Returns in different countries are far from perfectly correlated. Therefore, there is a benefit from international diversification. The minimum variance global portfolio has considerably lower volatility than almost any individual country index, including that of the U.S. More importantly, single-country stock indexes, again including those of the U.S., plot considerably inside the efficient frontier constructed when foreign equity markets are added to the investment menu. Therefore, international investing offers ample opportunities to improve the risk–reward trade-off.

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