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Next Boston QWAFAFEW Meeting: Tuesday, 21 Jun 2016

June 21, 2016 @ 6:00 pm - 8:00 pm

| $30

Download:  QWAFAFEW – Stability-Adjusted Portfolios  


Next Boston QWAFAFEW Meeting: Tuesday, 21 Jun 2016


Time: 6:15 PM sharpe

3rd Floor of the Tennis & Racquet Club, 939 Boylston Street

RSVP to hugh@QWAFAFEW.org


QWAFAFEW Mailing List



Stability-adjusted Portfolios

A QWAFAFEW discussion led by:

Mark Kritzman, CFA

David Turkington, CFA


The conventional approach for addressing estimation error in portfolio construction is to devise techniques for reducing the errors, such as compressing all of the estimates toward a cross-sectional average or some other prior belief.  In this article, the authors propose an alternative approach for dealing with estimation error, arguing that some estimates may be more or less stable than others.  Rather than attempt to mitigate estimation error by making the estimates more similar to each other, the authors propose that portfolio managers measure their relative stability and form portfolios that explicitly account for this feature, thus potentially making them less similar to each other.  They focus on measures of risk rather than means because portfolio managers typically extrapolate historical covariances but estimate expected returns based on subjective views rather than historical averages.  Moreover, many important investment applications such as index replication focus exclusively on risk mitigation.  The analysis reported in this article shows that portfolios that explicitly account for stability in their construction have substantially different allocations and more stable risk profiles than portfolios that are blind to estimation error, as well as those that rely on Bayesian shrinkage.





MARK KRITZMAN is CEO 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 finance 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 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 won Graham and Dodd scrolls in 1993 and 2002, the Research Prize from the Institute for Quantitative Investment Research in 1997, the Bernstein Fabozzi/Jacobs Levy Award nine times, the Roger F. Murray Prize from the Q-Group in 2012, and the Peter L. Bernstein Award in 2013 for Best Paper in an Institutional Investor Journal. In 2004, Mark was elected a Batten Fellow at the Darden Graduate School of Business Administration, University of Virginia.

Mark has a BS in economics from St. John’s University, an MBA with distinction from New York University, and a CFA designation.


DAVID TURKINGTON is Senior Vice President and Head of Portfolio and Risk Research at State Street Global Exchange. His team is responsible for research and advisory spanning asset allocation, risk management and quantitative investment strategy. Mr. Turkington is a frequent presenter at industry conferences and has published research articles in a range of journals. His research has received the 2013 Peter L. Bernstein Award, three Bernstein-Fabozzi/Jacobs-Levy Outstanding Article Awards, and the 2010 Graham and Dodd Scroll Award. Mr. Turkington graduated summa cum laude from Tufts University with a BA in mathematics and quantitative economics, and he holds the CFA designation.



Please RSVP hugh@QWAFAFEW.org


QWAFAFEW Mailing List




All annual dues ($150) should be paid to Boston QWAFAFEW by credit card, Bitcoin or check.

By credit card (PayPal)



By Bitcoin

Send us Bitcoin, our address is:


Please send a separate email identifying your anonymous payment.


By check:

Executive Management Associates

12 Academy Avenue

Atkinson, NH  03811




Please RSVP for all meetings you plan to attend: hugh@QWAFAFEW.org

Guests who do not RSVP may have to wait to enter the meeting, due to space constraints (capacity=100, BFD).


Guest fees ($30) can be paid through EMA (check or PayPal, bring receipt) or bitcoin (at address above). We still allow walk-ins (space permitting). The $30 guest fee can be paid by bitcoin, cash or check at the door, no credit cards at the meeting. Please bring exact change (eg: two twenties = $40 Guest Fee).


As always, if you have names or discussion topics, please forward them to any member of the Steerage Committee


Questions, comments:



Steerage Committee

Hugh Crowther (Treasurer)

Dan diBartolomeo

Mike Dunn

Steve Gaudette

Sri Krishnamurthy

Mark Kritzman

John Minahan

Donna Cool Murphy (Dinners)

Larry Pohlman

Dan Potter

Dan Rie

Evan Schulman

Michael Wilcox


The members of the Steerage Committee are responsible for coordinating the program content.

Program suggestions from members are always welcome.


RSVP to: hugh@QWAFAFEW.org


June 21, 2016
6:00 pm - 8:00 pm




Tennis & Racquet Club
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
Boston, MA,
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