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Stats › Rendements de long terme › Global diversification

Average country equity correlation rose from 0.51 to 0.70, and diversification still cuts volatility by a quarter

Equity volatilityHome only: 19.6%Internationally diversified: 14.9%14.9%Fixed income volatilityHome only: 7.8%Internationally diversified: 7.5%7.5%60/40 volatilityHome only: 12.7%Internationally diversified: 10.5%10.5%Equity tail, worst 5% of monthsHome only: 12.5%Internationally diversified: 9.4%9.4%Fixed income tailHome only: 5.0%Internationally diversified: 4.0%4.0%60/40 tailHome only: 7.9%Internationally diversified: 6.2%6.2%Home onlyInternationally diversified

Monthly data from January 1950 to December 2016 across 42 developed and emerging markets, with start dates varying by country. Returns are unhedged against currency, deflated by local consumer prices and measured in excess of local Treasury bills. Tail figures are the mean of the worst five per cent of monthly returns. No standard errors are reported anywhere in the source.

Average pairwise country equity correlation rose from 0.51 before 2000 to 0.70 after it. International diversification still reduces equity volatility from 19.6 to 14.9 per cent, but it worsens the multi asset tail once unhedged foreign bonds are added.

0.51Average pairwise country equity correlation, 1982 to 1999
0.70The same, 2000 to 2016
19.6% to 14.9%Equity volatility, home only then diversified
7.8% to 7.5%Fixed income volatility reduction

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