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Exhibit 5 EM sector groups—performance metrics (unhedged JPY returns; February 2002–January 2017).

From: Emerging market equity benchmarks for Japanese investors: countries, sectors or styles?

  Sector groups (cap-weighted) Benchmarks (cap-weighted)
  Energy Materials Industrial Consumer discretionary Consumer staples Health Care Financials IT Telecom Utilities Real estate EM equities Japan equities DM equities
Returns (annualized) 9.5% 9.1% 7.0% 10.9% 11.9% 11.2% 9.0% 7.9% 7.2% 8.2% 4.5% 8.7% 4.5% 5.6%
Risk (annualized) 29.9% 28.0% 26.6% 25.4% 20.2% 19.8% 26.6% 26.2% 20.4% 22.9% 30.9% 24.1% 18.4% 19.0%
Cap-weights 7.7% 7.7% 5.7% 10.2% 7.0% 2.4% 24.2% 23.9% 5.8% 2.8% 2.6%    
Sharpe ratio 0.31 0.32 0.26 0.42 0.58 0.56 0.33 0.29 0.34 0.35 0.14 0.35 0.23 0.28
Correl to EM 0.90 0.93 0.95 0.94 0.93 0.74 0.97 0.88 0.92 0.93 0.86 1.00 0.72 0.88
Correl to Japan 0.63 0.65 0.68 0.69 0.68 0.62 0.70 0.66 0.68 0.67 0.60 0.72 1.00 0.78
Correl to DM 0.75 0.77 0.83 0.84 0.86 0.73 0.86 0.82 0.85 0.83 0.70 0.88 0.78 1.00
Max. drawdown − 69.8% − 72.3% − 76.7% − 68.1% − 53.3% − 38.1% − 70.6% − 66.8% − 61.3% − 56.9% − 79.7% − 68.2% − 57.3% − 61.2%
  1. The cap-weights are as of 1/31/2017 for the MSCI EM index. Past performance is not a guarantee or a reliable indicator of future results. Chart is provided for illustrative purposes only