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TABLE 15.3 ABC Pension Plan Risk Budget         Tracking Error  


    Active Risk % Decomposition     Current Target Target   Target Target     Current Target   Tracking Zone Zone Tracking Zone Zone Current Asset   Manager- % % Asset Class Error (.7X) (.8X) Error (1.4X) (1.8X) Beta Allocation Beta Specific Risk* Risk* U.S. large cap equity 1301 63 72 90 126 162 0.99 2.3% , -0.5% 16.1% IS.0%1 15.0% U.S. small cap equity 8512 326 372 465 652 838 0.99 -0.3 -0.2 24.2 23.71 20.7 International equity 2653 198 226 283 396 509 0.98 -0.2 -0.1 41.3 40.93 41.7 Emerging markets equity 4093 356 407 508 711 915 1.06 4.1 1.4 4.4 9.9s 12.7 Global fixed income 713 48 55 69 97 124 1.00 0.4 0.0 7.1 7.53 9.9 Plan 128] 55 65 80 110 140 1.00 6.3 0.7 70.4 100.0 100.0     Asset Allocation     Top 10 Risk Contributors       Current Allocation Target Delta Allocation Current-Target (_. _. % Plan Risk)       Asset Class     Manager Current Budget     U.S. large cap equity 34.1% 32.5% 1.6%   Manager M 15.5% 22.5%     U.S. small cap equity 7.4 8.3   -0.9   Manager G 16.2 2.2     International equity 20.4 21.6   -1.2   Manager L 9.6 12.8     Emerging markets equity 4.6 4.8   -0.1   Manager N 8.0 5.1     Global fixed income 33.4 32.8   0.6   Manager R 7.0 3.2     Plan 100.0 100       Manager Q Manager K Manager P Manager H Manager C 6.5 5.1 4.8 2.9 2.9 78.5 -0.1 3.7 0.0 4.9 4.9 59.2     * Current risk - Target risk: if between +/- 3 and 7%: yellow; if greater than +/- 7%: red. Yellow zone. :Red zone. : Green zone.