mkritzman

About Mark Kritzman

MARK KRITZMAN, CFA is a Founding Partner and Chief Executive Officer of Windham Capital Management, LLC and the Chairman of Windham’s investment committee. He is responsible for managing research activities and investment advisory services. He is also a Founding Partner of State Street Associates, and he teaches a graduate course at the Massachusetts Institute of Technology. Mark served as a Founding Director of the International Securities Exchange and has served on several boards, including the Institute for Quantitative Research in Finance, The Investment Fund for Foundations, and State Street Associates. He is also a member of several advisory and editorial boards, including the Center for Asset Management at Boston College, the Advisory Board of the MIT Sloan Finance Group, the Consortium for Systemic Risk Analytics, the Emerging Markets Review, the Financial Analysts Journal, the Journal of Alternative Investments, the Journal of Derivatives, the Journal of Investment Management, where he is Book Review Editor, and The Journal of Portfolio Management. He has written numerous articles for academic and professional journals and is the author of six books including Puzzles of Finance and The Portable Financial Analyst. Mark has won multiple awards including the Graham and Dodd Scroll, the Bernstein-Fabozzi/Jacobs-Levy Award, and the Roger F. Murray Q-Group Prize. In 2004, Mark was elected a Batten Fellow at the Darden Graduate School of Business Administration, University of Virginia. Mark has a Bachelor Science degree in economics from St. John’s University, a Masters of Business Administration with distinction from New York University, and a CFA designation.

Asset Allocation and Factor Investing

When it comes to portfolio construction, the debate of asset allocation versus factor investing can grow quite heated.  Those who choose to build portfolios from asset classes argue that they are easy to observe and are easily investible—unlike factors. These investors also believe that portfolios from asset classes are more stable out of sample [...]

By |2019-04-02T11:20:16-05:00May 25th, 2018|Kritzman's Corner|

The Fallacy of 1/N

The battle between equally weighted portfolios and optimized portfolios is one that has produced an inaccurate assumed victor. Previous research has shown that equally weighted portfolios outperform optimized portfolios, suggesting that optimization adds no value in the absence of informed inputs and resulting in a naïve distrust of the portfolio optimization process. We, however, [...]

By |2018-06-01T15:57:42-05:00September 3rd, 2017|Kritzman's Corner|

Financial Turbulence and Risk Management

The majority of investors look to their domestic equity markets as the main engine of growth for their portfolios, and then search for other assets to diversify this exposure. Typically, investors consider only average correlations when measuring an assets diversification benefits, though average correlations tend to be misleading. For instance, when both U.S. and non-U.S. [...]

By |2019-03-19T10:41:16-05:00January 10th, 2017|Kritzman's Corner|

Asset Allocation vs. Security Selection

Asset Allocation versus Security Selection: Evidence from Global Markets Which activity is more important: asset allocation or security selection? The answer could surprise you. A common debate in the investment management field regards asset allocation and security selection. Which is more important? Which causes the greatest dispersion in wealth? The overwhelming consensus within [...]

By |2019-04-02T14:54:04-05:00October 18th, 2016|Kritzman's Corner|

Whitepaper: Asset Allocation

Asset allocation is one of the most important and difficult challenges we face as investors. Thanks to Harry Markowitz, we have an elegant and widely accepted theory to guide us, though implementation in the face of real world complexities is less straightforward than theory might suggest. In this white paper, we describe how to determine allocation to [...]

By |2018-04-30T13:44:19-05:00September 21st, 2016|Windham Insights Series|

Rethinking Exposure to Loss

Investors typically measure risk as the probability of a given loss or the amount that can be lost with a given probability at the end of their investment horizon, ignoring what might happen along the way.  Moreover, they base these risk estimates on return histories that fail to distinguish between calm environments, when losses are [...]

By |2018-06-11T11:59:47-05:00June 29th, 2016|Windham Insights Series|

Understanding Estimation Error

Understanding Estimation Error When investors build portfolios, they begin with a long history of returns of the assets to be included in the portfolio. They use these historical returns to compute volatilities and correlations, which they typically extrapolate to estimate future volatilities and correlations.  Although they might also use these historical returns to guide [...]

By |2018-11-02T11:25:32-05:00June 20th, 2016|Windham Insights Series|