The risk and return characteristics of a highly diversified investment portfolio are examined in an effort to best assess its potential by means that incorporate both conventional risk estimation and performance evaluation. Estimation of performance variability and downside risk often assumes a constant, stable, average covariance matrix of asset returns and only provides an indirect gauge of capacity for the downside compensation interplay between assets. Performance measurement allows for final conclusions to be drawn, but does not capture the structural characteristics leading to results, nor does it make a distinction between chance occurrence and structural bias. The Mahalanobis distance is employed in order to quantify both aspects simultaneously and document a contemporary shift in advanced pension trust management. The asset liability structures of pension trusts allow for unusually long time horizons and managing agencies typically possess the resources necessary to select and maintain opaquely priced investments in a controlled fashion. A particular pension fund history, involving a period of transition from a conventional, strictly US-based mix of stocks, bonds, real estate and cash, to a more diversified set of eight additional asset classes, allows for discussion of first results and assessment of the trend toward diversification.