Lawrence Hamtil: The Global Portfolio’s Rough Three Decades

“Indeed, currency had a material impact over the last three decades: Perhaps, then, the fairest comparison is the U.S.-only compared to a currency-hedged global portfolio?” writes Lawrence Hamtil Is for Given a greater max drawdown and lower Sharpe ratio (which measures risk-adjusted returns), it is hard to argue that a global portfolio offered any value to American investors at all.Similarly, foreign equity portfolios with factor tilts such as momentum and minimum volatility offer value to investors.In addition, investors may find better value in foreign small caps as I have discussed here and here.

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