PT - JOURNAL ARTICLE AU - Wesley Phoa TI - Portfolio Concentration and the Geometry of Co-Movement AID - 10.3905/jpm.2013.39.4.142 DP - 2013 Jul 31 TA - The Journal of Portfolio Management PG - 142--151 VI - 39 IP - 4 4099 - https://pm-research.com/content/39/4/142.short 4100 - https://pm-research.com/content/39/4/142.full AB - Understanding correlations and how they change over time is an important aspect of investing. But large correlation matrices are difficult or impossible to grasp intuitively. This article describes a method for transforming a correlation matrix into a point cloud in space, in which two points are close if the corresponding assets are highly correlated, and vice versa. Latent structures in the correlation matrix can thus be visualized geometrically. The method also provides an intuitive way to visualize how the correlation matrix changes over time, and can be used to derive quantitative measures of portfolio concentration.TOPICS: Portfolio construction, in portfolio management, equity portfolio management