Improved Risk Reporting with Factor-Based Diversification Measures

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

Appendices

Figure 15: Average Asset Allocations of US Pension Funds

These figures display the average asset allocation of US pension funds with respect to their return computed on two different periods. The two top figures concern the period from 28/09/2007 to 26/09/2008, while the two figures of the bottom concern the period from 05/09/2007 to 27/02/2009. For the period 28/09/2007-26/09/2008 (respectively 05/09/2008-27/02/2009), we display the average asset allocation of US pension funds that performed under a threshold of -5% (respectively -20%) on a first place and the average asset allocation of US pension funds that performed over this threshold on a second place.

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An EDHEC-Risk Institute Publication