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Tell me, what exactly is diversification and how do we evaluate it?

Speaker: Jean-Paul Jaegers, Head of Asset Allocation, Barclays Wealth Management & Investment

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Event Agenda 

17:30 - 18:30 GMT - CQF Institute Global Talk: Jean-Paul Jaegers

This event can earn you up to 2 CPD credits.


What exactly is diversification when building investment portfolios? It may sound like a simple question but try to answer and focus on definitions. You’ll quickly note that the quantitative definition is likely inadequate. Optimising a portfolio’s Sharpe ratio? Maximising Entropy? Minimising a Herfindahl-Hirschman Index? 

Although you see the word ‘diversification’ being used almost everywhere in an investment philosophy or in brochures, investors still wrestle with how exactly we evaluate or measure it over time. 

How can one assess what is best, the highest value or the most robust? Can one over-diversify? What do we achieve with an ‘optimal portfolio’ (possibly not much), therefore should we possibly better focus on robustness? Most students during their Finance education come across optimisation techniques like (Robust) Mean-Variance, Black-Litterman, Utility optimisation, etc. but all these techniques come with limitations, implicit trade-offs and sensitivities. Actually, a lot of portfolio asset allocations located just under the efficient frontier may look very different.

“You can explore portfolio optimization in the ‘Advanced Portfolio Management’ elective of the CQF Qualification. Take a look at the program here.”

Speaker Bio

Jean-Paul Jaegers joined Barclays in 2018, quickly stepping up to Head of Investment Strategy, and in July 2019 became Head of Asset Allocation. Jean-Paul joined from Prudential UK, where he was Senior Investment Strategist for the multi asset ‘with profit’ funds. Prior to that, Jean-Paul was Senior Portfolio Manager and Deputy Head of Research in the multi asset solutions teams at BNP Paribas Asset Management and Fortis Investments.
Jean-Paul has over 17 years of experience in the investment management sector.  He has a Masters in Finance from Maastricht University, is CFA charter holder and CQF qualified. Jean-Paul is a frequent contributor of economic and capital market’s insight to Bloomberg, CNBC and various other media outlets.