Table 5 Possible portfolios for foreign...

Table 5

Possible portfolios for foreign investors

	Return	SD	SK	KT	SR	MeanDD	MaxDD
Panel A: European Investors
MSCI-Europe	0.0614	0.1693	−0.5811	4.4767	0.3625	0.0713	0.0085
EU-Asia	0.0622	0.1858	−0.4499	4.2726	0.3346	0.0638	0.0077
EU-Pakistan	0.0817	0.187	0.0369	3.5269	0.4369	0.0843	0.0076
EU-Asia min	0.0615	0.1688	−0.6039	4.5334	0.3643	0.0707	0.0084
EU-Pakistan min	0.0691	0.1587	−0.3341	3.8048	0.4353	0.0796	0.0071
Panel B: US Investors
MSCIUS	0.0835	0.1437	−0.6701	4.2397	0.5814	0.1229	0.0203
US-Asia	0.0732	0.1738	−0.4599	4.1878	0.4213	0.0785	0.0106
US-Pakistan	0.0928	0.1779	−0.0332	4.126	0.5216	0.1064	0.0096
US-Asia min	0.0833	0.1438	−0.6745	4.2542	0.5796	0.119	0.0202
US-Pakistan min	0.0861	0.1373	−0.4952	3.8456	0.6274	0.1342	0.011

	Return	SD	SK	KT	SR	MeanDD	MaxDD
Panel A: European Investors
MSCI-Europe	0.0614	0.1693	−0.5811	4.4767	0.3625	0.0713	0.0085
EU-Asia	0.0622	0.1858	−0.4499	4.2726	0.3346	0.0638	0.0077
EU-Pakistan	0.0817	0.187	0.0369	3.5269	0.4369	0.0843	0.0076
EU-Asia min	0.0615	0.1688	−0.6039	4.5334	0.3643	0.0707	0.0084
EU-Pakistan min	0.0691	0.1587	−0.3341	3.8048	0.4353	0.0796	0.0071
Panel B: US Investors
MSCIUS	0.0835	0.1437	−0.6701	4.2397	0.5814	0.1229	0.0203
US-Asia	0.0732	0.1738	−0.4599	4.1878	0.4213	0.0785	0.0106
US-Pakistan	0.0928	0.1779	−0.0332	4.126	0.5216	0.1064	0.0096
US-Asia min	0.0833	0.1438	−0.6745	4.2542	0.5796	0.119	0.0202
US-Pakistan min	0.0861	0.1373	−0.4952	3.8456	0.6274	0.1342	0.011

Note(s): The table reports mean return (Return), standard deviation (SD), skewness (SK), kurtosis (KT), Sharpe ratio (SR), mean return-to-mean drawdown (MeanDD) and mean return-to-maximum drawdown (MaxDD)

Source(s): Own elaboration based on data taken from Thomson-Reuters DataStream

[ViewLarge]

Sharing Unavailable