David Turkington

State Street Associates

Senior Vice President

United States

SCHOLARLY PAPERS

26

DOWNLOADS
Rank 9,477

SSRN RANKINGS

Top 9,477

in Total Papers Downloads

6,183

SSRN CITATIONS

2

CROSSREF CITATIONS

10

Scholarly Papers (26)

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, Windham Capital Management and State Street Associates
Downloads 2,330 (7,428)
Citation 2

Abstract:

Loading...

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

Forthcoming Journal of Impact & ESG Investing, Special Fall Climate Issue
Number of pages: 46 Posted: 14 Sep 2019 Last Revised: 13 Jul 2021
State Street Associates, State Street Associates, Harvard Business School, State Street Associates and State Street Associates
Downloads 1,246 (20,018)
Citation 11

Abstract:

Loading...

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

3.

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 380 (96,469)
Citation 2

Abstract:

Loading...

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

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 365 (100,964)

Abstract:

Loading...

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.

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 351 (105,477)

Abstract:

Loading...

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

6.

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 329 (113,763)

Abstract:

Loading...

Autocorrelation, Conditional correlation, Cross-correlation, Cryptocurrency, Full-scale optimization, Kinked utility function, Lottery preference, Pearson correlation, Single period correlation Z-score

7.

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 275 (137,164)

Abstract:

Loading...

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

8.

The Myth of Diversification Reconsidered

MIT Sloan Research Paper No. 6257-21
Number of pages: 28 Posted: 11 Feb 2021
State Street Global Markets, Windham Capital Management, affiliation not provided to SSRN and State Street Associates
Downloads 254 (148,582)

Abstract:

Loading...

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

9.

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 201 (187,489)

Abstract:

Loading...

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

10.

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 154 (235,286)

Abstract:

Loading...

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

11.

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 150 (239,152)

Abstract:

Loading...

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

12.

Mapping Momentum

Number of pages: 24 Posted: 12 Jul 2021 Last Revised: 29 Jul 2021
Yimou Li and David Turkington
State Street Associates and State Street Associates
Downloads 92 (339,784)

Abstract:

Loading...

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

13.

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 56 (446,167)

Abstract:

Loading...

Fiscal policy, Mahalanobis distance, Monetary policy, Statistical similarity

14.

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

Abstract:

Loading...

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

15.

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

Abstract:

Loading...

16.

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

Abstract:

Loading...

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

17.

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

Abstract:

Loading...

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

18.

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

Abstract:

Loading...

Event-driven observations, Informativeness, Kernel smoothing, Mahalanobis distance, Multivariate similarity, Nadaraya-Watson kernel regression, Ordinary Least Squares, Regression analysis, Relevance, Relevance-weighted average

19.

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

Abstract:

Loading...

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

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

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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