Portfolio construction
Maximum diversification portfolio
The mix that gets the most out of correlation: the highest ratio of the tickers' average volatility to the portfolio's volatility.
Die Idee in einfachen Worten
The diversification ratio compares the risk you hold piece by piece with the risk of the whole. A ratio of 1 means no diversification at all; 2 means the portfolio is half as risky as its parts. The maximum diversification portfolio maximises that ratio, so it leans towards tickers that are uncorrelated with the rest.
So wird gerechnet
Maximise the weighted average volatility divided by the portfolio volatility, long only, weights adding up to 1. Mathematically it is the maximum Sharpe portfolio with each ticker's "return" replaced by its volatility.
DR(w) = (Σ wᵢ σᵢ) ÷ √(wᵀΣw)
maximise DR(w) subject to Σwᵢ = 1, wᵢ ≥ 0Anwendung
- When you believe returns are roughly proportional to risk and want the most diversified way to hold it.
- Read the diversification ratio of any portfolio in the study to compare models on this score.
Schlüsse ziehen
- A higher ratio than ERC means the model found more correlation benefit.
- Tickers left at 0% are well represented by others.
Beispiel
Running example (used in every portfolio guide): US500, GER40, gold (XAUUSD) and EURUSD, two years of daily data. Expected returns 8%, 7%, 7% and 1% a year; volatilities 18%, 20%, 15% and 7%. US500 and GER40 move together (correlation about 0.7); gold hardly moves with the indices (about 0.04). Weights 18% US500, 11% GER40, 28% gold, 44% EURUSD. Diversification ratio 1.51 (equal weights: 1.43). GER40 is cut most because US500 already carries its risk; gold gets the most of the volatile tickers because it is the least correlated.
Die Eingaben des Beispiels dienen der Veranschaulichung; die Gewichte und Zahlen sind das, was unser Optimierer dafür liefert.
Worauf man achten sollte
- Sensitive to small changes in correlations when several tickers are alike.
- It does not look at returns; a diversified portfolio can still be a poor earner.
Ein wenig Geschichte
Yves Choueifaty and Yves Coignard, "Toward Maximum Diversification" (Journal of Portfolio Management, 2008); the basis of TOBAM's "anti-benchmark" funds.
Nur Bildungsinhalte. Kein Portfoliomodell kennt die Zukunft: Jedes arbeitet mit Schätzungen aus der Vergangenheit, und nichts hier ist eine Anlageberatung.