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My guest today is Mark Kritzman, a Senior Lecturer in Finance at the MIT Sloan School of Management, founding Partner and Chief Executive Officer of Windham Capital Management and serves as a senior partner of State Street Associates. Mark has written six books, his latest titled “A Practitioners Guide to Asset Allocation”. Mark began his career on Wall Street in 1974 and was immediately drawn toward systematic trading. At a time when there were not many quantitative traders, he was affectionately titled a “token quant” within his company. Over the years Mark has been an advisor to many funds.
The topic is his book A Practitioner’s Guide to Asset Allocation.
In this episode of Trend Following Radio we discuss:
- Definition of an asset class
- Actively managed portfolios
- Passively managed portfolios
- Time diversification
- Portfolio diversification
- The fallacy of large numbers
- Leverage
- Value at risk
- Risk management
- Fear and greed
- Risk and reward
- Exposure to risk
“Time does not diversify risk.” – Mark Kritzman
“If we just step back, start with the basics and move on from there, that introduces comfort to the investment process.” – Mark Kritzman
Mentions & Resources:
- Mark Kritzman
- A Practitioners Guide to Asset Allocation
- Windham Labs
- Harry Markowitz
- Peter Bernstein
- Paul Samuelson
- Jerry Parker Interview
- The Yale Model
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