# Gini Calculation Spreadsheet

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:

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/