[HTML][HTML] Covid-19 and smart beta: A case study on the role of sectors

M Hasaj, B Scherer - Financial Markets and Portfolio Management, 2021 - Springer
We investigate the role of sectors on the performance of smart beta products during the
COVID-19 crisis. Cross-sectional differences in excess returns (versus a market capitalized …

The Stock-Bond Correlation

M Czasonis, M Kritzman… - The Journal of Portfolio …, 2020 - jpm.pm-research.com
Investors rely on the stock-bond correlation for a variety of tasks, such as forming optimal
portfolios, designing hedging strategies, and assessing risk. Most investors estimate the …

[PDF][PDF] A New Index of the Business Cycle

W Kinlaw, M Kritzman, D Turkington - Journal of Investment Management, 2021 - joim.com
The authors introduce a new index of the business cycle that uses the Mahalanobis distance
to measure the statistical similarity of current economic conditions with past episodes of …

The role of factors in asset allocation

M Kritzman - The Journal of Portfolio Management, 2021 - pm-research.com
For many decades, asset classes have been the main building blocks for constructing
portfolios, and, appropriately, they still are. However, in recent years investors increasingly …

Relevance

M Czasonis, M Kritzman… - Czasonis, M., M. Kritzman …, 2022 - papers.ssrn.com
The authors describe a new statistical concept called relevance from a conceptual and
mathematical perspective, and based on their mathematical framework, they present a …

Portfolio Choice with Path-Dependent Scenarios

M Kritzman, D Li, G Qiu, D Turkington - Financial Analysts Journal, 2021 - Taylor & Francis
Sophisticated investors rely on scenario analysis to select portfolios. We propose a new
approach to scenario analysis that enables investors to consider sequential outcomes. We …

[BOOK][B] Asset allocation: from theory to practice and beyond

W Kinlaw, MP Kritzman, D Turkington - 2021 - books.google.com
Discover a masterful exploration of the fallacies and challenges of asset allocation In Asset
Allocation: From Theory to Practice and Beyond—the newly and substantially revised …

The Impact of Fiscal and Monetary Policy on the Cross-Sectional Value Factor

C Suvak - 2023 - dspace.mit.edu
I find strong evidence that the cross-sectional value factor's returns are impacted by fiscal
and monetary policy in the post-Bretton Woods era. Using a custom set of 768 value factors …

Severe but plausible–or not?

S Gavell, C Kulasekaran, M Kritzman - Journal of Risk, 2021 - papers.ssrn.com
In light of the Covid-19 crisis, the Federal Reserve (Fed) has carried out stress tests to
assess whether major banks have sufficient capital to ensure their viability should a new and …

How to Predict the Performance of NBA Draft Prospects

M Czasonis, M Kritzman, C Kulasekaran, D Turkington - 2023 - papers.ssrn.com
The authors describe a new mathematical system for predicting outcomes of NBA draft
prospects based on a statistical concept called relevance, which gives a mathematically …