In an empirical study on national market returns in the 20th century, Dimson, Marsh, and Staunton (2002)determined that due to high levels of correlation or returns between countries, there is almost NO BENEFIT to international portfolio diversification.

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Dimson, Marsh, and Staunton (2002) actually found evidence in support of international portfolio diversification, despite high levels of correlation between countries' market returns. They found that adding international assets to a portfolio can reduce risk and increase returns.

In an Empirical Study on National Market Returns in the 20th