Improved Risk Reporting with Factor-Based Diversification Measures

Table of Contents

Executive Summary.................................................................................................. 5

1. Introduction...........................................................................................................17

2. Portfolio Diversification Measures.................................................................21

3. Empirical Analysis for Equity Indices........................................................... 29

4. Empirical Analysis for Pension Funds............................................................39

5. Conclusion ..........................................................................................................53

Appendices...............................................................................................................55

References................................................................................................................87

About CACEIS..........................................................................................................91

About EDHEC-Risk Institute.................................................................................93

EDHEC-Risk Institute Publications and Position Papers (2011-2014).........97

We thank CACEIS for their useful comments. Any remaining errors or omissions are the sole responsibility of the authors. Printed in France, February 2014. Copyright EDHEC 2014. The opinions expressed in this survey are those of the authors and do not necessarily reflect those of EDHEC Business School and CACEIS.

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