David Turkington

State Street Associates

Senior Vice President

United States

SCHOLARLY PAPERS

14

DOWNLOADS
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Top 16,384

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3,058

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Scholarly Papers (14)

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, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 1,480 (12,571)

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 University - Harvard Business School, State Street Associates and State Street Associates
Downloads 756 (33,597)

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, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 329 (94,853)

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.

Enhanced Scenario Analysis

MIT Sloan Research Paper No. 5774-19
Number of pages: 25 Posted: 20 May 2019 Last Revised: 14 Sep 2019
Megan Czasonis, Mark Kritzman, Baykan Pamir and David Turkington
State Street Corporate, Massachusetts Institute of Technology (MIT) - Sloan School of Management, State Street Associates and State Street Associates
Downloads 205 (154,247)

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

5.

The Equity Differential Factor in Currency Markets

Financial Analysts Journal, Forthcoming
Number of pages: 14 Posted: 29 May 2019 Last Revised: 30 Dec 2019
David Turkington and Alireza Yazdani
State Street Associates and State Street Associates
Downloads 141 (213,733)

Abstract:

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6.

Partial Sample Regressions

MIT Sloan Research Paper No. 5894-19
Number of pages: 24 Posted: 20 Nov 2019
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 75 (328,947)

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

7.

Private Equity and the Leverage Myth

MIT Sloan Research Paper No. 5912-20
Number of pages: 21 Posted: 20 Feb 2020
State Street Corporate, State Street Global Markets, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 72 (341,830)

Abstract:

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

8.

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 State Street Associates

Abstract:

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

9.

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, Massachusetts Institute of Technology (MIT) - Sloan School of 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

10.

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

11.

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, Massachusetts Institute of Technology (MIT) - Sloan School of 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

12.

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

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

14.

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