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Portfolio Martin ratio higher than its holdings

DN
Dennis Nolen04 июня 25 г. | Опубликовано в Общая
how can the martin ratio for the whole portfolio be higher than any of the individual holdings?
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Dmitry Shevchenko05 июня 25 г.

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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