The Gerber Statistic: A Robust Co-Movement Measure for Correlation Matrix Estimation
The Gerber statistic is a measure of co-movement similar in spirit to the Kendall’s Tau coefficient that has been introduced in Gerber et al.1 to estimate c...
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Corrected Cornish-Fisher Expansion: Improving the Accuracy of Modified Value-at-Risk
Modified Value-at-Risk (mVaR) is a parametric approach to computing Value-at-Risk introduced by Zangari1 that adjusts Gaussian Value-at-Risk for asymmetry a...
The Mathematics of Bonds: Simulating the Returns of Constant Maturity Government Bond ETFs
With more than $1.2 trillion under management in the U.S. as of mid-July 20221, investors are more and more using bond ETFs as building blocks in their asset...
The Turbulence Index: Regime-based Partitioning of Asset Returns
The turbulence index, introduced in the previous blog post, is a measure of statistical unusualness of asset returns popularized by Kritzman and Li1. It pro...
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...