Wonderful article, thank you for the insight. I suppose p is a popular metric in portfolio management because of its simplicity in usage. It’s a single metric that wraps up historical pair-wise return relationships and while imperfect, does guide investors decisions meaningfully based on past performance of assets.

My question would be how do you account for dispersion in a single metric? Dispersion in fixed income cash flows is accounted for in the convexity figure, but I assume these dispersions are not created equal(?). Any thoughts on ratios/metrics/statistics one could use to demonstrate equity portfolio dispersion?

Thank you