Improved Risk Reporting with Factor-Based Diversification Measures

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

Appendices

Figure 11: Distribution of Diversification Measures of Defined Benefit US Pension Funds Using a 5-Year Window for the Covariance in Year 2002, 2007 and 2012

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 defined benefit US pension funds of the P&I database in year 2002, 2007 and 2012. The figures distinguish the distribution of the diversification measures of public and corporate pension funds. The distribution in red concerns the corporate pension funds, while the distribution in blue concerns the public pension funds.

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An EDHEC-Risk Institute Publication