State Street Global Exchange Honored by the Journal of Portfolio Management

Research on the Causes and Consequences of Divergence in High and Low Frequency Estimation Receives Outstanding Article Award

BOSTON--()--State Street Corporation (NYSE: STT) announced today that research article authored by Global Exchange’s Will Kinlaw and David Turkington received an outstanding article award as part of The Journal of Portfolio Management’s (JPM) 16th Annual Bernstein Fabozzi/Jacobs Levy Awards.

Co-authored with Mark Kritzman, chief executive officer of Windham Capital Management and founding partner of State Street Associates, the article, “The Divergence of High- and Low-Frequency Estimation: Causes and Consequences” looks at the dangers of extrapolating risk estimates derived from higher frequency data to forecast outcomes over longer horizons. It also presents a framework for constructing portfolios that balance short- and long-term horizons.

“This article presented by Kinlaw, Kritzman and Turkington exemplifies the ground-breaking research that can be found in the Journal of Portfolio Management,” said Allison Adams, publisher of Institutional Investor Journals. "The research is useful for portfolio managers and investors who are confronting the challenges of balancing short- and long-term investment outcomes.”

“We’re honored to be recognized by The Journal of Portfolio Management,” said Will Kinlaw, senior managing director and head of research and advisory for State Street Global Exchange. “The ‘square root of time’ rule for annualizing standard deviation is everywhere. It’s hard-coded into risk management and optimization software packages, required by performance measurement rules, and embedded in the Black-Scholes equation. Unfortunately, it’s often wrong.”

The winning article, along with other research published by State Street, helps inform insights offered through GX Investment Labs, a recent launched suite of interactive applications that can be used by clients to inform their investment process.

The Bernstein Fabozzi/Jacobs Levy Awards were established in 1999, on the 25th anniversary of The Journal of Portfolio Management, to honor Editors Peter Bernstein and Frank Fabozzi for their contributions and to promote research excellence in the theory and practice of portfolio management.

The winning article can be found (here).

About The Journal of Portfolio Management

Edited by Frank Fabozzi and founded in 1974 by Peter L. Bernstein, The Journal of Portfolio Management is the leading editorial source of cutting-edge strategies and analyses for institutional investment management. Published by Institutional Investor, it is available quarterly in print and online.

About State Street

State Street Corporation (NYSE: STT) is one of the world's leading provider of financial services to institutional investors including investment servicing, investment management and investment research and trading. With $28.19 trillion in assets under custody and administration and $2.45 trillion* in assets under management as of December 31, 2014, State Street operates in more than 100 geographic markets worldwide, including the US, Canada, Europe, the Middle East and Asia. For more information, visit State Street’s web site at www.statestreet.com.

* Assets under management include the assets of the SPDR® Gold ETF (approximately $27.3 billion as of December 31, 2014), for which State Street Global Markets, LLC, an affiliate of SSgA, serves as the distribution agent.

Contacts

State Street Corporation
Anne McNally, + 1617-664-8576
AEMcnally@StateStreet.com
@StateStreet

Contacts

State Street Corporation
Anne McNally, + 1617-664-8576
AEMcnally@StateStreet.com
@StateStreet