Exhibit 11
Full-Scale vs. Mean-Variance Optimization and Correlation Asymmetries (%)
| Country Allocation | Correlation Asymmetry (?) | Utility Gain (%) | Turnover Required (%) | |||
|---|---|---|---|---|---|---|
| MV | FS | FS Advantage | ||||
| Full Sample | 1/1970–2/2008 | 15.91 | 6.89 | 9.02 | 4.33 | 14.80 |
| Subsamples | 1/1970–12/1979 | 19.35 | 3.25 | 16.10 | 9.96 | 22.47 |
| 1/1980–12/1989 | 7.02 | 1.75 | 5.27 | 23.40 | 22.40 | |
| 1/1990–12/1999 | 25.77 | 18.71 | 7.06 | 1.57 | 19.07 | |
| 1/1999–2/2008 | 0.52 | 0.36 | 0.16 | 3.59 | 9.67 | |
| Multi-Asset Class | ||||||
| Full Sample | 2/1988–2/2008 | 7.45 | -0.41 | 7.86 | 29.11 | 91.91 |
| Subsamples | 2/1988–12/1998 | 58.42 | 49.67 | 8.75 | 16.35 | 19.52 |
| 1/1999–2/2008 | 13.30 | -3.46 | 16.77 | 37.62 | 91.21 | |
| 4/2003–2/2008* | 3.58 | -6.99 | 10.58 | 254.11 | 64.97 | |
Note:.
↵* Sample includes hedge funds.
Proxy for U.S. Equities is MSCI USA.