The Performance of Asia-Pacific Markets and their Contribution to U.S. Equities: Recent Evidence

• In Event: Economic Impact and Market Reactions

Abstract

Historical investment performance of nine Emerging Asian equity markets and their return/risk contribution to U.S. equities is examined. An Asian spread portfolio and a global equity portfolio are constructed; the former includes long and short positions in Asian equities, while the latter includes long positions in Asian spread portfolio and U.S. equities. Our main findings support a positive role for Asian equities in a U.S. equity portfolio. Adding Asian equities via an optimally-constructed and rebalanced Asian Spread portfolio position to U.S. equities leads to statistically significant and positive differences in both rolling weekly mean returns and rolling weekly Sharpe ratios of the Global equity portfolio relative to a U.S. equities only portfolio.

Authors

• Bharat Kolluri, University of Hartford

• Susan Wahab, University of Hartford

• Mahmoud Wahab, University of Hartford