FTSE Russell examined this diversification benefit from a correlation as well as a returns perspective. For a correlation perspective, FTSE Russell calculated the returns of three hypothetical indexes (large- and mid-cap Mexican stocks without REITs, small-cap Mexican stocks without REITs, and all-cap Mexican stocks with REITs) to explore these diversification effects. A hypothetical portfolio of all-cap Mexican equities with exposure to REITs had the lowest correlation levels relative to the other indexes.

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