@article {Kritzman142, author = {Mark Kritzman and David Turkington}, title = {History, Shocks, and Drifts: A New Approach to Portfolio Formation}, volume = {48}, number = {3}, pages = {142--152}, year = {2022}, 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/48/3/142}, eprint = {https://jpm.pm-research.com/content/48/3/142.full.pdf}, journal = {The Journal of Portfolio Management} }