David Turkington

State Street Associates

Senior Vice President

United States

SCHOLARLY PAPERS

15

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Scholarly Papers (15)

1.

Facts About Factors

MIT Sloan Research Paper No. 5128-15
Number of pages: 24 Posted: 17 Apr 2015
Paula Cocoma, Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, State Street Corporate, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 1,995 (7,066)

Abstract:

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Asset allocation, Asset classes, Auto-correlation, Dimensionality, Diversification, Estimation error, Estimation sample, Factor, Factor allocation, Fundamental factor, GICS classification, High-frequency return, Independent-sample error, Interval error, Lagged cross-correlation, Low-frequency return

2.

Which Currency Hedging Strategy is Best?

MIT Sloan Research Paper No. 5003-13
Number of pages: 37 Posted: 22 May 2013
Wei Chen, Mark Kritzman and David Turkington
State Street Global Markets - State Street Associates, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 1,082 (18,854)

Abstract:

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Basket option, Continuous value at risk, Cross hedging, First passage probability, Full-scale optimization, Kinked utility function, Linear hedging strategy, Mahalanobis distance, Non-linear hedging strategy, Turbulence, Within-horizon risk

3.

Private Equity Valuations and Public Equity Performance

MIT Sloan Research Paper No. 5237-17
Number of pages: 26 Posted: 02 Oct 2017
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 633 (40,066)

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Balanced stage venture capital, Capture ratio, Confirmation bias, Early stage venture capital, Fair value rules, Large buyout, Late stage venture capital, Limits to arbitrage, Mega buyout Mid buyout, Piecewise liner regression, Post valuation period, Small buyout, Valuation period

4.

Crowded Trades: Implications for Sector Rotation and Factor Timing

MIT Sloan Research Paper No. 5404-18
Number of pages: 29 Posted: 23 May 2018 Last Revised: 03 Oct 2018
William B. Kinlaw, Mark Kritzman and David Turkington
State Street Global Exchange, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Downloads 513 (52,724)

Abstract:

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Absorption ratio, Asset centrality, Bubble, Crowded trade, Deflationary crowding, Fundamental value, Inflationary crowding, Relative value

5.

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 312 (94,933)

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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

6.

Carry On

Number of pages: 22 Posted: 25 May 2018
Megan Czasonis, Baykan Pamir and David Turkington
State Street Corporate, State Street Associates and State Street Associates
Downloads 155 (186,918)

Abstract:

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Carry Trade, Currencies, Centrality, Crowded Trades, Forward Premium, Valuations, Turbulence

7.

Enhanced Scenario Analysis

MIT Sloan Research Paper No. 5774-19
Number of pages: 23 Posted: 20 May 2019 Last Revised: 15 Jun 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 56 (362,468)

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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

8.

The Equity Differential Factor in Currency Markets

Number of pages: 14 Posted: 29 May 2019
David Turkington and Alireza Yazdani
State Street Associates and State Street Associates
Downloads 33 (463,781)

Abstract:

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

10.

A Comparative Analysis of Performance Fees

MIT Sloan Research Paper No. 5260-18, https://doi.org/10.3905/jpm.2018.44.7.075
Posted: 09 Jan 2018
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 0 (657,000)

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Certainty equivalent, Flat fee, Kinked utility, Log utility, Performance Fee, Power utility

11.

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

12.

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

13.

Correlation Surprise

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

15.

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