Improved Risk Reporting with Factor-Based Diversification Measures

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

Appendices

Figure 8: Performances of 14 Equity Indices with respect to their Diversification Measures during the Recovery of the Subprime Crisis

These figures display the annualised performances of 14 equity indices during the recovey of the subprime crisis (between the beginning of March 2009 and the end of February 2010) with respect to their respective effective number of constituents (ENC) and their effective number of uncorrelated bets (ENB) computed at the end of February 2009.

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An EDHEC-Risk Institute Publication