Join us for the 2023 State Street Summer Sessions Webinar Series

Time to review the fundamentals of finance and investing! Even ...

By Megan Czasonis, Mark Kritzman, and David Turkington

We measure investment returns based on the passage of meaningful events rather than just counting the days. 

From a calendar perspective, every day or month is the same as any other day or month. However, from an event perspective, some periods are more meaningful than others. For example, we arguably experienced more in the Covid-induced upheaval of March 2020 than we do in most years. For investors, meaningful events are important, because they may cause asset prices to change. Based on thi...

By Mark Kritzman, Cel Kulasekaran, and David Turkington.

We introduce a more flexible way to forecast risk and return based on the most relevant historical periods.

As economic regimes shift, investors who choose to adapt must build portfolios that match their evolving view of the future. Forecasts of asset risk and return should account for regime-specific ...

By Rajeev Bhargava, Xiaoxia Lou, Gideon Ozik, Ronnie Sadka and Travis Whitmore 

We introduce a unique media-based measure of narratives, called thematic indicators, and explore how they can be used to improve asset allocation and achieve desired thematic exposures.

This paper introduces a media-coverage-based approach to quantify narratives and develops methodologies to explain the extent to...

By Megan Czasonis, Huili Song, and David Turkington

We use a statistical method that combines a stock’s attributes in a nonlinear and conditional way in order to predict its relative vulnerability or resilience to market drawdowns.

By definition, a stock market crash corresponds to a severe, market-wide drawdown. However, below the surface, there is often considerable dispersion in th...

By Alexander Cheema-Fox, George Serafeim, and Hui (Stacie) Wang

Beyond carbon avoidance. A look at investing in firms with “pure-play” climate solutions.

An increasing number of companies are providing products and services that help reduce carbon emissions in the economy. We develop a methodology to identify “pure-play” climate solutions companies and construct portf...

By Megan Czasonis, Mark Kritzman, and David Turkington

Statistics and intuition converge with the concept of “relevance”.

We introduce a prediction system based on assessing the relevance of prior outcomes for future predictions, and describe the advantage it brings to both simple and complex quant models.

By Rajeev Bhargava, Xiaoxia Lou, Gideon Ozik, Ronnie Sadka and Travis Whitmore 

We introduce a unique media-based measure of narratives, called thematic indicators, and explore how they can be used to improve asset allocation and achieve desired thematic exposures.

This paper introduces a media-coverage-based approach to quantify narratives and develops methodologies to explain the extent to...

Time to review the fundamentals of finance and investing! Even the most sophisticated investors can benefit from an occasional tune up. Watch replays from the 2022 State Street Summer Sessions webinar series, where our team of academic and industry experts went back to basics and covered the core principles of modern investing. Connecting theory to practice, our presenters put trends like in...