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 is also explained, as it is linked to many new alternative methods of asset allocation such as risk parity investing.
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Brugière, P. (2020). Performance and Diversification Indicators. In: Quantitative Portfolio Management . Springer Texts in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-030-37740-3_6
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DOI: https://doi.org/10.1007/978-3-030-37740-3_6
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