| |
Country groups (cap-weighted)
|
Benchmarks (cap-weighted)
|
|---|
|
Brazil
|
China
|
India
|
Indonesia
|
Korea
|
Malaysia
|
Mexico
|
Russia
|
South Africa
|
Taiwan
|
Thailand
|
EM Equities
|
Japan equities
|
DM equities
|
|---|
|
Returns (annualized)
|
11.4%
|
11.7%
|
11.9%
|
17.8%
|
9.0%
|
6.4%
|
7.4%
|
7.5%
|
11.1%
|
4.9%
|
14.3%
|
8.74%
|
4.5%
|
5.6%
|
|
Risk (annualized)
|
37.0%
|
28.0%
|
30.6%
|
31.3%
|
28.2%
|
19.7%
|
24.7%
|
34.6%
|
26.7%
|
24.9%
|
26.7%
|
24.1%
|
18.4%
|
19.0%
|
|
Cap-weights
|
8.1%
|
26.8%
|
8.2%
|
2.5%
|
14.7%
|
2.5%
|
3.4%
|
4.3%
|
6.9%
|
12.1%
|
2.3%
| | | |
|
Sharpe ratio
|
0.30
|
0.41
|
0.38
|
0.56
|
0.31
|
0.31
|
0.29
|
0.21
|
0.41
|
0.19
|
0.53
|
0.35
|
0.23
|
0.28
|
|
Correl to EM
|
0.83
|
0.88
|
0.82
|
0.70
|
0.89
|
0.79
|
0.85
|
0.79
|
0.85
|
0.85
|
0.77
|
1.00
|
0.72
|
0.88
|
|
Correl to Japan
|
0.50
|
0.62
|
0.64
|
0.52
|
0.64
|
0.58
|
0.67
|
0.61
|
0.66
|
0.62
|
0.60
|
0.72
|
1.00
|
0.78
|
|
Correl to DM
|
0.68
|
0.74
|
0.71
|
0.61
|
0.78
|
0.72
|
0.84
|
0.70
|
0.74
|
0.78
|
0.68
|
0.88
|
0.78
|
1.00
|
|
Max. drawdown
|
− 69.1%
|
− 71.0%
|
− 72.8%
|
− 70.5%
|
− 73.1%
|
− 53.8%
|
− 67.9%
|
− 81.3%
|
− 62.4%
|
− 66.8%
|
− 64.2%
|
− 68.2%
|
− 57.3%
|
− 61.2%
|
- The cap-weights are as of 1/31/2017 for the MSCI EM index. To be mindful of the liquidity needs required for rebalancing and the size of a market footprint a large prudent investor may want in any single country, we limit our country list to the 11 largest EM countries (those countries having ~ $100 billion or more in market capitalization). Past performance is not a guarantee or a reliable indicator of future results. Chart is provided for illustrative purposes only