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Exhibit 11 Sample Japanese portfolio allocation for a Japanese investor—performance metrics EM equities at 5% allocation (JPY returns; February 2002–January 2017).

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

  Plan Plan with EM equity Plan with EM countries Plan with EM sectors Plan with EM styles
Returns (annualized) 4.50% 4.69% 4.81% 4.72% 4.80%
Risk (annualized) 9.59% 9.71% 9.68% 9.65% 9.66%
Sharpe ratio (SR) 0.45 0.46 0.48 0.47 0.48
p Value (SR diff)   0.45 0.14 0.26 0.17
  1. Country, sector and style EM benchmarks are ERC weighted. We ignore the transaction costs from monthly rebalancing of the benchmarks to ERC weights. However, performance metrics are reported after deducting estimated transaction costs for country-level style groups, which unlike country or sector market-cap-weighted groups, have higher turnover (refer to online supplement A4). The transaction costs are estimated using average turnover, bid–ask spreads and taxes. We estimated the cost to be 1%/y for EM Styles. Past performance is not a guarantee or a reliable indicator of future results. Chart is provided for illustrative purposes only