Kritzman’s Corner2018-06-06T16:25:46+00:00
Mark Kritzman

Mark Kritzman is a Founding Partner of Windham Labs, Windham Capital Management, State Street Associates, and teaches a graduate finance course at the Massachusetts Institute of Technology. He has published seven books, including A Practitioner’s Guide to Asset Allocation and The Portable Financial Analyst, and has received several prestigious awards. His innovative research, extensive publications, and investment acumen make him one of the foremost figures in his field.

Through this section of our website, we aim to deliver insight into the vast research Mark has produced. Kritzman’s Corner will serve as a educational and inspirational resource for those looking to expand their knowledge of quantitative finance.

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 securities. Event studies are often used to test the “efficient market hypothesis.” The efficient market hypothesis is a theory based on research put forward by Eugene Fama, and states that asset prices fully reflect all information available. Abnormal returns that persist after an event occurs, or abnormal returns that are associated with an anticipated event contradict the efficient market hypothesis. Event studies are also valuable in gauging the significance of an event. How to [...]

September 10th, 2018|

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 with distinguished academic institutions, and their membership in numerous advisory and editorial boards. Today, Windham has three core businesses: its investment management business, which comprises its asset allocation and risk premia products, Windham Labs, and its investment advisory business. Windham remains fully committed to continuing its legacy of advancing the science and practice of investment management, and especially to delivering the best products and highest quality service to its valued clients. [...]

July 23rd, 2018|

Mark Kritzman Gives Convocation Speech to MIT Graduates

MIT Masters of Finance Graduation Mark Kritzman June 7, 2018 Good morning and congratulations.  As many of you know, I’m not used to speaking without a PowerPoint presentation, but surprisingly Heidi didn’t show much enthusiasm for that idea.  When I mentioned my concern to my wife, she said: “Don’t worry.  You’re good at giving eulogies.”  So if what I say sounds a bit sad, you’ll understand why. Of course, I’m joking.  This is such a happy occasion.  Happy for you students because you are about to graduate from the world’s best masters of finance program.  Happy for you parents because your children are about to embark upon what almost certainly will be exceptionally successful careers.  And happy for MIT because your coming success [...]

June 8th, 2018|

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 compared to portfolios composed from factors. Investors who prefer to allocate to factors argue that asset classes are defined arbitrarily and do not capture the fundamental determinants of performance as effectively as factors do. In addition, some investors prefer to invest in factors because they believe that factors carry risk premiums that are not directly available from asset classes. We propose a compromise that allows investors to get the best of both approaches. By [...]

May 25th, 2018|

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 some insight into the life and work of one of the most influential men in the history of finance, as well as some "words of wisdom" for future generations. Members and non-members of the CFA can read this interview in the most recent Financial Analysts Journal, or online here.   An Interview with Harry M. Markowitz

December 4th, 2017|