How Does an Increase in Correlation Influence the Risk/Return Characteristics of a Global Portfolio?

characteristics correlation diversification global increase influence International portfolio Return risk
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How Does an Increase in Correlation Influence the Risk/Return Characteristics of a Global Portfolio?

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Figure 3 illustrates the percentage improvement in the Sharpe ratio of a portfolio comprising 80% U.S. equities and 20% non-U.S. equities for different levels of correlation.

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