David Turkington

State Street Associates

Senior Vice President

United States

SCHOLARLY PAPERS

25

DOWNLOADS
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SSRN RANKINGS

Top 11,018

in Total Papers Downloads

5,173

SSRN CITATIONS
Rank 46,609

SSRN RANKINGS

Top 46,609

in Total Papers Citations

4

CROSSREF CITATIONS

10

Scholarly Papers (25)

1.

A New Index of the Business Cycle

MIT Sloan Research Paper No. 5908-20
Number of pages: 20 Posted: 21 Jan 2020
William B. Kinlaw, Mark Kritzman and David Turkington
State Street Global Markets, Windham Capital Management and State Street Associates
Downloads 2,281 (7,337)
Citation 2

Abstract:

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Business cycle, Coincident indicator, Conference Board, KKT Index, Lagging indicator, Leading indicator, Mahalanobis distance, NBER, Robust growth, Recession, Statistical similarity, Yield curve

2.

Decarbonization Factors

Number of pages: 46 Posted: 14 Sep 2019 Last Revised: 18 Nov 2019
State Street Associates, State Street Associates, Harvard Business School, State Street Associates and State Street Associates
Downloads 1,138 (22,016)
Citation 12

Abstract:

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climate change, ESG, investment management, factor investing, investor behavior

3.

Advances in Factor Replication

MIT Sloan Research Paper No. 5174-16
Number of pages: 29 Posted: 14 Aug 2016 Last Revised: 19 Aug 2016
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Windham Capital Management and State Street Associates
Downloads 354 (100,847)

Abstract:

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Bayesian shrinkage, Elliptical distribution, Factor-replicating portfolio Full-scale optimization, Independent-sample error, Interval error, Kinked utility function, Non-parametric, Power utility function, Resampling, Small-sample error, Stability-adjusted return sample, Symmetrical distribution

4.

Investable and Interpretable Machine Learning for Equities

Number of pages: 37 Posted: 23 Dec 2020 Last Revised: 05 Feb 2021
Yimou Li, Zachary Simon and David Turkington
State Street Associates, State Street Associates and State Street Associates
Downloads 301 (120,511)

Abstract:

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Machine learning, Stocks, Equity, Factors, Neural network, Boosted machine, Random forest

5.

Decarbonizing Everything

Financial Analysts Journal, forthcoming.
Number of pages: 31 Posted: 07 Jan 2021 Last Revised: 25 Mar 2021
State Street Associates, State Street Associates, Harvard Business School, State Street Associates and State Street Associates
Downloads 247 (147,630)
Citation 2

Abstract:

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climate change, investments, factor investing, ESG, environment, climate finance, decarbonization

6.

The Past as Prologue: A New Approach to Forecasting

MIT Sloan Research Paper No. 6166-20
Number of pages: 26 Posted: 17 Aug 2020 Last Revised: 12 Mar 2021
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Windham Capital Management and State Street Associates
Downloads 232 (156,844)

Abstract:

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Informativeness, Mahalanobis distance, Partial sample regression, Relevance, Similarity

7.

The Role of Cryptocurrencies in Investor Portfolios

MIT Sloan Research Paper No. 6418-21
Number of pages: 29 Posted: 18 Mar 2021
Megan Czasonis, Mark Kritzman, Baykan Pamir and David Turkington
State Street Corporate, Windham Capital Management, State Street Associates and State Street Associates
Downloads 194 (188,136)

Abstract:

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Autocorrelation, Conditional correlation, Cross-correlation, Cryptocurrency, Full-scale optimization, Kinked utility function, Lottery preference, Pearson correlation, Single period correlation Z-score

8.

The COVID Report Card

MIT Sloan Research Paper 6185-20
Number of pages: 27 Posted: 20 Oct 2020
Megan Czasonis, Mark Kritzman, Baykan Pamir and David Turkington
State Street Corporate, Windham Capital Management, State Street Associates and State Street Associates
Downloads 132 (256,281)

Abstract:

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COVID report card, Cross-sectional regression analysis, Implied deaths, New cases, Reported deaths,

9.

The Myth of Diversification Reconsidered

MIT Sloan Research Paper No. 6257-21
Number of pages: 28 Posted: 11 Feb 2021
State Street Global Markets, Windham Capital Management, affiliation not provided to SSRN and State Street Associates
Downloads 124 (270,339)

Abstract:

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Bivariate normal distribution, conditional correlation, correlation asymmetry, correlation profile, exceedance correlation, full scale optimization, mean variance optimization, tail dependence

10.

History, Shocks and Drifts: A New Approach to Portfolio Formation

MIT Sloan Research Paper 6416-21
Number of pages: 24 Posted: 12 Mar 2021
Mark Kritzman and David Turkington
Windham Capital Management and State Street Associates
Downloads 71 (383,702)

Abstract:

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Certainty equivalent, Drift, Expected utility, Full-scale optimization, Kinked utility function, Kurtosis, Log-wealth utility, Mean-variance analysis, Mixed-frequency return sample, Skewness, Shock, Sum of utilities Utility of sums

11.

Relevance

MIT Sloan Research Paper No. 6417-21
Number of pages: 30 Posted: 17 Mar 2021
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Windham Capital Management and State Street Associates
Downloads 57 (429,135)

Abstract:

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Informativeness, Mahalanobis Distance, Partial Sample Regression, Relevance, Similarity

12.

The Relative Importance of Fiscal and Monetary Policy: An Empirical Perspective

MIT Sloan Research Paper No. 6152-20
Number of pages: 20 Posted: 24 Jul 2020
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Windham Capital Management and State Street Associates
Downloads 42 (488,365)

Abstract:

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Fiscal policy, Mahalanobis distance, Monetary policy, Statistical similarity

13.

Portfolio Choice with Path-Dependent Preferences

Kritzman, Mark and Li, Ding and Qiu, Grace (Tiantian) and Turkington, David, Portfolio Choice with Path-Dependent Scenarios (January 15, 2021). Financial Analysts Journal, 2021, 77(1): 90–100.
Posted: 15 Jun 2020 Last Revised: 30 Mar 2021
Mark Kritzman, Ding Li, Grace (Tiantian) Qiu and David Turkington
Windham Capital Management, GIC Private Limited, GIC and State Street Associates

Abstract:

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Informativeness, Mahalanobis Distance, Partial Sample Regression, Relevance, Scenario Analysis, Statistical Similarity

14.

Explaining Buyout Industry Returns: New Evidence

Journal Of Investment Management (JOIM), Vol. 17 No.1, 2019
Posted: 04 Jun 2020
David Turkington
State Street Associates

Abstract:

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15.

The Stock-Bond Correlation

MIT Sloan Research Paper No. 6108-20
Posted: 12 May 2020
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Windham Capital Management and State Street Associates

Abstract:

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Autocorrelation, Henriksson-Merton test, Informativeness, Lagged cross-correlation, Mahalanobis distance, Partial sample regression, Relevance, Single period correlation, Statistical similarity

16.

Private Equity and the Leverage Myth

MIT Sloan Research Paper No. 5912-20
Posted: 20 Feb 2020
State Street Corporate, State Street Global Markets, Windham Capital Management and State Street Associates

Abstract:

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Fundamental risk, Leverage multiple, Leverage myth, Mean-variance analysis

17.

Partial Sample Regressions

MIT Sloan Research Paper No. 5894-19
Posted: 20 Nov 2019
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Windham Capital Management and State Street Associates

Abstract:

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Event-driven observations, Informativeness, Kernel smoothing, Mahalanobis distance, Multivariate similarity, Nadaraya-Watson kernel regression, Ordinary Least Squares, Regression analysis, Relevance, Relevance-weighted average

18.

Beyond the Black Box: An Intuitive Approach to Investment Prediction with Machine Learning

Posted: 05 Nov 2019
Yimou Li, David Turkington and Alireza Yazdani
State Street Associates, State Street Associates and affiliation not provided to SSRN

Abstract:

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Interpretable Machine Learning, Foreign Exchange, Investment, Prediction, Neural Network, Random Forest, Gradient Boosting Machine

19.

The Divergence of High- and Low-Frequency Estimation: Implications for Performance Measurement

MIT Sloan Research Paper No. 5110-14, https://doi.org/10.3905/jpm.2015.41.3.014
Posted: 21 May 2019
William B. Kinlaw, Mark Kritzman and David Turkington
State Street Global Markets, Windham Capital Management and State Street Associates

Abstract:

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Auto-correlation, Cross-correlation, Excess dispersion, High-frequency estimation, Information ratio, Low-frequency estimation, Risk parity, Security market line, Sharpe ratio, Square root of time, Tracking error

20.

Enhanced Scenario Analysis

MIT Sloan Research Paper No. 5774-19
Posted: 20 May 2019 Last Revised: 30 Apr 2020
Megan Czasonis, Mark Kritzman, Baykan Pamir and David Turkington
State Street Corporate, Windham Capital Management, State Street Associates and State Street Associates

Abstract:

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Covariance matrix, Economic scenarios, Euclidean distance, Financial turbulence, Gradient descent, Mahalanobis distance, Mean reversion, Mean-variance analysis, Multivariate normal distribution, Persistence, Scale independent, Scenario analysis

21.

The Shadow Price of Liquidity in Asset Allocation - A Case Study

Journal of Investment Management (JOIM), Second Quarter 2014
Posted: 15 Nov 2014
Independent, Independent, Norges Bank Investment Management (NBIM), affiliation not provided to SSRN and State Street Associates

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Illiquidity risk, alternative investments, portfolio optimization, asset allocation, portfolio construction

22.

The Divergence of the High and Low Frequency Estimation: Causes and Consequences

MIT Sloan Research Paper No. 5087-14
Posted: 14 May 2014
William B. Kinlaw, Mark Kritzman and David Turkington
State Street Global Markets, Windham Capital Management and State Street Associates

Abstract:

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Auto-correlation, Comparative statics, Cross-correlation, Excess dispersion, High-frequency estimation, Independent and identically distributed, Iso-expected return curve, Low-frequency estimation, Tracking error, Triannualized, Variance ratio

23.

Correlation Surprise

Posted: 21 Aug 2012
William B. Kinlaw and David Turkington
State Street Global Markets and State Street Associates

Abstract:

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Correlation surprise, turbulence

Regime Shifts: Implications for Dynamic Strategies

Financial Analysts Journal, Vol. 68, No. 3, 2012
Posted: 23 May 2012
Mark Kritzman, Sebastien Page and David Turkington
Windham Capital Management, Pimco and State Street Associates

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Regime Shifts: Implications for Dynamic Strategies

Financial Analysts Journal, Vol. 68, No. 3, 2012
Posted: 26 May 2012
Mark Kritzman, Sebastien Page and David Turkington
Windham Capital Management, State Street Associates and State Street Associates

Abstract:

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Portfolio Management, Portfolio Construction and Revision, Risk Management, Risk Management, Portfolio Risk Management

25.

In Defense of Optimization: The Fallacy of 1/N

Financial Analysts Journal, Vol. 66, No. 2, 2010
Posted: 19 Apr 2010
Mark Kritzman, Sebastien Page and David Turkington
Windham Capital Management, State Street Associates and State Street Associates

Abstract:

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Performance Measurement and Evaluation, Performance Attribution, Portfolio Management, Asset Allocation