The Divergence of High- and Low-Frequency Estimation: Causes and Consequences
By William Kinlaw, Mark Kritzman, David Turkington, State Street Associates
Sep 1, 2014

By William Kinlaw, Mark Kritzman, and David Turkington

Published in the Journal of Portfolio Management, 40th Year Special Anniversary Issue

Financial analysts are often surprised by the extent to which assets that are thought to be strongly correlated diverge over time. We analyze the causes and consequences of the divergence of high- and low-frequency estimation, and we present a framework for constructing portfolios that balance short and long-horizon optimality.

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