Imperial College London

Dr Farouk Jivraj

Business School

Casual - Visiting Lecturer



farouk.jivraj01 Website




Floor 553 Prince's GateSouth Kensington Campus





Publication Type

8 results found

Shiller RJ, Black L, Jivraj F, 2020, CAPE and the COVID-19 pandemic effect, Publisher: Elsevier BV

Campbell & Shiller’s Cyclically-Adjusted-Price to Earnings ratio (CAPE), is well-known to characterize the strong relationship between an inflation adjusted earnings-price ratio and subsequent long-term returns, as first highlighted in their 1988 paper "stock prices, earnings and expected dividends". It has now become an often cited and followed measure of long-term equity market valuation.In this paper, we specifically examine how the ¢ape ratio has behaved over the COVID-19 pandemic period, referred to as the pandemic for shorthand hereafter, and we also extend our analysis beyond the United States (US) equity benchmark, to also look at the CAPE ratios for the United Kingdom (UK), Europe, Japan and China, to analyse the effect of the pandemic across the major equity markets globally. We investigate the CAPE ratios of these equity markets relative to the respective long-term interest rates markets and develop a measure which may be revealing to understand the current demand for equities relative to the alternative of long-term bonds.With the CAPE ratio now synonymous with long-term equity market valuations, its use as a tool to forecast equity market returns to form return expectations for the equities part of the portfolio is now relatively commonplace. As such, we show changes in such return expectations pre-pandemic versus current, across the regions, to highlight the impact of pandemic. An extension to this forecast was presented in Shiller (2015) where excess real returns of stocks over bonds were found to be influenced by both CAPE and real long-term interest rates, where this relationship had an R2 of 0.41. We therefore also extend the forecasts made to investigate the changes in excess real return of stocks over bonds pre-pandemic versus current, across the major equity markets to try and shed light on investors' strong preferences for equites over bonds during this pandemic.Lastly, to dissect some of the driving forces of the respe

Working paper

Iqbal M, Jivraj F, Angelini L, 2019, Systematic 13F hedge fund alpha, Publisher: Elsevier BV

Institutions holding greater than $100 million in securities are required to disclose their holdings in US listed stocks to the Securities and Exchange Commission (SEC) no later than 45 days after the quarter-end, in a form known as 13F. We show that the "best ideas" of hedge funds produce economically meaningful and statistically significant risk-adjusted returns that outperform the S&P500, following tests identified in Cohen, Polk, and Silli (2010). We construct alternative measures that are more suitable for hedge funds, rather than mutual funds: conviction and consensus. We find that to systematically identify hedge fund alpha in the 13F filings, one must select the right group of managers that have longer-term views on stock picks. We construct a trading strategy that combines conviction and consensus of such managers that outperforms the S&P500 by 3.80% on average and delivers a Sharpe ratio of 0.75 over the period Q1 2004 to Q2 2019.

Working paper

Biffis E, Jivraj F, Kosowski R, 2012, Pension funds and stock-bond correlation risk: The case for a correlation swap

Book chapter

Jivraj F, Kosowski R, 2012, Changing expectations and the correlation of stocks and bonds, Publisher: Working paper

Book chapter

Jivraj F, 2012, Stock-bond correlation and out-of-sample portfolio performance using analyst forecasts

Book chapter

Jivraj F, Bond A, Varvill R, Paniagua Get al., 2007, The Scimitar Precooled Mach 5 Engine, 2nd European Conference for Aerospace Sciences (EUCASS)

Conference paper

Bottini H, Jivraj F, Strub A, Paris S, Fletcher D, Asma Cet al., 2007, Inducer-Inducer Transition in Hypersonic Boundary Layers, Reno, Nevada, Publisher: American Institute of Aeronautics and Astronautics

Conference paper

Jivraj F, Galvanetto U, 2005, Dynamic Analysis & Testing of a Spacecraft/Probe Model, 56th International Astronautical Congress (IAF), Fukuoka, Japan, Publisher: American Institute of Aeronautics and Astronautics

Conference paper

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