Optimizing Portfolios with Pakistan-Exposed ETFs: Risk and Performance Insight

ArXiv ID: 2501.13901 “View on arXiv”

Authors: Unknown

Abstract

This study examines the investment landscape of Pakistan as an emerging and frontier market, focusing on implications for international investors, particularly those in the United States, through exchange-traded funds (ETFs) with exposure to Pakistan. The analysis encompasses 30 ETFs with varying degrees of exposure to Pakistan, covering the period from January 1, 2016, to February 2024. This research highlights the potential benefits and risks associated with investing in these ETFs, emphasizing the importance of thorough risk assessments and portfolio performance comparisons. By providing descriptive statistics and performance metrics based on historical optimization, this paper aims to equip investors with the necessary insights to make informed decisions when optimizing their portfolios with Pakistan-exposed ETFs. The second part of the paper introduces and assesses dynamic optimization methodologies. This section is designed to explore the adaptability and performance metrics of dynamic optimization techniques in comparison with conventional historical optimization methods. By integrating dynamic optimization into the investigation, this research aims to offer insights into the efficacy of these contrasting methodologies in the context of Pakistan-exposed ETFs. The findings underscore the significance of Pakistan’s market dynamics within the broader context of emerging markets, offering a pathway for diversification and potential growth in investment strategies.

Keywords: Emerging markets, Exchange-traded funds (ETFs), Dynamic optimization, Portfolio performance, Frontier markets

Complexity vs Empirical Score

  • Math Complexity: 3.0/10
  • Empirical Rigor: 6.5/10
  • Quadrant: Street Traders
  • Why: The paper applies established portfolio optimization techniques (historical and dynamic) to real-world ETF data with descriptive statistics and performance metrics, indicating solid empirical work; however, the mathematics is primarily standard financial optimization without heavy novel theoretical derivations.
  flowchart TD
    A["Research Goal: Assess risk and optimize portfolios with Pakistan-exposed ETFs"] --> B["Data Collection & Input: 30 ETFs, Jan 2016 - Feb 2024"]
    B --> C["Methodology Part 1: Historical Optimization & Descriptive Stats"]
    B --> D["Methodology Part 2: Dynamic Optimization"]
    C --> E["Computation: Performance metrics & Risk Assessment"]
    D --> E
    E --> F["Key Findings/Outcomes: Risk-return insights, Methodology comparison, Diversification value"]