Improved Risk Reporting with Factor-Based Diversification Measures
Improved Risk Reporting with Factor-Based Diversification Measures — February 2014
Appendices
Figure 13: Performances of US Pension Funds from 28/09/2007 to 26/09/2008 with respect to their Diversification Measures at the end of September 2007
These figures display the annualised performances of US pension funds computed on the period immediately following the date of computation of the diversification measures (from 28/09/2007 to 26/09/2008) 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 -5% and over -5% from 28/09/2007 to 26/09/2008. 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
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