Is there any standard test data for what is considered a diversified portfolio and non-diversified. I want to compare some metrics between a diversified portfolio and non-diversified portfolio.

It is easy to take a set of random stock from different sectors (diversified) and another set of random stocks from the same sector and call them diversified and non-diversified portfolios. However, I feel that when doing this we get a lot of variance between different tests if we don't choose the exact same set of stocks each time.

If we use statistics such as equal risk contribution of assets, we are assuming that these metrics define our diversified portfolio. Which I'm hoping to avoid. I want to use these metrics to explain my portfolio rather than let them define it. Also, I'm not sure that risk contribution metric takes into account the co-movement of stock pairs.

Thanks and appreciate your answers a lot!


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