Improved Risk Reporting with Factor-Based Diversification Measures

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

Appendices

Table 13: Allocation of the World’s 10 Biggest Pension Funds

(a) Year 2007

Name

Country Dom. FI

Int. FI

Global HY Bonds

Global IL Bonds

Global MBS

Dom. Equ.

Int. Eq.

Private Eq.

Real Est.

Commo.

GPIF

Japan 67.60% 8.10% 0.00% 0.00% 0.00% 13.70% 10.60% 0.00% 0.00% 0.00%

GPF

Norway 26.24% 22.74% 0.51% 4.75% 0.00% 12.48% 33.27% 0.00% 0.00% 0.00%

ABP

Netherlands 10.30% 27.86% 0.00% 7.21% 0.00% 0.00% 36.22% 5.15% 10.17% 3.09%

KNPS

Korea

73.82% 8.14% 0.00% 0.00% 0.00% 15.51% 2.53% 0.00% 0.00% 0.00%

FRTIB

U.S.A 7.81% 0.00% 0.00% 0.00% 0.00% 71.88% 20.31% 0.00% 0.00% 0.00%

CalPERS U.S.A 22.78% 2.82% 0.60% 0.00% 0.00% 32.16% 26.71% 7.56% 7.16% 0.20% Chikyoren Japan 61.05% 7.57% 0.00% 0.00% 0.00% 17.64% 13.74% 0.00% 0.00% 0.00% CPP Canada 28.41% 0.00% 0.00% 3.88% 0.00% 15.09% 37.38% 8.26% 6.98% 0.00% PFZW Netherlands 13.95% 10.19% 1.41% 9.07% 0.00% 13.10% 26.90% 5.74% 14.35% 5.30% CalSTRS U.S.A 20.04% 0.00% 1.40% 0.00% 0.00% 39.28% 21.74% 7.82% 9.72% 0.00%

(a) Year 2012

Name

Country Dom. FI

Int. FI

Global HY Bonds

Global IL Bonds

Global MBS

Dom. Equ.

Int. Eq.

Private Eq.

Real Est.

Commo.

GPIF

Japan 62.84% 10.23% 0.00% 0.00% 0.00% 13.47% 13.47% 0.00% 0.00% 0.00%

GPF

Norway 10.55% 26.36% 0.28% 1.10% 0.00% 13.67% 47.72% 0.00% 0.33% 0.00%

ABP

Netherlands 21.27% 12.36% 2.73% 7.95% 0.00% 5.49% 29.74% 5.68% 10.23% 4.55%

KNPS

Korea

65.64% 5.06% 0.00% 0.00% 0.00% 20.53% 8.77% 0.00% 0.00% 0.00%

FRTIB

U.S.A 11.35% 0.00% 0.00% 0.00% 5.33% 68.96% 14.36% 0.00% 0.00% 0.00%

CalPERS U.S.A 19.10% 1.57% 0.31% 1.78% 0.00% 24.66% 28.44% 13.96% 8.71% 1.47% Chikyoren Japan 61.80% 10.29% 0.00% 0.00% 0.00% 15.61% 12.30% 0.00% 0.00% 0.00% CPP Canada 28.42% 0.84% 1.30% 0.76% 5.33% 3.96% 26.99% 18.81% 13.59% 0.00% PFZW Netherlands 19.92% 8.13% 2.52% 5.43% 0.00% 8.21% 23.36% 7.17% 16.81% 8.45% CalSTRS U.S.A 17.57% 0.00% 1.23% 0.20% 0.00% 36.47% 15.73% 14.40% 14.40% 0.00% This table displays the allocations (in risky asset classes) of the world’s 10 biggest pension funds in year 2007, and 2012, hand collected using public information gathered from their official website, from their financial statements and from their comprehensive annual reports. Alternative investments have been removed from these allocations.

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An EDHEC-Risk Institute Publication