Performance and Diversification Indicators

Pierre Brugière
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Pierre Brugière: University Paris Dauphine-PSL

Chapter Chapter 6 in Quantitative Portfolio Management, 2020, pp 95-102 from Springer

Abstract: Abstract This chapter describes some statistics which, when screening a large number of funds, are useful to classify them and to automatically select the ones which seem to be particularly relevant. Some of these indicators depend on the leverage used by the funds while others measure the intrinsic quality of the fund, i.e. its engine of performance independently from any potential leverage artefacts. The Diversification ratio Ratio diversification is also explained, as it is linked to many new alternative methods of asset allocation such as risk parity Risk parity investing.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-030-37740-3_6

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DOI: 10.1007/978-3-030-37740-3_6

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