Risk in the Real World

Risk in the Real World The Challenge G.H. Hardy, the legendary mathematician, once claimed that his greatest disappointment in life was learning that someone had discovered an application for one of his theorems.  Although Hardy’s disinterest in practical matters was a bit extreme, it sometimes seems that scholars view the real world as an [...]

By |2019-05-06T12:34:45-04:00April 15th, 2019|Kritzman's Corner|

Optimal Rebalancing: New Approaches, New Applications

OPTIMAL REBALANCING WITH THE MARKOWITZ VAN DIJK HEURISTIC Institutional investors usually employ mean–variance analysis to determine optimal portfolio weights. Almost immediately upon implementation, however, the portfolio’s weights become sub-optimal as changes in asset prices cause the portfolio to drift away from the optimal targets. In an idealized world (without transaction costs) investors would rebalance continually [...]

By |2019-01-30T16:15:54-05:00January 30th, 2019|Kritzman's Corner|

Event Studies

An event study is used to measure the relationship between an event that affects securities and the return of those securities. For example, events such as a regulatory change or market shock may affect many securities simultaneously. On the other hand, events such as a policy change or stock split may only impact certain [...]

By |2018-09-10T14:30:01-04:00September 10th, 2018|Kritzman's Corner|

Windham Capital Management Celebrates Its 30th Anniversary

On today, July 23rd, 2018, we are celebrating the 30th anniversary of our parent company, Windham Capital Management. Throughout its history, Windham has focused on risk-based research. Its principals are well known and widely respected throughout the world for their contributions to the finance literature, their leadership roles in prestigious research organizations, their affiliations [...]

By |2018-07-23T15:44:40-04:00July 23rd, 2018|Kritzman's Corner|

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

An Interview with Nobel Laureate Harry M. Markowitz

Windham CEO Mark Kritzman recently interviewed Nobel Prize winner Harry M. Markowitz to discuss his background at the University of Chicago, the Cowles Commission, and the RAND Corporation; his many contributions not only to modern portfolio theory but also to other fields; and his views on the 2008 global financial crisis. This interview provides [...]

By |2018-06-01T15:47:27-04:00December 4th, 2017|Kritzman's Corner|

Mark Kritzman on Trend Following

On Wednesday, October 4th, Mark spoke with Michael Covel, host of the podcast Trend Following™ Radio , and had a conversation about Mark's new book, the importance of going back to the basics, and some of the highlights of Mark's career. You can listen to the episode here, or on any of the major [...]

By |2018-06-26T11:19:48-04:00November 10th, 2017|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 |2018-06-01T15:57:42-04:00September 3rd, 2017|Kritzman's Corner|

Mark Kritzman on The Meb Faber Show

On Monday, May 8th, Mark spoke with Mebane Faber, host of The Meb Faber Show. Mark and Meb had a discussion about his new book, A Practitioner's Guide to Asset Allocation, and many of the challenges and intricacies of the asset allocation process. This episode is appropriately titled "We Have To Question The Assumptions [...]

By |2018-06-26T11:18:56-04:00May 10th, 2017|Kritzman's Corner|