Читать книгу Alternative Investments - Hossein Kazemi - Страница 62

An important aspect of a return is the way that it correlates with other returns. This is because correlation affects diversification, and diversification drives the risk of a portfolio of assets relative to the risks of the portfolio's constituent assets. This section begins with an examination of covariance, then details the correlation coefficient. Much as standard deviation provides a more easily interpreted alternative to variance, the correlation coefficient provides a scaled and intuitive alternative to covariance. Finally, the section discusses the concepts of beta and autocorrelation.