Abstract

http://ssrn.com/abstract=2066848
 


 



Regime Shifts: Implications for Dynamic Strategies


Mark Kritzman


Windham Capital Management

Sebastien Page


State Street Associates

David Turkington


State Street Associates

May 25, 2012

Financial Analysts Journal, Vol. 68, No. 3, 2012

Abstract:     
Regime shifts present significant challenges for investors because they cause performance to depart significantly from the ranges implied by long-term averages of means and covariances. But regime shifts also present opportunities for gain. The authors show how to apply Markov-switching models to forecast regimes in market turbulence, inflation, and economic growth. They found that a dynamic process outperformed static asset allocation in backtests, especially for investors who seek to avoid large losses.

Keywords: Portfolio Management, Portfolio Construction and Revision, Risk Management, Risk Management, Portfolio Risk Management

Accepted Paper Series





Not Available For Download

Date posted: May 26, 2012  

Suggested Citation

Kritzman, Mark and Page, Sebastien and Turkington, David, Regime Shifts: Implications for Dynamic Strategies (May 25, 2012). Financial Analysts Journal, Vol. 68, No. 3, 2012. Available at SSRN: http://ssrn.com/abstract=2066848

Contact Information

Mark Kritzman (Contact Author)
Windham Capital Management ( email )
5 Revere Street
Cambridge, MA 02138
United States
617-576-7360 (Phone)
617-576-7359 (Fax)
Sebastien Page
State Street Associates ( email )
138 Mount Auburn Street
Cambridge, MA 02138
United States
617-234-9462 (Phone)
617-234-9478 (Fax)
David Turkington
State Street Associates ( email )
United States
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