Improved Risk Reporting with Factor-Based Diversification Measures

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

Appendices

Figure 14: Performances of US Pension Funds from 05/09/2008 to 27/02/2009 with respect to their Diversification Measures at the end of September 2007

These figures display the annualised performances of US pension funds computed during the worst of the subprime crisis (from 05/09/2008 to 27/02/2009) with respect to their diversification measures computed at the end of September 2007. For each diversification measure, we make the distinction between the US pension funds that performed under -20% and over -20% from 05/09/2008 to 27/02/2009. We consider that pension funds’ asset allocations 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