March 1, 2015
Journal Articles
Complimentary CONTENT
The Divergence of High- and Low-Frequency Estimation - Implications for Performance Measurement
By: William Kinlaw, Mark Kritzman, David Turkington, State Street Associates
March 1, 2015
By: William Kinlaw, Mark Kritzman, David Turkington, State Street Associates
Awards Bernstein-Fabozzi/Jacobs-Levy Award
For Outstanding Article in the Journal of Portfolio Management in 2015
By Will Kinlaw, Mark Kritzman, and David Turkington.
Published in the Journal of Portfolio Management, Spring 2015 and recipient of the 2015 Bernstein Fabozzi/Jacobs Levy Outstanding Article Award.
We document the distortion that non-zero lagged correlations introduce to the Sharpe ratios within a universe of hedge funds, the information ratios of a universe of mutual funds, and the performance of risk parity strategies.
Author Bios
William Kinlaw
William Kinlaw is Executive Vice President and Head of Data Intelligence at State Street Markets
Mark Kritzman
Mark Kritzman is a senior lecturer at MIT Sloan School of Management and a founding partner of State Street Associates
David Turkington
David Turkington is Senior Managing Director and Head of State Street Associates at State Street Markets
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.