Dispersion (finance)
Encyclopedia
Dispersion is a measure for the statistical distribution
of portfolio
returns. It is the asset
-weighted standard deviation
of individual portfolio returns within a comparable client group (composite
) from the composite return.
(i)Range
(ii)Variance
(iii)Standard Deviation
(iv)Mean Deviation
(v)Quartile Deviation
Distribution (mathematics)
In mathematical analysis, distributions are objects that generalize functions. Distributions make it possible to differentiate functions whose derivatives do not exist in the classical sense. In particular, any locally integrable function has a distributional derivative...
of portfolio
Portfolio (finance)
Portfolio is a financial term denoting a collection of investments held by an investment company, hedge fund, financial institution or individual.-Definition:The term portfolio refers to any collection of financial assets such as stocks, bonds and cash...
returns. It is the asset
Asset
In financial accounting, assets are economic resources. Anything tangible or intangible that is capable of being owned or controlled to produce value and that is held to have positive economic value is considered an asset...
-weighted standard deviation
Standard deviation
Standard deviation is a widely used measure of variability or diversity used in statistics and probability theory. It shows how much variation or "dispersion" there is from the average...
of individual portfolio returns within a comparable client group (composite
Function composition
In mathematics, function composition is the application of one function to the results of another. For instance, the functions and can be composed by computing the output of g when it has an argument of f instead of x...
) from the composite return.
Types of Dispersion
Dispersion is of the following types:(i)Range
Range
-In mathematics:* Range , the set of all output values produced by a function* Interval , also called a range, a set of real numbers that includes all numbers between any two numbers in the set...
(ii)Variance
Variance
In probability theory and statistics, the variance is a measure of how far a set of numbers is spread out. It is one of several descriptors of a probability distribution, describing how far the numbers lie from the mean . In particular, the variance is one of the moments of a distribution...
(iii)Standard Deviation
Standard deviation
Standard deviation is a widely used measure of variability or diversity used in statistics and probability theory. It shows how much variation or "dispersion" there is from the average...
(iv)Mean Deviation
(v)Quartile Deviation