Improved Risk Reporting with Factor-Based Diversification Measures

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

Appendices

Table 10: Analysis of Diversification Measures Based on Pension Funds’ Characteristics (a) Analysis Based on AUM 2002 2007

2012

t-stat

14.23

16.70

10.85

ENC

p-value

0.00%

0.00%

0.00%

t-stat

10.12

3.55

-3.70**

ENB-MLT

p-value

0.00%

0.04%

0.03%

(b) Analysis Based on Public/Corporate Sector 2002 2007

2012

t-stat

2.08

9.13

6.37

ENC

p-value

3.87%

0.00%

0.00%

t-stat

1.88

0.60

-7.08**

ENB-MLT

p-value 0.00% In panel (a), we perform a t-test of the null hypothesis that diversification measures of funds with low aum and funds with high aum are independent random samples from normal distributions with equal means, against the alternative that the means are not equal. In panel (b), we perform a t-test of the null hypothesis that diversification measures of public funds and corporate funds are independent random samples from normal distributions with equal means, against the alternative that the means are not equal. (**) shows that the null hypothesis cannot be rejected with a 95% confidence level. (*) shows that the null hypothesis is rejected, but the negative t-stat indicates a switch of the sector with the highest mean compared to positive t-stat. 6.14%* 55.13%*

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