David Turkington

State Street Associates

Senior Managing Director

United States

SCHOLARLY PAPERS

33

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3,636

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5

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Scholarly Papers (33)

1.

Decarbonizing Everything

Financial Analysts Journal, 2021, 77(3): 93-108. DOI: 10.1080/0015198X.2021.1909943.
Number of pages: 17 Posted: 07 Jan 2021 Last Revised: 28 Aug 2022
State Street Associates, TD Securities, Harvard Business School, State Street Associates and Fidelity
Downloads 1,012 (42,533)
Citation 5

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

2.

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 651 (76,816)

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

3.

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 453 (120,036)

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

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 437 (125,218)

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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.

Co-Occurrence: A New Perspective on Portfolio Diversification

MIT Sloan Research Paper No. 6892-23
Number of pages: 27 Posted: 17 May 2023 Last Revised: 22 May 2023
William B. Kinlaw, Mark Kritzman and David Turkington
State Street Global Markets, Windham Capital Management and State Street Associates
Downloads 274 (207,956)

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Autocorrelation, Co-occurrence, Divergence, Full-scale Optimization, Informativeness, Lagged Cross Correlation, Mahalanobis Distance, Mean-variance Analysis, Multi-horizon Optimal Portfolio, Parametric Optimization, Pearson Correlation, Turbulence

6.

Dynamic Warp Analysis: A New Approach for Detecting and Timing Bubbles

MIT Sloan Research Paper No. 6960-23
Number of pages: 27 Posted: 16 Dec 2023
Mark Kritzman, Huili Song and David Turkington
Windham Capital Management, State Street Associates and State Street Associates
Downloads 236 (243,111)

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Bubble, Calendar Time, Cumulative Distance Matrix, Dynamic Warp Analysis, Euclidean Distance, Mahalanobis Distance, Warp Time

7.

How to Predict the Performance of NBA Draft Prospects

MIT Sloan Research Paper No. 6955-23
Number of pages: 37 Posted: 09 Sep 2023 Last Revised: 06 Feb 2024
State Street Corporate, Windham Capital Management, Windham Capital Management and State Street Associates
Downloads 228 (249,215)

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Adjusted Fit, Asymmetry, Central Limit Theorem, CKT regression, Codependence, Fit, Gaussian Kernel, Information Theory, Informativeness, Lasso Regression, Machine Learning, Mahalanobis Distance, Model-based Algorithm, Model-free Algorithm, Nearest Neighbor Partial Sample Regression, Relevance

8.

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 198 (284,015)

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

9.

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 147 (367,319)

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Fiscal policy, Mahalanobis distance, Monetary policy, Statistical similarity

10.

Portfolio Construction When Regimes are Ambiguous

Kritzman, M., C. Kulasekaran and D. Turkington. 2023. "Portfolio Construction When Regimes are Ambiguous." Journal of Portfolio Management (September).
Posted: 19 Apr 2023 Last Revised: 09 Sep 2023
Mark Kritzman, Cel Kulasekaran and David Turkington
Windham Capital Management, Windham Capital Management and State Street Associates

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Binary, Central Limit Theorem, Euclidean Distance, Fit, Gaussian Decay, Information Theory, Informativeness, Kernal Regression, Mahalanobis Distance, Mean-variance Optimization, Non-binary, Partial Sample Regression, Regime Sensitive Portfolio, Relevance, Scenario Analysis, Similarity, Z-score

11.

Relevance-based Prediction: A Transparent and Adaptive Alternative to Machine Learning

MIT Sloan Research Paper No. 6794, 2022
Posted: 03 Oct 2022 Last Revised: 15 Dec 2022
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Windham Capital Management and State Street Associates

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12.

Stock Vulnerability and Resilience

Czasonis, M., H. Song and D. Turkington. 2023 "Stock Vulnerability and Resilience." The Journal of Portfolio Management, 49 (5): 34 - 44
Posted: 23 Sep 2022 Last Revised: 09 Sep 2023
Megan Czasonis, Huili Song and David Turkington
State Street Corporate, State Street Associates and State Street Associates

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equities, investing, vulnerability, factors, quantitative methods, portfolios, risk

13.

Inflation Hedging: A Dynamic Approach Using Online Prices

Cavallo, A., M. Czasonis, W. Kinlaw and D. Turkington. 2023. "Inflation Hedging: A Dynamic Approach Using Online Prices." Journal of Portfolio Management (September).
Posted: 21 Sep 2022 Last Revised: 09 Sep 2023
Harvard University - Business School (HBS), State Street Corporate, State Street Global Markets and State Street Associates

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inflation, hedging, investing

14.

The Determinants of Inflation

Kinlaw, W., M. Kritzman, M. Metcalfe and D. Turkington. 2023. "The Determinants of Inflation." The Journal of Investment Management, 21 (3).
Posted: 16 Jun 2022 Last Revised: 09 Sep 2023
State Street Global Markets, Windham Capital Management, State Street Global Markets and State Street Associates

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Baum-Welch Algorithm, Euclidean Distance, Hidden Markov Model, Mahalanobis Distance, Markov process, Regime Characteristic, z-score

15.

Event Time

Journal of Portfolio Management, 4 (7): 81 - 92, 2023
Posted: 06 May 2022 Last Revised: 09 Sep 2023
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Windham Capital Management and State Street Associates

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Calendar time, Co-occurrence, Event intensity, Event time, Information theory, Informativeness, Kullback-Leibler divergence, Kurtosis, Mahalanobis distance, Normal divergence, Pearson correlation, Relative entropy, z-score

16.

Relevance

Czasonis, M., M. Kritzman and D. Turkington. 2022. "Relevance." Journal of Investment Management 20(1).
Posted: 17 Mar 2021 Last Revised: 02 Jun 2022
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporate, Windham Capital Management and State Street Associates

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

17.

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

18.

Investable and Interpretable Machine Learning for Equities

Posted: 23 Dec 2020 Last Revised: 13 Dec 2021
Yimou Li, Zachary Simon and David Turkington
State Street Associates, State Street Associates and State Street Associates

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

19.

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

20.

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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21.

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

22.

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

23.

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

24.

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

25.

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

26.

Decarbonization Factors

The Journal of Impact and ESG Investing Fall 2021, 2 (1) 47-73; DOI: https://doi.org/10.3905/jesg.2021.1.026
Posted: 14 Sep 2019 Last Revised: 28 Aug 2022
State Street Associates, TD Securities, Harvard Business School, State Street Associates and Fidelity

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

27.

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

28.

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

29.

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), Independent and State Street Associates

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Illiquidity risk, alternative investments, portfolio optimization, asset allocation, portfolio construction

30.

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

31.

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

33.

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