, King's and Endowment Asset Management

John Maynard Keynes: the economist as investor*

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