Annual returns for 16 countries in the portfolio.

Sample period 1989-2012

Sample period 1989-1998

Sample period 1999-2008

Country

Sharpe ratio

Treynor ratio

Sharpe ratio

Treynor ratio

Sharpe ratio

Treynor ratio

China, P.R.: Mainland

1.4066

0.1629

1.4934

0.1353

2.2668

0.2064

Japan

0.4636

0.0555

0.6041

0.0700

0.8122

0.0696

Republic of Korea

0.8592

0.0987

0.8412

0.0717

1.1464

0.0941

Germany

0.5907

0.0711

0.5365

0.0436

1.2925

0.1351

Turkey

1.0140

0.1317

1.3401

0.1231

1.5793

0.1874

Mexico

0.9603

0.2028

1.3419

0.5569

1.1934

0.1807

Thailand

1.0874

0.1427

1.1335

0.1289

1.5447

0.1208

Singapore

0.8325

0.0986

0.9484

0.0893

1.0669

0.0879

United States

0.8441

0.0986

1.7691

0.1621

0.9164

0.0808

Malaysia

0.9538

0.1185

1.3168

0.1220

1.2991

0.1200

Vietnam

0.8445

0.2578

0.6942

0.1628

2.5998

0.2328

India

1.1798

0.1414

1.1601

0.0959

2.0796

0.1941

Portugal

0.6235

0.0810

0.6400

0.0501

1.0921

0.1480

Poland

0.8686

0.1195

0.6773

0.1007

1.8155

0.1823

France

0.5840

0.0710

0.7109

0.0565

1.1511

0.1267

United Kingdom

0.4931

0.0587

0.7713

0.0590

0.8492

0.0908

Portfolio

0.8946

0.0918

1.1387

0.0790

1.4631

0.1111