Windham’s Co-CIO of Liquid Alternatives, Andrew Weisman, participated in Asset TV’s Liquid Alts Masterclass in October. This panel discussion explored the challenges Alternative Investment Managers are facing in the current environment and how their strategies fit into a larger portfolio. Andy joins Kimberly Flynn and Cleo Chang to discuss Liquid Alternatives and how their investment [...]
Mark Kritzman, CEO of Windham Capital Management, sat down with Nobel Laureate Harry M. Markowitz to kickoff FMA International's Annual Meeting last night in San Diego. They were joined by researchers and practitioners from around the world for a “fireside chat,” where they discussed the origins and criticisms of Markowitz’s modern portfolio theory, sparse [...]
“Asset Allocation and Factor Investing: An Integrated Approach,” The Journal of Portfolio Management Quantitative Special Issue, 2018 with A. Bergeron and G. Sivitsky.
The traditional approach to asset allocation is to identify the optimal allocation to broad asset classes based on assumptions for expected returns and risk. Increasingly, though, investors are choosing to stratify their portfolios into factors rather than traditional asset classes. Many investors, especially those who have qualitative views about macroeconomic factors, do not typically optimize [...]
Target-date funds automatically shift the asset mix at regular intervals toward safer assets as the fund’s target date, which may be several decades away, draws near. A target-date fund is designed to reduce exposure to loss as the investor moves closer to retirement and has fewer years to offset potential losses. The implicit assumption of [...]
Today, July 23rd, 2018, we are celebrating the 30th anniversary of Windham Capital Management. Windham was founded in 1988 in New York City by Mark Kritzman. Throughout its history, Windham has focused on risk-based research. Its principals are well known and widely respected throughout the world for their contributions to the finance literature, their leadership [...]
MIT Masters of Finance Graduation Mark Kritzman June 7th, 2018 Good morning and congratulations. As many of you know, I’m not used to speaking without a PowerPoint presentation, but surprisingly Heidi didn’t show much enthusiasm for that idea. When I mentioned my concern to my wife, she said: “Don’t [...]
Windham CEO Mark Kritzman recently interviewed Nobel Prize winner Harry M. Markowitz to discuss his background at the University of Chicago, the Cowles Commission, and the RAND Corporation; his many contributions not only to modern portfolio theory but also to other fields; and his views on the 2008 global financial crisis. This interview provides some [...]
On Monday, May 8th, Windham Founder and CEO, Mark Kritzman spoke with Mebane Faber, host of The Meb Faber Show about his new book, A Practitioner’s Guide to Asset Allocation.
Mark's new book, A Practitioner’s Guide to Asset Allocation discusses the many challenges and intricacies of the asset allocation process and more. This episode is appropriately titled “We Have To Question The Assumptions That Underpin Our Models… Nothing is Simple.” To listen in, click here!
Mark Kritzman, CEO of Windham Capital Management, will present at Northfield’s 29th Annual Research Conference on Monday, March 20th, 2017
Since 1989, Northfield’s Research Conference has been a premier industry event for analytical research in the management of financial assets. The 2017 program will include a broad array of topics including asset allocation, market return forecasting, advances in portfolio construction, and several cutting-edge approaches for alpha generation. Mark Kritzman will be presenting “Estimation Error and [...]
The WSJ Article “How Closet Indexing Minimizes the Fund Managers Risk – Not Yours” by Jason Zweig discusses the existing dynamic influencing managers to “mimic” the market. Zweig adapts Windham CEO Mark Kritzman’s outcomes matrix which provides evidence of the underlying incentives of “closet indexing”.
“You might think the fund manager’s job is to beat the market.” Says Zweig. “But, in fact, the fund manager’s job is to keep his job. Zweig then introduces an adapted version of Mark Kritzman’s “matrix” and he elaborates, “A fund manager who is right along with most of his peers — whose portfolio resembles [...]