The Diversification Ratio: Measuring Portfolio Diversification
Continuing the series of blog posts on diversification indicators, I describe in this post a correlation-based measure of portfolio diversification called th...
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The Informativeness: Measuring the Homogeneity of a Universe of Assets
In this post, I will describe a measure of the homogeneity of a universe of assets, called the informativeness, introduced by Brockmeier et al.1 in their pap...
Trading Strategy Monitoring: Modeling the PnL as a Geometric Brownian Motion
Systematic trading strategies have the unfortunate habit of exhibiting worse performances in real-life than in backtests, partially due to backtest overfitti...
Correlation Matrices Denoising: Results from Random Matrix Theory
The estimation of empirical correlation matrices in finance is known to be affected by noise, in the form of measurement error, due in part to the short leng...
The Probabilistic Sharpe Ratio: Hypothesis Testing and Minimum Track Record Length for the Difference of Sharpe Ratios
In the first post of this series about the Sharpe ratio considered as a statistical estimator, I introduced a probabilistic framework to answer the question