U.S. vs. Non-U.S. Equity Allocation: Does Parity Make Sense?

November 02, 2017 | David Hernandez, CFA, Associate Director


Flash talk by David Hernandez, CFA, at Marquette’s 2017 Investment Symposium

In this session, we cover U.S. vs. non-U.S. equity allocation. Starting with the basics in determining an equity allocation, we examine both the historical and projected risk/return analysis for U.S. and non-U.S. equity. What are different types of investors doing with their equity allocations? How does diversification improve the risk/return profile? Are we nearing the end of the U.S. outperformance cycle?

 

 

David Hernandez, CFA
Associate Director

Get to Know David

Related Content

This chart description is for illustrative purposes only and its accuracy cannot be guaranteed. Please see full disclosures at end of PDF document in the web post. General description: Table describing categories and criteria of MSCI indices. Chart subtitle: Despite its rapid ascendancy in recent decades, China is categorized as an emerging country by MSCI due to the market classification framework utilized by the index provider. Chart source: Source: MSCI as of June 30, 2023. ATVR: Annualized Traded Value Ratio, which is a liquidity measure used to assess liquidity of securities in the MSCI Global Investable Market Indices. The ATVR corresponds to the Annualized Traded Value of a security relative to its Free Float‐Adjusted Market Capitalization. Chart description: First column is Criteria, second is Frontier, third is Emerging, and fourth is Developed. First row section is Economic Development, detailed with “Sustainability of economic development.” Frontier: No requirement. Emerging: No requirement. Developed: Country GNI per capita 25% above the World Bank high income threshold for 3 consecutive years. Second section is Size and Liability Requirements, with four sub-rows. First: Number of companies meeting the following Standard Index criteria: Frontier: 2 Emerging: 3. Developed: 5. Second: Company size (full market cap, USD): Frontier: $1,033M. Emerging: $2,066M. Developed: $4,133M. Third: Security size (float market cap, USD): Frontier: $73M. Emerging: $1,033M. Developed: $2,066M. Fourth: Security liquidity: Frontier: 2.5% ATVR. Emerging: 15% ATVR. Developed: 20% ATVR. Third section is Market Accessibility, with five sub-rows. First: Openness to foreign ownership: Frontier: At least some. Emerging: Significant. Developed: Very high. Second: Ease of capital inflows / outflows: Frontier: At least partial. Emerging: Significant. Developed: Very high. Third: Efficiency of operational framework: Frontier: Modest. Emerging: Good and tested. Developed: Very high. Fourth: Availability of investment instruments: Frontier: High. Emerging: High. Developed: Unrestricted. Fifth: Stability of the institutional framework: Frontier: Modest. Emerging: Modest. Developed: Very high. End chart description. See disclosures at end of document.

12.04.2023

Is China Guilty of Category Fraud?

With movie awards season around the corner, some entertainment pundits may use the term “category fraud” to describe races in…

This chart description is for illustrative purposes only and its accuracy cannot be guaranteed. Please see full disclosures at end of PDF document in the web post. General description: Three-line chart showing cumulative return for various U.S. equity indices. Chart subtitle: Domestic stock indices enter correction territory after recent slide. Chart source: Bloomberg as of October 31, 2023. Chart description: Y-axis is labeled “Cumulative Return” and ranges from -15% to +10%. X-axis is labeled in monthly increments, from Jun-23 to Oct-23. Data ranges 6/30/23 through 10/31/23. S&P 500 Index is plotted in orange line, Nasdaq-100 Index in light tan line, and Russell 2000 Index in dark purple line. Most recent data points, respectively, -5.31%, -4.84%, -11.61%. Please contact us for the full dataset. End chart description. See disclosures at end of document.

11.01.2023

The Chart for Red October

U.S. equities declined for the third consecutive month in October amid an environment of higher yields and underwhelming earnings reports…

10.13.2023

3Q 2023 Market Insights Video

This video is a recording of a live webinar held on October 26 by Marquette’s research team, featuring in-depth analysis…

10.26.2023

Portfolio Trick or Treat

Coming into 2023, investors were cautiously optimistic about 2023 market returns; cautious considering the broad losses across asset classes during…

10.12.2023

U.S. Equities: Surprising Strength Gives Way to Macro Risks

Equity market strength through the third quarter continues to challenge the common expectation going into the year. Cumulatively through September…

This chart description is for illustrative purposes only and its accuracy cannot be guaranteed. Please see full disclosures at end of PDF document in the web post. General description: Combination line and column chart showing volatility spread and calendar year returns for the CBOE S&P 500 PutWrite Index and S&P 500. Chart subtitle: Over the last few decades, options-based strategies have generated compelling patterns of performance thanks to differences between implied and realized market volatility. Chart source: Source: Bloomberg and eVestment as of September 30, 2023. Volatility spread is calculated as the difference between implied volatility, as measured by the VIX Index, and realized volatility of the S&P 500 Index over the subsequent 1-month period (21 trading days). Realized volatility is calculated as the standard deviation of daily logarithmic returns multiplied by an annualization factor. Chart visual description: Left Y-axis is labeled Spread and ranges from -80% to +40%. X-axis labels span years from 1990 to 2023. Right Y-axis is labeled Cal. Year Return from -40% to +40%. Each data set has its own X-axis, so orange line chart corresponding to Volatility Spread floats above column chart for calendar year returns. Average Volatility Spread line is dotted in dark orange at 4.5%. CBOE S&P 500 PutWrite Index is plotted in green columns and S&P 500 Index is plotted in blue columns. Chart data description: Data for index returns is annual; data for volatility is daily. Please contact us for the full dataset. End chart description. See disclosures at end of document.

10.03.2023

Selling Insurance: An Option for Diversification

The Aflac Duck, the LiMu Emu, and the GEICO Gecko may be fictional insurance salespeople (or sales-animals, perhaps), however, the…

More articles

Subscribe to Research Email Alerts

Research Email Alert Subscription

Research alerts keep you updated on our latest research publications. Simply enter your contact information, choose the research alerts you would like to receive and click Subscribe. Alerts will be sent as research is published.

We respect your privacy. We will never share or sell your information.

Thank You

We appreciate your interest in Marquette Associates.

If you have questions or need further information, please contact us directly and we will respond to your inquiry within 24 hours.

Contact Us >