  The benefits of portfolio diversification is a central tenet implicit to
modern financial theory and practice. Linked to diversification is the notion
of breadth. Breadth is correctly thought of as the number of in- dependent bets
available to an investor. Conventionally applications us- ing breadth
frequently assume only the number of separate bets. There may be a large
discrepancy between these two interpretations. We uti- lize a simple
singular-value decomposition (SVD) and the Keiser-Gutman stopping criterion to
select the integer-valued effective dimensionality of the correlation matrix of
returns. In an emerging market such as South African we document an estimated
breadth that is considerably lower than anticipated. This lack of
diversification may be because of market concentration, exposure to the global
commodity cycle and local currency volatility. We discuss some practical
extensions to a more statistically correct interpretation of market breadth,
and its theoretical implications for both global and domestic investors.
