Tag Archives: diversification

On smart beta

A bit of perspective on a buzzword. The prompt The Axioma Quant Forum in London included a discussion of smart beta.  I took two highlights from it: a point of view and a question. The point of view was stated by Gerben de Zwart: “Smart beta seems like a replay of simple quant strategies of the … Continue reading

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2 dimensions of portfolio diversity

Portfolio diversity is a balancing act. Previously The post “Portfolio diversity” talked about the role of the correlation between assets and the portfolio.  The current post fills a hole in that post. The 2 dimensions asset-portfolio correlation Each asset in the universe has a correlation with the portfolio.  If there are any assets that have … Continue reading

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Diverse US portfolios did well in 2011

Constraining the maximum asset-portfolio correlation gave bigger returns and smaller volatility. Previously “Portfolio diversity” introduced the topic of asset-portfolio correlations.  It also generated four sets of long-only random portfolios as of the start of 2011 using constituents of the S&P 500: exactly 20 names, weights between 1% and 10% exactly 20 names, maximum asset-portfolio correlation … Continue reading

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Portfolio diversity

How many baskets are your eggs in? Meucci diversity Attilio Meucci directly addresses the adage: Don’t put all your eggs in one basket. His idea is to think of your portfolio as a set of  subportfolios that are each uncorrelated with the rest.  If your portfolio can be configured to have a lot of roughly … Continue reading

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