Dr Dirk Nitzsche

Associate Professor in Finance, Course Director for the Quants Masters Programmes, Associate Dean for International Relations

Bayes Business School, Faculty of Finance

Contact

Visit Dirk Nitzsche

Room BR3029, Bunhill Row

Postal address

Bayes Business School
106 Bunhill Row
London
EC1Y 8TZ
United Kingdom

About

Overview

Dirk Nitzsche joined Bayes Business School in October 2004 when it was known as Cass Business School as a Senior Lecturer in Finance. Before joining the Business School now known as Bayes he spent 6 years at the Business School at Imperial College, London. After completing his Ph.D. at the University of Newcastle, he worked their in the Department of Economics between 1994 and 1997, before joining City University Business School in 1997 and Imperial College in 1998. Dirk has written numerous articles in refereed journals and recently co-authored four textbooks in finance: Investment: Spot and Derivative Markets (2001), Financial Engineering: Derivatives and Risk Management (2001) and Quantitative Financial Economics (2nd edition)(2004). The latest textbook in Derivatives was published in 2019 by J.Wiley. In 2008 the second edition of the Investment textbook was published. His research interests can broadly be described as asset pricing and efficiency of financial markets and more recently he analyses the performance of mutual funds and hedge funds. A list of publications and more information about his textbooks can be found on the home page.

Qualifications

BA and PhD (Newcastle).

Languages

German.

Expertise

Primary topics

  • Asset Pricing
  • Financial Markets
  • Fund Management

Additional topics

  • Financial Economics
  • Pension Funds

Geographic Areas

  • Europe

Research

Over the last few years my research has focused on the analysis of the performance of the mutual fund industry in the UK and Germany. Here I applied advanced statistics such as bootstrapping to distinguish whether the performance can be explianed by luck or skill. I have calculated the False Discovery Rate, a new metrics used in finance for multiple test and I have also performed non-parametric market timing (and other style timing) tests.

The research is of interest to both academics and practitioners and has attrached some media interest.

Research topics

Persistence in Mutual Fund Performance in the US and other countries

Analysing the performance of the investment trust industry in the UK

Research students

Attendance: Jan 2005 – Dec 2006, part-time

Role: 2nd Supervisor

Pari Thirnchai

Attendance: 1999 – 2003

Publications

Books (5)

  1. Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2019). Derivatives Theory and Practice. John Wiley & Sons. ISBN 978-1-119-59559-5.
  2. Cuthbertson, K. and Nitzsche, D. (2009). Investments. John Wiley & Sons. ISBN 978-0-470-51956-1.
  3. Nitzsche, D. and Cuthbertson, K. (2005). Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange. John Wiley and Sons. ISBN 978-0-470-09172-2.
  4. Nitzsche, D. and Cuthbertson, K. (2001). Investments : Spot and Derivatives Markets. J. Wiley and Sons. ISBN 978-0-471-49583-3.
  5. Cuthbertson, K. and Nitzsche, D. (2001). Financial Engineering: Derivatives and Risk Management. Wiley. ISBN 978-0-471-49584-0.

Chapters (4)

  1. Cuthbertson, K. and Nitzsche, D. (2004). Capital Allocation. The Professional Risk Managers’ Handbook (PRMIA Training Manual) The Professional Risk Managers’ International Association (PRMIA).
  2. Cuthbertson, K. and Nitzsche, D. (2004). The CAPM. The Professional Risk Managers’ Handbook (PRMIA Training Manual) The Professional Risk Managers’ International Association (PRMIA).
  3. 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.
  4. 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.

Conference papers and proceedings (8)

  1. Nitzsche, D. and Cuthbertson, K. (2013). Performance, Stock Selection and Market timing of the German Equity Mutual Fund Industry. HELORS 2013 - Hellenic Operational Research Society Annual Conference 26-28 September, Agios Nikolaos (Crete).
  2. Nitzsche, D. and Cuthbertson, K. (2011). Winners and Loser : German Equity Mutual Funds. WEAI Biannual Pacific Rim Conference Brisbane (Australia).
  3. Nitzsche, D., Cuthbertson, K. and O'Sullivan, N. (2008). False Discoveries in UK Mutual Fund Performance. Multinational Finance Orlando.
  4. Nitzsche, D., Cuthbertson, K. and O'Sullivan, N. (2007). Mutual Fund Performance : Skill or Luck ? Reading, ICMA Center Reading.
  5. Nitzsche, D., Cuthbertson, K. and O'Sullivan, N. (2007). Mutual Fund Performance : Skill or Luck ? Western Economic Association Seattle.
  6. Nitzsche, D., Cuthbertson, K. and O'Sullivan, N. (2006). Mutual Fund Performance : Skill or Luck ? European Financial Management Association Madrid.
  7. Nitzsche, D., Cuthbertson, K. and O'Sullivan, N. (2005). Mutual Fund Performance : Skill or Luck ? Global Finance Conference Dublin, Ireland.
  8. Nitzsche, D., Cuthbertson, K. and O'Sullivan, N. (2005). Mutual Fund Performance : Skill or Luck ? Money, Macro and Finance Crete , Greece.

Journal articles (39)

  1. Cuthbertson, K., Nitzsche, D. and O’Sullivan, N. (2023). UK mutual funds: performance persistence and portfolio size. Journal of Asset Management, 24(4), pp. 284–298. doi:10.1057/s41260-023-00310-7.

    [publisher’s website]

  2. Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2022). Mutual fund performance persistence: Factor models and portfolio size. International Review of Financial Analysis, 81. doi:10.1016/j.irfa.2022.102133.
  3. Clare, A., Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2021). How skilful are US fixed-income fund managers? International Review of Financial Analysis, 74, pp. 101673–101673. doi:10.1016/j.irfa.2021.101673.

    [publisher’s website]

  4. Afonin, A., Bredin, D., Cuthbertson, K., Muckley, C. and Nitzsche, D. (2018). Carbon portfolio management. International Journal of Finance and Economics, 23(4), pp. 349–361. doi:10.1002/ijfe.1620.
  5. Bathia, D., Bredin, D. and Nitzsche, D. (2016). International Sentiment Spillovers in Equity Returns. International Journal of Finance & Economics, 21(4), pp. 332–359. doi:10.1002/ijfe.1549.

    [publisher’s website]

  6. Hayley, S., Nitzsche, D. and Cuthbertson, K. (2016). Market and Style Timing: German Equity and Bond Funds. European Financial Management, 22(4), pp. 667–696. doi:10.1111/eufm.12080.
  7. 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.

    [publisher’s website]

  8. 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.
  9. 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.

    [publisher’s website]

  10. 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.

    [publisher’s website]

  11. Cuthbertson, K. and Nitzsche, D. (2013). Winners and losers: German equity mutual funds. The European Journal of Finance, 19(10), pp. 951–963. doi:10.1080/1351847x.2012.684098.

    [publisher’s website]

  12. 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.
  13. 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.
  14. Nitzsche, D. and Cuthbertson, K. (2011). Winners and Losers : German Equity Mutual Funds. Cass Working Paper.
  15. 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.
  16. 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.
  17. 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.
  18. Bredin, D., Hyde, S., Nitzsche, D. and O'Reilly, G. (2009). European monetary policy surprises: The aggregate and sectoral stock market response. International Journal of Finance and Economics, 14(2), pp. 156–171. doi:10.1002/ijfe.341.
  19. 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.
  20. 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.
  21. 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.
  22. Bredin, D., Hyde, S., Nitzsche, D. and O'Reilly, G. (2007). UK stock returns and the impact of domestic monetary policy shocks. Journal of Business Finance and Accounting, 34(5-6), pp. 872–888. doi:10.1111/j.1468-5957.2006.02001.x.
  23. Bredin, D., Hyde, S., Nitzsche, D. and O'reilly, G. (2007). Monetary policy and asset prices. JOURNAL OF BUSINESS FINANCE & ACCOUNTING, 34(5-6), pp. 872–888. doi:10.1111/j.1468-5957.2006.02001.x.
  24. Nitzsche, D., Cuthbertson, K. and Hyde, S. (2007). Monetary Policy and Behavioural Finance. Journal of Economic Surveys, 21, pp. 935–969.
  25. Nitzsche, D., Bredin, D., Hyde, S. and O'Reilly, G. (2007). UK Stock Returns and the Impact of Domestic Monetary Policy Shocks. Journal of Business Finance and Accounting, 34, pp. 872–888.
  26. 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.
  27. Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2005). Most Mutual Funds Rely on Luck Not Skill. Financial Times.

    [publisher’s website]

  28. Nitzsche, D., Hyde, S. and Cuthbertson, K. (2005). Resuscitating the C-CAPM: Empirical Evidence from France and Germany. International Journal of Finance and Economics, 10, pp. 337–358.
  29. 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.
  30. 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.
  31. Cuthbertson, K. and Nitzsche, D. (2003). When Public Sector Meets Private. Finance Today, 2003(5).
  32. 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.
  33. 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. doi:10.1111/1468-0084.00126.
  34. 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. doi:10.1016/s1062-9769(99)80001-5.
  35. 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. doi:10.1111/1467-9957.00087.
  36. 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. doi:10.1111/j.1468-0297.1997.tb00003.x.
  37. Cuthbertson, K., Hayes, S. and Nitzsche, D. (1997). Stock market efficiency. Economic Review, 14(3), pp. 16–19.
  38. 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. doi:10.1093/oxfordjournals.oep.a028575.
  39. Cuthbertson, K. and Nitzsche, D. (1994). Macro systems: The dynamics of economic policy. Journal of Economic Dynamics and Control, 18(5), pp. 1037–1039. doi:10.1016/0165-1889(94)90044-2.

    [publisher’s website]

Reports (8)

  1. Nitzsche, D. and Cuthbertson, K. (2005). Live Today - Pay Tomorrow or Pay Today - Live Tomorrow..
  2. Nitzsche, D. and Cuthbertson, K. (2004). Capital Allocation..
  3. Nitzsche, D. and Cuthbertson, K. (2004). Forward and Futures Markets..
  4. Nitzsche, D. and Cuthbertson, K. (2004). The CAPM..
  5. Nitzsche, D. and Cuthbertson, K. (2003). Derivatives and the Insurance Sector..
  6. Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. False Discoveries: Winners and Losers in Mutual Fund Performance. Elsevier BV.
  7. Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. The Market Timing Ability of UK Equity Mutual Funds. Elsevier BV.
  8. Nitzsche, D., Cuthbertson, K. and O'Sullivan, N. Mutual Fund Performance. Elsevier BV.

Scholarly edition

  1. Nitzsche, D., Cuthbertson, K. and O'Sullivan, N. (2005). Money Macro and Finance (MMF) Research Group Conference 2005: Mutual Fund Performance: Skill Or Luck?

Working paper

  1. Cuthbertson, K., Hayley, S., Motson, N.E. and Nitzsche, D. (2015). Diversification Returns, Rebalancing Returns and Volatility Pumping.

Education

Course Directorship

- 2006 - present, MSc Quantitative Finance, Director
- 2006 - present, MSc Financial Mathematics, Director
- 2015 - present, International Relations, Associate Dean

Subject/Academic Leadership

Since 2012 the MSc Quantitative Finance is also being offered as a joint version program together with Singapore Management University. Students study the first and third term in Singapore and the second term in London. I am also the program director for this MQF program.

Professional activities

Editorial activity

  1. European Journal of Finance, Associate Editor, 2012 – 2014.

Events/conferences (12)

  1. (Seminar) Porto/Portugal (2013). Invited speaker.
    Paper: Performance, Stock Selection and Market Timing of the German Equity Mutual Fund Industry
    Author: Nitzsche D
    Co-authors: Cuthbertson, K.
  2. WEAI Conference. (Conference) San Francisco, California (USA) (2012). Invited speaker.
    Paper: Winners and Loser : German Equity Mutual Funds
    Author: Nitzsche D
    Co-authors: Cuthbertson, K.
  3. (Workshop) Cologne (Germany) (2011). Invited speaker.
    Paper: Performance, Stock Selection and Market Timing of the German Equity Mutual Fund Industry
    Author: Nitzsche D
    Co-authors: Cuthbertson, K.
  4. WEAI Biannual Pacific Rim Conference. (Conference) Brisbane (Australia) (2011).
    Paper: Winners and Loser : German Equity Mutual Funds
    Author: Nitzsche D
    Co-authors: Cuthbertson, K
  5. HELORS Annual Conference. (Conference) Agios Nikolaos (Crete) (2010).
    Paper: Performanbce, Stock Selection and Market timing of the German Equity Mutual Fund Industry
    Author: Nitzsche D
    Co-authors: Cuthbertson, K
  6. Multinational Finance. (Conference) Orlando, Florida (USA) (2008).
    Paper: False Discoveries in UK Mutual Fund Performance
    Author: Nitzsche D
    Co-authors: Cuthbertson, K. and O'Sullivan, N.
  7. Western Economic Association. (Conference) Seattle (2007). Session/Day Chair.
  8. Reading, ICMA Center. (Seminar) Reading (2007). Invited speaker.
    Paper: Mutual Fund Performance : Skill or Luck ?
    Author: Nitzsche D.
    Co-authors: Cuthbertson, K. and O'Sullivan, N.
  9. Western Economic Association. (Conference) Seattle (2007).
    Paper: Mutual Fund Performance : Skill or Luck ?
    Author: Nitzsche D
    Co-authors: Cuthbertson, K. and O'Sullivan, N.
  10. European Financial Management Association. (Conference) Madrid (2006).
    Paper: Mutual Fund Performance : Skill or Luck ?
    Author: Nitzsche D
    Co-authors: Cuthbertson, K. and O'Sullivan N.
  11. Money, Macro and Finance. (Conference) Crete , Greece (2005).
    Paper: Mutual Fund Performance : Skill or Luck ?
    Author: Nitzsche D
    Co-authors: Cuthbertson, Keith and O'Sullivan N.
  12. Global Finance Conference. (Conference) Dublin, Ireland (2005).
    Paper: Mutual Fund Performance : Skill or Luck ?
    Author: Nitzsche D
    Co-authors: Cuthbertson, K and O'Sullivan N.

Media appearances (27)

  1. Episode 176 - Investing in mutual funds. (2014) Money Science.
  2. Guesswork in economic policy. (2013) The Guardian (newspaper).
  3. Guesswork in economic policy. (2013) The Guardian (newspaper).
  4. Romantic notions about the Lords. (2012) The Guardian (newspaper).
  5. Romantic notions about the House of Lords. (2012) www.guardian.co.uk (website).
  6. Naked greed and moral purpose. (2011) Guardian (newspaper).
  7. Knapp ein Prozent schaffen Uberrendite. (2010) Borse Online (website).
  8. (2010) Borse Online (website).
  9. (2009) BBC World Service TV (television).
  10. (2009) Bloomberg.
  11. Bank may open floodgates in test of confidentiality. (2009) www.gulfnews.com (website).
  12. Obama nimmt welweit Steueroasen unter die Lupe. (2009) Stuttgarter Nachrichten (newspaper).
  13. Swiss financial giant UBS to release thousands of American names in tax-evasion scandal. (2009) www.nydailynews.com (website).
  14. (2009) www.app.com (website).
  15. (2009) Bloomberg.
  16. UBS may 'open floodgates' of tests to bank secrecy. (2009) www.bloomberg.com (website).
  17. Retailer investors advised to pick trackers. (2008) Financial Times (newspaper).
  18. (2008) Bloomberg.
  19. (2008) Bloomberg TV (television).
  20. (2008) Bloomberg.
  21. Trackers hold their own against active managers. (2008) Financial Times (newspaper).
  22. US congressional investigators head to the Cayman Islands. (2008) www.caribbeannetnews.com (website).
  23. (2008) Bloomberg.
  24. Congress investigators head to Cayman tax haven. (2008) www.nytimes.com (website).
  25. Congress investigators head to Cayman tax haven. (2008) www.aol.com (website).
  26. Congress investigators head to Cayman tax haven. (2008) www.forbes.com (website).
  27. Credit squeeze's potential ripple effects. (2008) Christian Science Monitor.