Skip to content

Gini Calculation Spreadsheet

October 22, 2012

Here is a spreadsheet that shows the calculation of the Gini Coefficient which is used in calculating the Composite Diversification Indicator (CDI) in the Mincorr Paper. For reference, the Gini is a measure of inequality that is expressed on a scale from 0 to 1.  For a perfectly equal portfolio, the Gini would be zero. For a perfectly concentrated portfolio, the Gini would be 1.  In the CDI, we focus on using the Gini on the asset risk contributions- which is similar to the focus for Equal Risk Contribution (ERC) by Roncalli. ERC is often confused with simpler versions of Risk Parity, it is more sophisticated in that it optimizes to make all risk contributions equal in the portfolio (versus having a fixed equal risk- ie target risk of 10%- for each asset). Below is the spreadsheet to calculate the GINI:

GINI calculation

About these ads
3 Comments leave one →
  1. October 25, 2012 2:19 am

    I remember it from university.. there are many also for performance like Sortino, Treynor, Sharpe.. would be great everyone in a single integrated spreadsheet :-)

    http://nightlypatterns.wordpress.com/

    http://backtestingvix.wordpress.com/

Trackbacks

  1. An Elegant Measure of Diversification: The Cluster Gini Score (CGS) « CSSA
  2. ETF Prophet | An Elegant Measure of Diversification

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s

Follow

Get every new post delivered to your Inbox.

Join 539 other followers

%d bloggers like this: