VAR GETS PASSING GRADE FROM GE PENSION EXECS; EMERGING MARKETS ASIDE, RISK TOOL HAS `WORKED WELL' OVERALL.

Pensions & Investments, February, 1999 by Barr, Paul G.

STAMFORD, Conn. -- GE Investments pension executives gave value at risk a passing grade for its performance during 1998's volatile markets, although VAR didn't meet expectations regarding emerging markets investments. GE has used value at risk as a tool for monitoring risk for all of its publicly traded securities since July, said Steve Fierstein, senior financial analyst for GE Investments, which oversees General Electric Co.'s $44 billion pension fund.

VAR testing began in late 1997. In that time, VAR generally has worked well, giving GE executives a way to identify when GE's internal and external portfolio managers are deviating from their chosen benchmarks. VAR is a statistical calculation that attempts to identify the maximum amount a portfolio is...

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