© 2009 Elsevier Limited. All rights reserved.
Doi:10.1016/B978-0-12-374952-9.00004-X.

2010

The Windham Portfolio Advisor

Mark Kritzman

4

Executive Summary

The Windham Portfolio Advisor (WPA) is a technology platform for efficient

portfolio construction and sophisticated risk management. It addresses the over-

arching investment issues faced by both institutional and individual investors. The

WPA is especially distinguished by several unique innovations, including multigoal

optimization, which enables investors to optimize portfolios on the basis of both

absolute and relative performance simultaneously; within-horizon risk measure-

ment, which assesses a portfolio’s exposure to loss throughout the investment

horizon rather than just at the conclusion; identification of risk regimes, which

partitions historical returns into subsamples representing quiet and turbulent peri-

ods; and full-scale optimization, which directly maximizes expected utility, how-

ever it is defined, taking into account all features of a return distribution.

4.1 Introduction

The Windham Portfolio Advisor (WPA) is a technology platform for efficient
portfolio construction and sophisticated risk management. It is designed to
address the overarching investment issues faced by endowment funds, foun-
dations, pension funds, sovereign wealth funds, asset managers, investment
consultants, and brokerage firms. 1 It is a highly versatile tool as evidenced by
the wide range of portfolio applications described in the Appendix. But it is
especially distinguished by several unique innovations, which warrant separate
attention, because these features address some of the most vexing problems of
investment management. These unique innovations include:

● Multigoal optimization, which enables investors to optimize portfolios on the basis
of both absolute and relative performance simultaneously;
● Within-horizon risk measurement, which assesses a portfolio’s exposure to loss
throughout the investment horizon rather than just at the conclusion;

1 Windham Capital Management, LLC also offers a companion technology platform called the
Windham Financial Planner (WFP). The focus of the WFP is to assist private wealth investors
and those professionals who service them.