Improved Risk Reporting with Factor-Based Diversification Measures

Improved Risk Reporting with Factor-Based Diversification Measures — February 2014

Executive Summary

Figure 3: Performances of US Pension Funds with respect to their Diversification Measures at the End of September 2007 These figures display the annualised performances of the US pension funds of the P&I database computed on two different periods with respect to their diversification measures at the end of September 2007. The annualised performances are calculated on the year immediately following the date of computation of the diversification measures (from 28/09/2007 to 26/09/2008) and during the worse of the subprime crisis (from 05/09/2008 to 27/02/2009). We consider that pension funds’ asset allocation has not changed since the end of September 2007, therefore, the performances displayed here are only estimates .

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An EDHEC-Risk Institute Publication