News from CEAM

Inflation hit decades-long highs in 2022, and easing is historically very slow from such levels, says new report co-authored by Elroy Dimson of Cambridge Judge Business School.

Top awards granted at the European Investment Forum organised by the Centre for Endowment Asset Management at Cambridge Judge Business School and FTSE Russell, a London Stock Exchange Group (LSEG) company. A paper on environmental activist investing and a presentation on the value of privacy for individuals won top awards at the European Investment Forum in Cambridge, which was organised by the Centre for Endowment Asset Management (CEAM) at Cambridge Judge Business School and FTSE Russell, an LSEG business. The 12-14 September Forum showcased innovative ideas across the natural and social sciences, and explored such ideas as quantum computing, digital currency opportunities and challenges, and sustainable investing. An integral part of the Forum is a research competition for early career academics, with 97 entrants competing for an opportunity to present at the event. Two winners were selected from the finalists and awarded for best paper prize and best presentation. The Best Paper award was won by Lakshmi Naaraayanan, Assistant Professor of Finance at London Business School, for a study entitled "The Real Effects of Environmental Activist Investing". "Using plant-level data, we find that targeted firms reduce their toxic releases, greenhouse gas emissions, and cancer-causing pollution," says the study. "Improvements in air…

The outperformance of US equity markets in the last century has continued in the 21st century, says a new study co-authored by Elroy Dimson of Cambridge Judge Business School.

Research paper co-authored at Cambridge Judge Business School on how investors can influence companies on environmental and social issues is named best paper in the annual Brandes Institute Prize.

Study of four Cambridge and Oxford Colleges co-authored at Cambridge Judge Business School shows that long-term property investment is less profitable than previously thought.

Following high returns in the 1980s and 1990s, real equity returns have since been below historical averages despite pandemic recovery, says Credit Suisse Yearbook co-authored by Professor Elroy Dimson from Cambridge Judge Business School.

Paper co-authored by Professor Elroy Dimson of Cambridge Judge Business School on environmental, social and governance investment ratings wins Best Article award from the Journal of Portfolio Management.

University endowments use their long-term perspective to invest countercyclically at times of stock-market crisis, says new study at the Centre for Endowment Asset Management at Cambridge Judge Business School.

The next generation will face real investment returns of only two per cent based on historical data, says Professor Elroy Dimson. The "Generation Z" born between the mid-1990s and early 2010s will likely face a future of very low annualised real investment returns of about two per cent, Professor Elroy Dimson of Cambridge Judge Business School told a webinar organised by the CFA Institute. The presentation by Elroy, Chairman of the Centre for Endowment Asset Management at Cambridge Judge, is based on historical data in his co-authored comprehensive global review of investment returns in 23 different countries, which now covers 120 years from 1900 through 2019. He updates the study annually with his co-authors Professor Paul Marsh and Dr Mike Staunton of London Business School. "We are in a world where, looking forward, you can expect a typical investment portfolio to beat inflation by only two per cent," Elroy told the CFA Institute webinar, which attracted an online audience of global investment professionals. The Baby Boom generation born just after World War II enjoyed "remarkably" good annualised real (after inflation) returns of seven per cent for equities and 3.5 per cent for government bonds; the following Generation X has seen…

Market volatility to COVID-19 crisis second only to 1987 stock market crash over past 120 years. Stock market volatility during the COVID-19 crisis has been second only to the October 1987 stock market crash over the past 120 years, Professor Elroy Dimson of Cambridge Judge Business School told a webinar "Financial History’s Lessons for Present-Day Investors" organised by the CFA Institute. Global equity markets over the past three months slumped sharply before recovering strongly; the Standard & Poor’s 500 index fell 8.4 per cent in February and 12.5 per cent in March, followed by a gain of 12.7 per cent in April. Drawing on a 120-year study of global markets he co-authored, Elroy said that markets tend to return to their historical levels of volatility in a very short time: on average, it has taken 87 trading days from the top spike of volatility to return all the way back to the long-term mean, and only nine trading days to return to the halfway mark. "It is an astonishingly short period of time if you wanted to be an active investor when you see an opportunity and the market's very volatile,” said Elroy, Chairman of the Centre for Endowment Asset…

It will take a while to see how the current stock market downturn rivals historical crashes, says Professor Elroy Dimson in a new podcast. The current slump in world stock markets is substantial, though not as severe as past crashes related to oil, credit and tech over recent decades. But it’s too early to draw long-term conclusions, says Professor Elroy Dimson of Cambridge Judge Business School. Asked by host Robin Powell of The Evidence Based Investor blog whether recent stock market swings have been more volatile than in previous downturns, Elroy, Chairman of the Centre for Asset Management at Cambridge Judge, said the answer is "unfortunately sort of yes and no". "At one level markets respond faster and faster to pieces of news because news travels very quickly," he told the blog’s podcast, posted on 31 March. "But on the other hand, if we ask ourselves what we really care about in terms of downsides in the market. It’s not vibration from one day or one week to the next – it’s what might happen if you go through a protracted down period" such as the credit crash of 2007, tech crash in 2001 after the dotcom boom, or oil shock of the 1970s. Over…

Credit Suisse Global Investment Returns Yearbook 2020, co-authored by Professor Elroy Dimson of Cambridge Judge Business School, finds that equities remain the best long-term investment. The Credit Suisse Global Investment Returns Yearbook 2020, co-authored by Professor Elroy Dimson of Cambridge Judge Business School, finds that equities remain the best long-term investment and they performed especially well over the past decade. The Yearbook, issued 25 February, found that global equities have provided an annualised real (after inflation) return of 5.2 per cent over the past 120 years, compared to 2.0 per cent for bonds and 0.8 per cent for bills. Over the past decade, global equities had an annualised real return of 7.6 per cent compared with a real return of 3.6 per cent from bonds. The Yearbook looks at return and risk from investing in equities, bonds, cash and currencies in 23 countries since 1900. It is authored by Professor Elroy Dimson, Chairman of the Centre for Endowment Asset Management at Cambridge Judge, and by Professor Paul Marsh and Dr Mike Staunton of London Business School. The 2020 Yearbook, published by the Credit Suisse Research Institute, includes a new dedicated chapter on environmental, social and governance (ESG) investing. The authors…