By William Kinlaw, Mark Kritzman, and David Turkington

Published in the Journal of Portfolio Management, 40^th 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.