Here's another analysis which suggests the following: https://www.mfs.com/subs/home-microsite ... alysis.pdf
Company revenues outside of home region (approximate):
~55% for Developed Europe
~35% for North America
~35% for Asia Pacific ex Japan
~34% for Japan
~19% for Emerging markets
Their analysis shows that the MSCI World Index 'indirect' exposure (through revenues) to emerging markets is 19%.
The question then seems to be: does country of domicile or source of revenues show up more in the risk/return characteristics of individual indexes.
Here's a comparison between three MSCI indexes over a period when EM did extremely well.
May 2002 to February 2007
- annualized returns
+11.6% = MSCI World with Developed Market Exposure (top ranked constituents derive highest proportion of revenue from developed markets)
+11.9% = MSCI World with Emerging Market Exposure (top ranked constituents derive highest proportion of revenue from emerging markets)
+25.1% = MSCI Emerging Markets
Presumably MSCI World "with Developed Market exposure" had much lower exposure to emerging markets than MSCI World "with Emerging Market exposure", yet the returns over this period were almost the same (11.6% vs. 11.9%), in comparison to the MSCI Emerging Market index which was almost 2.5 times higher (25.1%). There has been more divergence in the MSCI World indexes since then.
Not sure how this factors into regional considerations for asset allocation, but don't think we need to throw 'country of domicile' out the window just yet (I don't intend to make any changes). Will be interesting to see more analysis.