Table 4 Summary statistics of the conditioned portfolio similarity in the real network and its counterparts in the random and balanced allocation scenarios
From: Portfolio diversification, differentiation and the robustness of holdings networks
Network | c | f | \({\textbf {q}^{*}_{\textbf {s}}}\) (0.09) | \(\textbf {Q}^{*}_{\textbf {s,1}}\) | \({\textbf {Q}^{*}_{\textbf {s,2}}}\) | \({\textbf {Q}^{*}_{\textbf {s,3}}}\) | \({\textbf {q}^{*}_{\textbf {s}}}\) (0.91) | \({\textbf {IQR}^{*}_{\textbf {s}}}\) | \(\bar {\textbf {s*}}\) |
|---|---|---|---|---|---|---|---|---|---|
Hor | 3.5·10−3 | 1.5·10−2 | 5.4·10−2 | 1.8·10−1 | 4.3·10−1 | 1.6·10−1 | 1.3·10−1 | ||
Hor,b | 2 | 1.5·10−2 | 3.2·10−2 | 8.0·10−2 | 1.7·10−1 | 2.8·10−1 | 1.3·10−1 | 1.2·10−1 | |
Hor,b | 10 | 1.4·10−2 | 3.1·10−2 | 7.7·10−2 | 1.6·10−1 | 2.7·10−1 | 1.3·10−1 | 1.1·10−1 | |
Hor,b | 100 | 1.4·10−2 | 3.1·10−2 | 7.6·10−2 | 1.6·10−1 | 2.7·10−1 | 1.3·10−1 | 1.1·10−1 | |
H1,b | 2 | 8.6·10−3 | 2.0·10−2 | 3.3·10−2 | 5.2·10−2 | 7.8·10−2 | 3.2·10−2 | 4.0·10−2 | |
H1,b | 10 | 1.1·10−2 | 1.8·10−2 | 2.7·10−2 | 4.2·10−2 | 6.3·10−2 | 2.5·10−2 | 3.3·10−2 | |
H1,b | 100 | 1.0·10−2 | 1.5·10−2 | 2.3·10−2 | 3.5·10−2 | 5.2·10−2 | 2.0·10−2 | 2.8·10−2 | |
H1 | 2 | 2.3·10−3 | 6.9·10−3 | 1.6·10−2 | 3.2·10−2 | 5.5·10−2 | 2.5·10−2 | 2.4·10−2 | |
H1 | 10 | 1.5·10−3 | 4.7·10−3 | 1.2·10−2 | 2.4·10−2 | 4.2·10−2 | 1.9·10−2 | 1.8·10−2 | |
H1 | 100 | 1.0·10−3 | 3.4·10−3 | 9.0·10−3 | 1.9·10−2 | 3.4·10−2 | 1.5·10−2 | 1.4·10−2 | |
H2,b | 2 | 1 | 2.4·10−2 | 3.8·10−2 | 6.2·10−2 | 9.4·10−2 | 1.4·10−1 | 5.6·10−2 | 7.3·10−2 |
H2,b | 2 | 10 | 2.4·10−2 | 3.9·10−2 | 6.2·10−2 | 9.4·10−2 | 1.4·10−1 | 5.5·10−2 | 7.3·10−2 |
H2,b | 10 | 1 | 2.3·10−2 | 3.6·10−2 | 5.8·10−2 | 8.8·10−2 | 1.3·10−1 | 5.2·10−2 | 6.9·10−2 |
H2,b | 10 | 10 | 2.3·10−2 | 3.6·10−2 | 5.8·10−2 | 8.7·10−2 | 1.3·10−1 | 5.1·10−2 | 6.9·10−2 |
H2,b | 100 | 1 | 2.2·10−2 | 3.5·10−2 | 5.7·10−2 | 8.7·10−2 | 1.3·10−1 | 5.1·10−2 | 6.8·10−2 |
H2,b | 100 | 10 | 2.2·10−2 | 3.6·10−2 | 5.7·10−2 | 8.6·10−2 | 1.3·10−1 | 5.1·10−2 | 6.8·10−2 |
H2 | 2 | 1 | 4.9·10−3 | 1.5·10−2 | 3.4·10−2 | 6.2·10−2 | 9.9·10−2 | 4.7·10−2 | 4.6·10−2 |
H2 | 2 | 10 | 4.5·10−3 | 1.3·10−2 | 3.0·10−2 | 5.4·10−2 | 8.4·10−2 | 4.0·10−2 | 3.8·10−2 |
H2 | 10 | 1 | 4.4·10−3 | 1.4·10−2 | 3.1·10−2 | 5.8·10−2 | 9.2·10−2 | 4.4·10−2 | 4.2·10−2 |
H2 | 10 | 10 | 4.1·10−3 | 1.2·10−2 | 2.7·10−2 | 4.9·10−2 | 7.7·10−2 | 3.7·10−2 | 3.5·10−2 |
H2 | 100 | 1 | 4.3·10−3 | 1.3·10−2 | 3.1·10−2 | 5.7·10−2 | 9.0·10−2 | 4.3·10−2 | 4.1·10−2 |
H2 | 100 | 10 | 4.0·10−3 | 1.2·10−2 | 2.7·10−2 | 4.9·10−2 | 7.7·10−2 | 3.7·10−2 | 3.4·10−2 |