Improved Risk Reporting with Factor-Based Diversification Measures

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

Appendices

Figure 7: Performances of 14 Equity Indices with respect to their Diversification Measures during the Subprime Crisis

These figures display the annualised performances of 14 equity indices during the worst of the subprime crisis (between the beginning of September 2008 and the end of February 2009) with respect to their respective effective number of constituents (ENC) and their effective number of uncorrelated bets (ENB) computed at the end of August 2008. These figures display the outlier (the FTSE 100) but the slope of the linear regression is computed without this outlier.

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An EDHEC-Risk Institute Publication