@article {Kritzmanjpm.2021.1.321, author = {Mark Kritzman and David Turkington}, title = {History, Shocks, and Drifts: A New Approach to Portfolio Formation}, elocation-id = {jpm.2021.1.321}, year = {2021}, doi = {10.3905/jpm.2021.1.321}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Investors intuitively view future possibilities as a combination of historical outcomes, shocks that occur suddenly, and drifts that unfold gradually over several years. The authors show how to build portfolios based on such a view of the future. Their key innovation is to create a mixed-frequency return sample that properly balances short-term and long-term returns and to form portfolios by considering all the returns of the sample instead of a statistical summary of them.}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/early/2021/12/17/jpm.2021.1.321}, eprint = {https://jpm.pm-research.com/content/early/2021/12/17/jpm.2021.1.321.full.pdf}, journal = {The Journal of Portfolio Management} }