September 1, 2014
Journal Articles
Complimentary CONTENT
The Divergence of High- and Low-Frequency Estimation: Causes and Consequences
By: William Kinlaw, Mark Kritzman, David Turkington, State Street Associates
September 1, 2014
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 2014
By William Kinlaw, Mark Kritzman, and David Turkington
Published in the Journal of Portfolio Management, 40th Year Special Anniversary Issue and recipient of the 2014 Bernstein Fabozzi/Jacobs Levy Outstanding Article Award.
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.
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.