TY - JOUR T1 - History, Shocks, and Drifts: A New Approach to Portfolio Formation JF - The Journal of Portfolio Management SP - 142 LP - 152 DO - 10.3905/jpm.2021.1.321 VL - 48 IS - 3 AU - Mark Kritzman AU - David Turkington Y1 - 2022/01/31 UR - https://pm-research.com/content/48/3/142.abstract N2 - 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. ER -