Portfolio Martin ratio higher than its holdings
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Dennis NolenJune 04, 25 | Posted in General
how can the martin ratio for the whole portfolio be higher than any of the individual holdings?
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Dmitry ShevchenkoJune 05, 25
This is an effect of diversification and is completely expected and desirable. Individual portfolio assets typically experience drawdowns at different times, which means the portfolio’s overall drawdown is usually smaller and shorter. As a result, the Ulcer Index tends to be lower.
This applies to many (if not all) risk metrics, the risk-adjusted performance of a portfolio as a whole is often better than that of its individual components.
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