The solution is :
Despite the fact that EX UK equities have the second highest standard deviation of return (18 Percent), ex-UK equities appear with substantial weight in the efficient portfolio that has the smallest standard deviation of return, the GMV portfolio, as well as in other expected low risk, efficient portfolios. Thus Ex us equities appear to be an effective risk diversifier.
What are they calling the “GMV” portfolio? Portfolio 8? It has the smallest STDev.
Substantial weight? 8.34% in portfolio 8? That is substantial?
The correlation is .76 of ex UK equities to UK…That is effective diversification?
I expected the answer to be it isn’t a very effective diversifier, compared to other asset classes, given its high correlation. Any comments on this?