The Divergence of High- and Low-Frequency Estimation

Implications for Performance Measurement

Spring 2015

To calculate standard deviations as a measure of performance risk, analysts typically use an approach that yields an approximate answer. State Street Associates’ Will Kinlaw and David Turkington challenge this advice.

In their article published in The Journal of Portfolio Management, Kinlaw and Turkington question the validity of the popular investment strategy known as risk parity.

SEE WHAT IT REVEALS