David Turkington

State Street Associates

Senior Vice President

United States

SCHOLARLY PAPERS

26

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3,045

SSRN CITATIONS

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Scholarly Papers (26)

1.

Decarbonizing Everything

Cheema-Fox, Alexander and LaPerla, Bridget Realmuto and Serafeim, George and Turkington, David and Wang, Hui, Decarbonizing Everything (15 July, 2021). Financial Analysts Journal, 2021, 77(3): 93-108. DOI: 10.1080/0015198X.2021.1909943.
Number of pages: 17 Posted: 07 Jan 2021 Last Revised: 21 Jul 2021
State Street Associates, State Street Associates, Harvard Business School, State Street Associates and State Street Associates
Downloads 521 (67,943)
Citation 2

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

2.

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 503 (70,972)

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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

3.

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 382 (98,264)

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

4.

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 371 (101,569)

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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

5.

Mapping Momentum

Number of pages: 25 Posted: 12 Jul 2021 Last Revised: 11 Sep 2021
Yimou Li and David Turkington
State Street Associates and State Street Associates
Downloads 304 (126,321)

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Equity Investing, stock momentum, factor momentum, industry momentum, panel regression

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 292 (131,909)

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

7.

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

MIT Sloan Research Paper 6416-21
Number of pages: 25 Posted: 12 Mar 2021 Last Revised: 07 May 2021
Mark Kritzman and David Turkington
Windham Capital Management and State Street Associates
Downloads 262 (147,448)

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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

8.

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 192 (198,057)

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

9.

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 158 (234,405)

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

10.

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 60 (441,131)

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Fiscal policy, Mahalanobis distance, Monetary policy, Statistical similarity

11.

The Myth of Diversification Reconsidered

MIT Sloan Research Paper No. 6257-21
Posted: 11 Feb 2021
State Street Global Markets, Windham Capital Management, affiliation not provided to SSRN and State Street Associates

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

12.

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

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

13.

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

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14.

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

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

15.

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

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

16.

A New Index of the Business Cycle

MIT Sloan Research Paper No. 5908-20
Posted: 21 Jan 2020
William B. Kinlaw, Mark Kritzman and David Turkington
State Street Global Markets, Windham Capital Management and State Street Associates

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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

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

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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

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

19.

Decarbonization Factors

Forthcoming Journal of Impact & ESG Investing, Special Fall Climate Issue
Posted: 14 Sep 2019 Last Revised: 27 Sep 2021
State Street Associates, State Street Associates, Harvard Business School, State Street Associates and State Street Associates

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

20.

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

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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

21.

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

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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

22.

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

23.

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

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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

24.

Correlation Surprise

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

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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

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

26.

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

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