Improved Risk Reporting with Factor-Based Diversification Measures

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

Appendices

time period between January 1958 and the end of December 2012.

Figure 4: Average Diversification Measures of 14 Equity Indices with respect to their Number of Constituents

These figures display the average effective number of constituents (ENC) and the average effective number of uncorrelated bets (ENB) of 14 equity indices computed over their respective whole historical data available with respect to the facial number of constituents of each equity index. For clarity, the FTSE All World is not displayed in this figure.

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An EDHEC-Risk Institute Publication