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The Divergence of High- and Low-Frequency Estimation: Causes and Consequences

By William Kinlaw, Mark Kritzman, David Turkington, State Street Associates

Apr 6, 2019

By William Kinlaw, Mark Kritzman, and David Turkington

Published in the Journal of Portfolio Management, 40^th Year Special Anniversary Issue

Financial analysts are often surprised by the extent to which assets that are thought to be strongly correlated diverge over time. We analyze the causes and consequences of the divergence of high- and low-frequency estimation, and we present a framework for constructing portfolios that balance short and long-horizon optimality.

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1.Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Doriot Award for Best Private Equity Research Paper in 2022; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012 and 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010.