Vermorken et al. (2012) introduce a new measure of diversication, the Diversication Delta based on the empirical entropy. The entropy as a measure of uncertainty has successfully been used in several frameworks and takes into account the uncertainty related to the entire statistical distribution and not just the rst two moments of a distribution. However, the suggested Diversication Delta measure has a number of drawbacks that we highlight in this article. We also propose an alternative measure based on the exponential entropy which overcomes the identied shortcomings. We present the properties of this new measure and illustrate its usefulness in an empirical example of a portfolio of U.S. stocks and bonds.