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 [...]
Lucas Turton, CIO of Windham Capital Management to speak on Asset Allocation panel at IvyFON Family Office Trends Forum on Tuesday, October 25th in Boston.
IvyFON, a leading peer to peer family office network will be hosting a Family Office Trends seminar in Boston on October 25th, 2016. The event will be a cross-section of Family Business and relevant topics including Portfolio Allocation, Healthcare Private Equity and Venture Capital, Impact Investing and more. Click HERE to view the agenda and registration [...]
Mark Kritzman, CEO of Windham Capital Management, will present at the JOIM-Oxford EDHEC Retirement Investing Conference on September 13th at Saïd Business School at the University of Oxford. Other speakers include Nobel Prize recipient Professor Robert C Merton, MIT Sloan School of Management, Professor Deborah Lucas, and Stockholm School of Economics Professor of Finance, Magnus Dahlquist.
“This three-day conference represents the first time our institutions have joined forces to showcase the highest quality thinking and research in the area of Retirement Investing. The programme is developed on the foundation of academic rigour with an overriding objective of identifying practical significance.” For more information on the event, click HERE.
Mark Kritzman’s study “Portfolio Efficiency with Performance Fees” was referenced in Financial Advisor’s article “Advisors Find Value in Hedge Funds” which discusses evaluation criteria for hedge funds.
“According to the study ‘Portfolio Efficiency with Performance Fees’ by Windham Capital Management’s Mark Kritzman, the 2 and 20 model expenses burn up about 85 percent of hedge fund returns, which means a fund needs to consistently outperform to be worth the risk and cost.” For the full article, click HERE.
“The Components of Private Equity Performance: Implications for Portfolio Choice,” The Journal of Alternative Investments, Fall 2015 with W. Kinlaw and J. Mao.
We use a proprietary database of private equity returns to measure the excess return of private equity over public equity and to partition it into two components: an asset class alpha and compensation for illiquidity. Our evidence suggests that private equity managers, as a group, generate alpha by anticipating the relative performance of economic sectors. If we [...]
“Stability-Adjusted Portfolios” co-authored by Mark Kritzman, was featured in the The Journal of Portfolio Management’s Special QES Issue of 2016.
“The conventional approach for addressing estimation error in portfolio construction is to devise techniques for reducing the errors, such as compressing all the estimates toward a cross-sectional average or some other prior belief. In this article, the authors propose an alternative approach for dealing with estimation error, arguing that some estimates may be more or [...]
Richard Lindsey, Ph.D. and Andrew Weisman join Windham Capital Management as Co-Chief Investment Officers for Windham Liquid Alternatives.
Windham Capital Management is pleased to announce the addition of a Liquid Alternatives team with the hiring of Richard Lindsey,Ph.D. and Andrew Weisman. Lindsey and Weisman, both formerly of Janus Capital bring unsurpassed experience in the implementation and management of liquid alternatives strategies to Windham. While at Janus Capital, Lindsey and Weisman co-managed Risk Premia [...]