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  - 2022 Jan 31
TA  - The Journal of Portfolio Management
PG  - 142--152
VI  - 48
IP  - 3
4099  - https://pm-research.com/content/48/3/142.short
4100  - https://pm-research.com/content/48/3/142.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.