PT  - JOURNAL ARTICLE
AU  - Mark Kritzman
AU  - David Turkington
TI  - History, Shocks, and Drifts: A New Approach to Portfolio Formation
AID  - 10.3905/jpm.2021.1.321
DP  - 2021 Dec 17
TA  - The Journal of Portfolio Management
PG  - jpm.2021.1.321
4099  - https://pm-research.com/content/early/2021/12/17/jpm.2021.1.321.short
4100  - https://pm-research.com/content/early/2021/12/17/jpm.2021.1.321.full
AB  - 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.