PT  - JOURNAL ARTICLE
AU  - William Kinlaw
AU  - Mark Kritzman
AU  - David Turkington
ED  - Mack, Barbara J.
TI  - Practical Applications of The Divergence of High- and Low-Frequency Estimation: <em>Causes and Consequences</em>
AID  - 10.3905/pa.2015.2.4.100
DP  - 2015 Apr 30
TA  - Practical Applications
PG  - 1--5
VI  - 2
IP  - 4
4099  - https://pm-research.com/content/2/4/1.6.short
4100  - https://pm-research.com/content/2/4/1.6.full
AB  - The Divergence of High- and Low-Frequency Estimation: Causes and Consequences William Kinlaw Mark Kritzman David Turkington Surprising new evidence suggests that the “square root of time” rule for annualizing standard deviation—hard-coded into risk management and optimization software packages and embedded in the Black-Scholes equation—is often wrong. Will Kinlaw , Mark Kritzman and David Turkington explain why in The Divergence of High- and Low-Frequency Estimation: Causes and Consequences ( The Journal of Portfolio Management’s 40th Anniversary Issue ). The article was named Outstanding Article in the 16th Annual Bernstein/Fabozzi Jacobs Levy Awards . Their research is useful for portfolio managers and investors who are confronting the challenges of balancing short- and long-term investment outcomes.The authors advise caution when extrapolating high-frequency risk estimates to long-term scenarios, drawing on divergence between US and emerging-market stocks from 1990 to 2013 to illustrate the dangers of this approach.