Professor Charles Sutcliffe

Profile photo


Professor of Finance

Phone number +44 (0)118 378 8239
Specialism Stock Index Futures, Pension Schemes


Charles Sutcliffe is a professor of finance at the ICMA Centre. Previously he was a professor of finance and accounting at the University of Southampton, and the Northern Society Professor of Accounting and Finance at the University of Newcastle. In 1995-96 and 2003-4 he was a visiting professor at the London School of Economics. He has published in a wide range of refereed journals, and is also the author of nine books. He has acted as a consultant to the Financial Services Authority, the Securities and Investments Board, H.M. Treasury, the Cabinet Office, the Corporation of London, the United Nations, the London Stock Exchange and the London International Financial Futures and Options Exchange.

He has received research grants from the Social Science Research Council, the British Council, the Institute of Chartered Accountants in England and Wales and the Chartered Institute of Management Accountants. He is a member of the editorial boards of the Journal of Futures Markets, the Journal of Business Finance and Accounting, the Journal of Financial Management and Analysis and the European Journal of Finance; and is vice-chairman of the Research Board of the Chartered Institute of Management Accountants. For 2001-2007 he was a director of USS Ltd, which manages a £39 billion pension fund.

Academic Activity


Bhatti-Sinclair, K. and Sutcliffe, C. (2012) What determines the out-of-home placement of children in the USA? Children and Youth Services Review, 34 (9). pp. 1749-1755. ISSN 0190-7409 doi: 10.1016/j.childyouth.2012.05.004

Chen, F. and Sutcliffe, C. (2012) Pricing and hedging short sterling options using artificial neural networks. Intelligent Systems in Accounting, Finance and Management, 19 (2). pp. 128-149. ISSN 1099-1174

Chen, F. and Sutcliffe, C. (2012) Better cross hedges with composite hedging? Hedging equity portfolios using financial and commodity futures. European Journal of Finance. ISSN 1466-4364 doi: 10.1080/1351847X.2011.620253 (In Press)

Bhatti-Sinclair, K. and Sutcliffe, C. (2012) Challenges in identifying factors which determine the placement of children in care? An international review. Child and Adolescent Social Work Journal. ISSN 1573-2797 doi: 10.1007/s10560-012-0293-x (In Press)

Bell, A. R.Brooks, C., Matthews, D. and Sutcliffe, C. (2011) Over the moon or sick as a parrot? The effects of football results on a club's share price. Applied Economics, 44 (26). pp. 3435-3452. ISSN 1466-4283 doi:10.1080/00036846.2011.577017

Sutcliffe, C. (2010) Back to the future: a long term solution to the occupational pensions crisis. Insurance Markets and Companies: Analyses and Actuarial Computations, 1 (2). pp. 11-29. ISSN 2078-2462

Bell, A. and Sutcliffe, C. (2010) Valuing medieval annuities: were corrodies underpriced? Explorations in Economic History, 47 (2). pp. 142-157. ISSN 0014-4983 doi: 10.1016/j.eeh.2009.07.002

Sutcliffe, C. (2006) Merging schemes: an economic analysis of defined benefit pension scheme merger criteria. Annals of Actuarial Science, 1 (02). pp. 203-220. ISSN 1748-5002 doi: 10.1017/S1748499500000130

Sutcliffe, C. (2005) The cult of the equity for pension funds: should it get the boot? Journal of Pension Economics and Finance, 4 (1). pp. 57-85. ISSN 1475-3022 doi: 10.1017/S1474747204001726

Bennell, J. and Sutcliffe, C. (2004) Black-Scholes versus artificial neural networks in pricing FTSE 100 options. International Journal of Finance & Economics, 12 (4). pp. 243-260. ISSN 1099-1158 doi: 10.1002/isaf.254

Sutcliffe, C. (2004) Pension scheme asset allocation with taxation arbitrage, risk sharing and default insurance. British Actuarial Journal, 10 (5). pp. 1111-1131. ISSN 1357-3217

Sun, P. and Sutcliffe, C. (2003) Scheduled announcements and volatility patterns: the effects of monetary policy committee announcements on LIBOR and short sterling futures and options. The Journal of Futures Markets, 23 (8). pp. 773-797. ISSN 1096-9934 doi: 10.1002/fut.10083

Board, J.Sutcliffe, C. and Ziemba, W. T. (2003) Applying operations research techniques to financial markets. Interfaces: An International Journal of the Institute for Operations Research and the Management Sciences, 33 (2). pp. 12-24. ISSN 0092-2102 doi: 10.1287/inte.

Zacharatos, N. and Sutcliffe, C. (2002) Is the forward rate for the Greek drachma unbiased? A VECM analysis with both overlapping and non-overlapping data. Journal of Financial Management and Analysis, 15 (1). pp. 27-37. ISSN 0970-4205

The First Round of the Keynesian Regional Income Multiplier, Scottish Journal of Political Economy, Vol 25, No 2, June 1978, pp 177-186, (with Thea Sinclair), ISSN: 0036-9292.

The Measurement of Seasonality Within the Tourist Industry: An Application to Tourist Arrivals in Spain, Applied Economics, Vol 12, No 4, December 1980, pp 429-441, (with Thea Sinclair), ISSN: 0003-6846.

Inflation and Prisoner's Dilemmas, Journal of Post Keynesian Economics, Vol 4, No 4, Summer 1982, pp 574-585, ISSN: 0160-3477.

Keynesian Income Multipliers with First and Second Round Effects: An Application to Tourist Expenditure, Oxford Bulletin of Economics and Statistics, Vol 44, No 4, November 1982, pp 321-338, (with Thea Sinclair), ISSN: 0305-9049.

Injection Leakages, Trade Repercussions and the Regional Income Multiplier: An Extension, Scottish Journal of Political Economy, Vol 30, No 3, November 1983, pp 275-286, (with Thea Sinclair), ISSN: 0036-9292.

Goal Programming and Allocating Children to Secondary Schools in Reading, Journal of the Operational Research Society, Vol 35, No 8, August 1984, pp 719-730, (with John Board and Paul Cheshire), ISSN: 0160-5682.

A Model for the Financial Appraisal of Electronic Book Security Systems with an Application to Berkshire County Libraries, Library and Archival Security, Vol 6, No 4, Winter 1984, pp 27-42, ISSN: 0196-0075.

Naïve Weighting in Non-Preemptive Goal Programming: Reply, Journal of the Operational Research Society, Vol 36, No 7, July 1985, pp 648-649, (with John Board and Paul Cheshire), ISSN: 0160-5682.

Optimal Portfolio Diversification and the Effects of Differing Intra Sample Measures of Return, Journal of Business Finance and Accounting, Vol 12, No 4, Winter 1985, pp 561-574, (with John Board), ISSN: 0306-686-X.

Designing Secondary School Catchment Areas Using Goal Programming, Environment and Planning A, Vol 18, 1986, pp 661-675, (with John Board), ISSN: 0013-9173.

A Portfolio Approach to Regional Tourism, Built Environment, Vol 13, No 2, 1987, pp 124-137, (with John Board and Thea Sinclair), ISSN: 0263-7960. Reprinted in The Economics of Tourism edited by Clement A. Tisdell, The International Library of Critical Writings in Economics, Edward Elgar Publishing Ltd, Cheltenham, 2000, volume 2, chapter 4, ISBN: 1858-98403-3. 

The Weekend Effect in UK Stock Market Returns, Journal of Business Finance and Accounting, Vol 15, No 2, Summer 1988, pp 199-213, (with John Board), ISSN: 0306-686-X.

Forced Diversification, Quarterly Review of Economics and Business, (subsequently the Quarterly Review of Economics and Finance) Vol 28, No 3, Autumn 1988, pp 43-52, (with John Board), ISSN: 0033-5797.

The Zoning Decision, Educational Management and Administration, Vol 16, No 3, Autumn 1988, pp 187-197, (with John Board), ISSN: 0263-211-X.

The Estimation of Keynesian Income Multipliers at the Sub-National Level, Applied Economics, Vol 20, No 11, November 1988, pp 1435-1444, (with Thea Sinclair), ISSN: 0003-6846. Reprinted in The Economics of Tourism edited by Clement A. Tisdell, The International Library of Critical Writings in Economics, Edward Elgar Publishing Ltd, Cheltenham, 2000, volume 2, ISBN: 1858-98403-3.

Negative Multipliers: A Case for Disaggregated Estimation, Journal of Economic and Social Geography (Tijdschrift voor Economische en Sociale Geografie), Vol. 79, No 2, 1988, pp 104-107, (with Thea Sinclair), ISSN: 0040-747-X.

Ex Ante Testing of Accounting Standards Using Stochastic Models, Accounting and Business Research, Vol 19, No 74, Spring 1989, pp 151-160, (with William Rees), ISSN: 0001-4788.

Truncated Income Multipliers and Local Income Generation Over Time, Applied Economics, Vol 21, No 12, December 1989, pp 1621-1630, (with Thea Sinclair), ISSN: 0003-6846.

Optimal Solution of a Vehicle Routing Problem: Transporting Mentally Handicapped Adults to an Adult Training Centre, Journal of the Operational Research Society, Vol 41, No 1, January 1990, pp 61-67, (with John Board), ISSN: 0160-5682.

Information, Volatility, Volume and Maturity: An Investigation of Stock Index Futures, Review of Futures Markets, Vol 9, No 3, 1990, pp 532-549, (with John Board), ISSN: 0898-011-X.

The Ex Ante Benefits of Solving Vehicle Routing Problems, Journal of the Operational Research Society, Vol 42, No 2, February 1991, pp 135-143, (with John Board), ISSN: 0160-5682.

Risk and Income Tradeoffs in Regional Policy: A Portfolio Theoretic Approach, Journal of Regional Science, Vol 31, No 2, April 1991, pp 191-210. (with John Board), ISSN: 0022-4146.

Aggregation and Reciprocal Service Cost Allocation, Journal of Business Finance and Accounting, Vol 18, No 5, September 1991, pp 721-733, ISSN: 0306-686-X.

Measuring the Incremental Information Content of Accounting Signals: Use of the Singular Value Decomposition, Journal of Business Finance and Accounting, Vol 19, No 3, April 1992, pp 447-454, (with John Board and William Rees), ISSN: 0306-686-X.

Mathematical Modelling and Stochastic Simulation of Accounting Alternatives, Journal of Business Finance and Accounting, Vol 20, No 3, April, 1993, pp 351-358, (with William Rees), ISSN: 0306-686-X.

Quantitative Non-Financial Information and Income Measures: The Case of Long Term Contracts, Journal of Business Finance and Accounting, Vol. 21, No. 3, April, 1994, pp. 331-347, (with William Rees), ISSN: 0306-686-X.

Estimation Methods in Portfolio Selection and the Effectiveness of Short Sales Restrictions: UK Evidence, Management Science, Vol. 40, No. 4, April 1994, pp. 516-534, (with John Board), ISSN: 0025-1909.

The Relative Volatility of the Markets in Equities and Index Futures, Journal of Business Finance and Accounting, Vol. 22, No. 2, March 1995, pp. 201-223, (with John Board), ISSN: 0306-686-X.

The Dual Listing of Stock Index Futures: Arbitrage, Spread Arbitrage and Currency Risk, Journal of Futures Markets, Vol. 16, No. 1, February 1996, pp. 29-54, (with John Board), ISSN: 0270-7314.

Trade Transparency and the London Stock Exchange, European Financial Management. vol, 2, no. 3, November 1996, pp. 355-365, (with John Board), ISSN: 1354-7798

Inventory-Based Stock Market Transparency Rules, Journal of Financial Regulation and Compliance, vol. 5, no. 1, March 1997, pp. 23-28, (with John Board), ISSN: 1363-254-X.

Options Trading When the Underlying Market is Not Transparent, Journal of Futures Markets, vol. 18, no. 2, April 1998, pp. 225-242, (with John Board), ISSN: 0270-7314.

The Performance of Covered Calls, European Journal of Finance, vol. 6. No. 1, March 2000, pp. 1-17 (with John Board and Evangelos Patrinos), ISSN: 1351-847-X.

The Proof of the Pudding: The Effects of Increased Trade Transparency in the London Stock Exchange, Journal of Business Finance and Accounting, vol. 27, nos. 7 & 8, September-October 2000, pp. 887-909. (with John Board), ISSN: 0306-686-X. 

Market Maker Performance: The Search for Fair Weather Market Makers, Journal of Financial Services Research, vol. 17, no. 3, September 2000, pp. 259-276, (with John Board and Anne Vila), ISSN: 0920-8550.

Problems Encountered When Using High Frequency Financial Market Data: Suggested Solutions, Journal of Financial Management and Analysis, vol. 14, no. 1, January-June 2001, pp. 38-51, (with Owain ap Gwilym), ISSN 0970-4205.

The Effect of Futures Market Volume on Spot Market Volatility, Journal of Business Finance and Accounting, vol. 28, nos. 7 & 8, September-October 2001, pp. 799-819, (with John Board and Gleb Sandmann) ISSN: 0306-686-X.

Stock Market Volatility and Stock Index Futures, Stock Exchange Quarterly with Quality of Markets Review, Summer edition, April-June 1992, pp 11-14, (with John Board), ISSN: 0267-1530/0966-4343. Reprinted in Readings in Investments, edited by Stephen Lofthouse, John Wiley and Sons, Chichester, 1994, pp. 403-409. (ISBN 0-471-95208-7).

The Secondary Offer of Genco Shares and the Prevention of Market Manipulation, Stock Exchange Quarterly, Summer edition, April-June 1995, pp. 16-22, (with John Board), ISSN: 0267-1530/0966-4343.

Annuities: Lessons from the Past and Concerns for the Future, The Professional Investor, vol. 19, no. 4, Winter 2009-2010, pp. 26-30 (with Adrian Bell) ISSN-0958-2541.



Board, J.Sutcliffe, C. and Ziemba, W. (2011) Financial markets. In: Gass, S. I. and Fu, M.C. (eds.) Encyclopedia of Operations Research and Management Science. Springer Science and Business Media, Frankfurt. ISBN 9781441911377 (In Press)

Board, J.Sutcliffe, C. and Ziemba, W. (2011) Portfolio theory: mean-variance. In: Gass, S. I. and Fu, M. C. (eds.) Encyclopedia of Operations Research and Management Science. Springer Science and Business Media, Frankfurt. ISBN 9781441911377 (In Press)

Sutcliffe, C. (2010) Should defined benefit pension schemes be career average or final salary? In: Bertocchi, M., Schwartz, S. L. and Ziemba, W. (eds.) Optimizing the ageing, retirement and pensions dilemma. Wiley, Hoboken, New Jersey, pp. 227-258. ISBN 9780470377345

Board, J. L. G.Sutcliffe, C. M. S. and Ziemba, W. T. (2009) Operations research and finance markets. In: Floudas, C. A.and Pardalos, P. M. (eds.) Encyclopedia of Optimization. Springer-Verlag, pp. 2696-2704. ISBN 9780387747583 doi:10.1007/978-0-387-74759-0_466

Board, J. L. G.Sutcliffe, C. M. S. and Ziemba, W. T. (2009) Portfolio selection: Markowitz mean-variance model. In:Floudas, C. A. and Pardalos, P. M. (eds.) Encyclopedia of Optimization. Springer-Verlag, pp. 2990-2996. ISBN 9780387747583 doi: 10.1007/978-0-387-74759-0_513

Board, J. and Sutcliffe, C. (2007) Joined-up pensions policy in the UK: an asset-liability model for simultaneously determining the asset allocation and contribution rate. In: Zenios, S. A. and Ziemba, W. (eds.) Handbook of asset and liability management: applications and case studies. Handbooks in Finance (2). Elsevier , pp. 1029-1067. ISBN 9780444528025

Board, J. and Sutcliffe, C. (2006) Futures and forwards. In: Garrett, I. (ed.) Finance. The Blackwell Encyclopedia of Management (4). Wiley. ISBN 9781405118262

Board, J. and Sutcliffe, C. (2006) Program trading. In: Garrett, I. (ed.) Finance. The Blackwell Encyclopedia of Management (4). Wiley, pp. 159-160. ISBN 9781405118262

Sutcliffe, C. M. S. (2006) Stock index futures. 3rd edition. Innovative Finance Textbooks. Ashgate, pp532. ISBN 9780754641926

Board, J.Sutcliffe, C. and Wells, S. (2002) Transparency and fragmentation: financial market regulation in a dynamic environment. Palgrave, pp320. ISBN 9780333986349


Board, J., Wells, S., Dufour, A. and Sutcliffe, C. (2010) The LSE’s AIM market: effect on returns and trading of Canadian stocks. Report. The Task Force to Modernize Securities Legislation , Canada.

Board, J.Sutcliffe, C. and Wells, S. (2009) The impact of the Credit Crunch on the Sterling Corporate Bond market.Technical Report. Investment Management Association pp69.

Board, J.Dufour, A.Sutcliffe, C. and Wells, S. (2006) A false perception? The relative riskiness of AIM and listed stocks.Discussion Papers. 2006-0. Discussion Paper. University of Reading, Reading. pp40.

Board, J.Sutcliffe, C. and Wells, S. (2004) Distortion or distraction: US restrictions on EU exchange trading screens. City Research Series. 3. Report. Corporation of London



Charles Sutcliffe has received research funding totalling over £500,000. This has come from professional bodies, financial exchanges, financial regulators, UK government bodies, European and international organizations and the UK research councils.