International diversification in a correlated world
In this paper I look at the correlation between developed and emerging markets, arguing that the increased correlation has reduced the potential benefits of international diversification. Furthermore, I look at markets that still seem to be highly uncorrelated to developed markets, and how to more e...
| Autor principal: | |
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| Formato: | masterThesis |
| Idioma: | eng |
| Publicado em: |
2020
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| Assuntos: | |
| Texto completo: | http://hdl.handle.net/10362/27877 |
| País: | Portugal |
| Oai: | oai:run.unl.pt:10362/27877 |
| Resumo: | In this paper I look at the correlation between developed and emerging markets, arguing that the increased correlation has reduced the potential benefits of international diversification. Furthermore, I look at markets that still seem to be highly uncorrelated to developed markets, and how to more efficiently include these in a global portfolio. By ranking emerging markets based on their 12 month rolling correlation coefficient to the MSCI World Index, the country weightings are determined. A global portfolio with different constraints is then created to demonstrate that investors can boost risk adjusted performance by using a more selective correlation based investment approach. |
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