'INTRAPORTFOLIO CORRELATION': AN APPLICATION FOR INVESTMENTS STUDENTS

摘要

"Intraportfolio correlation" (IPC), a measure of portfolio diversification, is becoming increasingly popular among investment practitioners. However, far from providing the "free lunch" its adherents assert, the IPC is a simplistic and flawed measure that ignores material information about the relationships among portfolio assets. Deconstructing the IPC therefore can be a productive and educational exercise (and a cautionary tale) for students of portfolio theory. In this paper, we describe the measure, then offer suggestions about incorporating it into an introductory investments course.