Mark Kritzman receives award for article on tracking markets’ vulnerability to shocks

BOSTON, Feb 28, 2012–The prestigious Journal of Portfolio Management has bestowed its outstanding article award to the research underlying Windham Capital’s innovative approach to systemic risk, the threat posed by the often little understood linkages among markets that can amplify the impact of an economic or financial shock.

The article drew on research conducted by Windham’s Mark Kritzman, chief investment officer, and Yuanzhen Li, senior research associate, leading authorities on systemic risk. They and their co-authors – Sebastien Page and Roberto Rigobon – won the Bernstein Fabozzi/Jacobs Levy Outstanding Article Award honoring innovative research and practice in portfolio management.

“The global financial crisis brought home to regulators and investors the importance of understanding the connections among markets and how they contribute to market fragility,” noted Kritzman. “At Windham, we use the insights from our research into these connections as part of our integrated, comprehensive view of risk. They play an important role in our ability to navigate through periods of market vulnerability and to identify opportunities at critical junctures.”

Systemic risk is high when markets are tightly coupled, increasing the tendency of shocks to reverberate through a wide range of assets and potentially trigger severe sell-offs. By contrast, systemic risk is low when markets are more loosely linked and thus more resilient.  The methodology developed by Kritzman and Li lets Windham identify systemically important companies, sectors and countries, and then use this information to assess vulnerability to systemic shocks.

Since October 2011, Windham has noted modest decreases in its systemic risk measures, possibly signaling the beginning of a trend toward greater stability and resilience in the markets. “In evaluating the risk environment, there is a potentially significant buy signal when there is a transition from high to low systemic risk, following a market sell-off,” said Kritzman.

The winning article was published under the title, “Principal Components as a Measure of Systemic Risk.” This is the fourth time that Kritzman has been honored with this award.

Windham Capital Management

Boston-based Windham Capital Management was founded in 1988 as an SEC-registered investment advisor. Windham is widely known for its pioneering research and its impact on the way institutional investors manage assets. Windham provides investment management for institutional investors, intermediaries and private clients. Armed with innovative research and proprietary risk management, Windham creates and manages portfolios and single-strategies to increase the probability of investment success in both calm and turbulent markets.  A key input to this process is Windham’s proprietary risk measures, which reflect financial market sensitivity to changes in levels of market turbulence and provide an early warning signal to fragile markets.  For more information, please visit