June 1, 2011
Journal Articles
Complimentary CONTENT
Principal Components as a Measure of Systemic Risk
By: Mark Kritzman, State Street Associates
June 1, 2011
By: Mark Kritzman, State Street Associates
Awards Bernstein-Fabozzi/Jacobs-Levy Award
For Outstanding Article in the Journal of Portfolio Management in 2012
By Mark Kritzman, Yuanzhen Li, Sebastien Page, and Roberto Rigobon.
Published in the Journal of Portfolio Management, Summer 2011 recipient of the 2012 Bernstein Fabozzi/Jacobs Levy Outstanding Article Award.
We introduce a method for inferring systemic risk from asset prices, and show how investors might use the absorption ratio as an early warning signal of market stress.
Author Bios
Mark Kritzman
Mark is a founding partner of State Street Associates and senior lecturer at the MIT Sloan School of Management. As the author of seven books and more than 100 research articles, Mark has pioneered new approaches to asset allocation, investment strategy, and predictive analytics. He received the James R. Vertin award from the CFA Institute recognizing the relevance and value of his research to the investment profession. Mark’s contributions provide State Street clients with novel practical methods to improve the effectiveness of predictions and investment processes.
State Street Associates
1. Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010. Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012, 2021, 2023. Harry M. Markowitz Award for Best Paper in the Journal of Investment Management in 2022, 2023. Doriot Award for Best Private Equity Research Paper in 2022.