Mark Kritzman

Introduction to 'Valuation in Emerging Markets'

The purpose of the Batten InstituteyAssociation for Investment Management and Researchy Emerging Markets Review conference was to examine the challenges of valuing assets in emerging markets. These challenges are immensely interesting to practitioners and scholars for many reasons, among them for what they reveal about the differences between emerging markets and developed markets. The colloquium surveyed business and research practices, stimulated critical reflection, and highlighted questions for future research. This article provides an overview of the issues discussed in the conference. 2002 Elsevier Science B.V. All rights reserved.

Who Charges More: Hedge Funds or Mutual Funds?

Explicit mutual fund fees are typically less than 1% of the assets under management. By comparison, the typical hedge fund charges a base fee of 2% plus a performance fee equal to 20% of net profits. Thus, hedge funds appear to charge far more for even comparable performance-unless one takes account of the following: Copyright (c) 2008 Morgan Stanley.

Practical Applications of Facts about Factors

Practical Applications Summary In Facts about Factors, published in the 2017 Special Issue of The Journal of Portfolio Management, Paula Cocoma, Megan Czasonis, Mark Kritzman, and David Turkington compare portfolio construction methods that are based on allocation to factors rather than using traditional building blocks such as asset class or industry sectors. “Because factors have an additional source of instability—mapping errors—factors are less stable than the traditional ways of grouping assets,” notes Kritzman. “Factors are obviously a very hot topic right now,” Turkington says. “But there is a lot of confusion about what factor investing means and the ways in which it adds value. We wanted to bring some clear analysis and new analytic perspectives to factors.”

Evaluating Retirement Strategies: A Utility-Based Approach

Retirees need to make two critical financial decisions, namely, the withdrawal rate and the asset allocation of their portfolios. We propose a methodology that retirees, and particularly advisors, could use to make these decisions in an optimal way. We introduce a new variable, the coverage ratio, and a theoretical approach, based on utility. Our approach can be used to make optimal decisions during both the accumulation and the retirement period, but we illustrate it by focusing on the latter, and particularly on the choice of an optimal asset allocation. We find that the strategies selected by our utility-based approach are in general somewhat more aggressive than those selected by the failure rate and other existing approaches.

Practical Applications of Principal Components as a Measure of Systemic Risk

Monitoring systemic risk has become a top priority for regulators and investors, and this Practical Applications report explores research about the use of asset prices to judge the level of implied systemic risk in the marketplace. In Principal Components as a Measure of Systemic Risk , which was published in the Summer 2011 issue of The Journal of Portfolio Management , the authors introduce an asset price-centric metric called the absorption ratio. In Toward Determining Systemic Importance , which was published in the Summer 2012 issue of JPM, the authors explore the practical applications of the absorption ratio by applying the methodology to a sample of industry returns for the U.S. stock market and for company returns within the U.S. and global financial sectors. Mark Kritzman, President and CEO of Windham Capital Management in Boston and a co-author of the two articles, tells us how to use the absorption ratio as a signal.