Improved Risk Reporting with Factor-Based Diversification Measures

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

Appendices

Figure 10: Distribution of Diversification Measures of US Pension Funds Using a 5-Year Window for the Covariance in Year 2002, 2007 and 2012 according to their amount of Assets Under Management (AUM)

These figures display the distribution of the effective number of constituents (ENC) and the effective number of bets (ENB) computed with a PCA approach, and an MLT approach for the US pension funds of the P&I database in year 2002, 2007 and 2012. The figures distinguish the distribution of each diversification measure according to the amount of assets under management in the pension funds. The distribution in red concerns the pension funds having the lowest 30% of assets under management, while the distribution in blue concerns the pension funds having the highest 30% of assets under management.

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An EDHEC-Risk Institute Publication