Mark Kritzman
Mark P. Kritzman, CFA, is a quantitative-finance practitioner: president and CEO of Windham Capital Management in Boston and a senior lecturer at the MIT Sloan School of Management. He is one of the most-cited named practitioner researchers on market regimes, and his work is the practitioner counterpart to the academic regime-switching literature in this vault. He co-authored Kritzman and Li 2010 (the Financial Turbulence Index), Kritzman Page Turkington 2012 (Markov-switching regime forecasting for dynamic asset allocation, published by the CFA Institute), and the practitioner reference Asset Allocation: From Theory to Practice and Beyond (2021) with William Kinlaw and David Turkington.
Kritzman appears in this vault because his research exemplifies the vault’s emerging conclusion: practitioner research treats regime/Markov models primarily as risk-management and asset-allocation tools, not as direct alpha engines. His turbulence index is explicitly an outlier/risk measure used to scale exposure, and his Markov-switching dynamic-strategy work is framed around helping “investors who seek to avoid large losses”. His research has disclosed methodology and named authorship, making it admissible under the vault’s source constraints, though headline results sit behind the CFA Institute paywall and predate modern overfitting-control standards.
Connections
- Kritzman and Li 2010 — proposes_model, source: https://portfoliooptimizer.io/blog/the-turbulence-index-measuring-financial-risk/
- Kritzman Page Turkington 2012 — proposes_model, source: https://rpc.cfainstitute.org/research/financial-analysts-journal/2012/regime-shifts-implications-for-dynamic-strategies-corrected
- Financial Turbulence Index — proposes_model, source: https://portfoliooptimizer.io/blog/the-turbulence-index-measuring-financial-risk/
- State Street Associates — relates, source: https://rpc.cfainstitute.org/research/financial-analysts-journal/2012/regime-shifts-implications-for-dynamic-strategies-corrected
- CFA Institute — relates, source: https://rpc.cfainstitute.org/research/financial-analysts-journal/2012/regime-shifts-implications-for-dynamic-strategies-corrected