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Enhancing Portfolio Performance Through Global Diversification

Explore the benefits of portfolio risk reduction through international diversification, optimal domestic portfolio construction, and alternative asset weights. Learn from historical data on real returns and risks globally, correlation coefficients between world equity markets, and summary statistics of major stock markets. Gain insights on enhancing portfolio performance with selected correlation coefficients and active managers' survey results.

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Enhancing Portfolio Performance Through Global Diversification

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  1. Exhibit 15.1 Portfolio Risk Reduction Through Diversification

  2. Exhibit 15.2 Portfolio Risk Reduction Through International Diversification

  3. Exhibit 15.3 Optimal Domestic Portfolio Construction

  4. Exhibit 15.4 The Internationally Diversified Portfolio Opportunity Set

  5. Exhibit 15.5 The Gains from International Portfolio Diversification

  6. Exhibit 15.6 Alternative Portfolio Profiles Under Varying Asset Weights

  7. Exhibit 15.7 Real Returns and Risks on the Three Major Asset Classes, Globally, 1900–2000

  8. Exhibit 15.8 Correlation Coefficients Between World Equity Markets, 1900–2000

  9. Exhibit 15.9 Summary Statistics of the Monthly Returns for 18 Major Stock Markets, 1977–1996 (all returns converted into U.S. dollars and include all dividends paid)

  10. Exhibit 15.10 Comparison of Selected Correlation Coefficients Between Stock Markets for Two Time Periods (dollar returns)

  11. Exhibit 1 Russell/Mellon Survey of 19 Active Managers, Ending June 30, 2003

  12. Exhibit 2 Annual Historical Excess Returns, Annual Risk, and Sharpe Ratios for Selected Equities and Currencies, January 1978 to February 2003

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