State Street Global Exchange Honored by the Journal of Portfolio Management
March 20 2015 - 2:33PM
Business Wire
Research on the Causes and Consequences of Divergence in High
and Low Frequency Estimation Receives Outstanding Article Award
State Street Corporation (NYSE: STT) announced today that
research article authored by Global Exchange’s Will Kinlaw and
David Turkington received an outstanding article award as part of
The Journal of Portfolio Management’s (JPM) 16th Annual Bernstein
Fabozzi/Jacobs Levy Awards.
Co-authored with Mark Kritzman, chief executive officer of
Windham Capital Management and founding partner of State Street
Associates, the article, “The Divergence of High- and Low-Frequency
Estimation: Causes and Consequences” looks at the dangers of
extrapolating risk estimates derived from higher frequency data to
forecast outcomes over longer horizons. It also presents a
framework for constructing portfolios that balance short- and
long-term horizons.
“This article presented by Kinlaw, Kritzman and Turkington
exemplifies the ground-breaking research that can be found in the
Journal of Portfolio Management,” said Allison Adams, publisher of
Institutional Investor Journals. "The research is useful for
portfolio managers and investors who are confronting the challenges
of balancing short- and long-term investment outcomes.”
“We’re honored to be recognized by The Journal of Portfolio
Management,” said Will Kinlaw, senior managing director and head of
research and advisory for State Street Global Exchange. “The
‘square root of time’ rule for annualizing standard deviation is
everywhere. It’s hard-coded into risk management and optimization
software packages, required by performance measurement rules, and
embedded in the Black-Scholes equation. Unfortunately, it’s often
wrong.”
The winning article, along with other research published by
State Street, helps inform insights offered through GX Investment
Labs, a recent launched suite of interactive applications that can
be used by clients to inform their investment process.
The Bernstein Fabozzi/Jacobs Levy Awards were established in
1999, on the 25th anniversary of The Journal of Portfolio
Management, to honor Editors Peter Bernstein and Frank Fabozzi for
their contributions and to promote research excellence in the
theory and practice of portfolio management.
The winning article can be found (here).
About The Journal of Portfolio Management
Edited by Frank Fabozzi and founded in 1974 by Peter L.
Bernstein, The Journal of Portfolio Management is the
leading editorial source of cutting-edge strategies and analyses
for institutional investment management. Published by Institutional
Investor, it is available quarterly in print and online.
About State Street
State Street Corporation (NYSE: STT) is one of the world's
leading provider of financial services to institutional investors
including investment servicing, investment management and
investment research and trading. With $28.19 trillion in assets
under custody and administration and $2.45 trillion* in assets
under management as of December 31, 2014, State Street operates in
more than 100 geographic markets worldwide, including the US,
Canada, Europe, the Middle East and Asia. For more information,
visit State Street’s web site at www.statestreet.com.
* Assets under management include the assets of the SPDR® Gold
ETF (approximately $27.3 billion as of December 31, 2014), for
which State Street Global Markets, LLC, an affiliate of SSgA,
serves as the distribution agent.
State Street CorporationAnne McNally, +
1617-664-8576AEMcnally@StateStreet.com@StateStreet
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