Testing of Performance: International Versus Domestic Portfolio | Zendy

Christine Adi Njotosutikto | Zendy; Putu Anom Mahadwartha | Zendy

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Testing of Performance: International Versus Domestic Portfolio

Author(s) -

Christine Adi Njotosutikto,

Putu Anom Mahadwartha

Publication year - 2020

Publication title -

journal of entrepreneur and business

Language(s) - English

Resource type - Journals

ISSN - 2721-706X

DOI - 10.24123/jeb.v1i2.2895

Subject(s) - portfolio , treynor ratio , portfolio optimization , diversification (marketing strategy) , post modern portfolio theory , application portfolio management , rate of return on a portfolio , modern portfolio theory , portfolio insurance , financial economics , sharpe ratio , actuarial science , economics , replicating portfolio , econometrics , business , project portfolio management , marketing , management , project management

This research investigates performance of portfolio with international portfolio and domestic portfolio. Buttler (2012) and Solnik (1974) explained that diversification of international portfolio will reduce risk of portfolio better than domestic portfolio. To measure performance of portfolio this research uses Treynor, Sharpe and Jensen Alpha. This research uses single index model to formed optimal international and domestic portfolio. Test showed that international portfolio have a better performance than domestic portfolio based on Treynor and Sharpe measurement. However, domestic portfolio have a better performance than international portfolio in higher return (Jensen measurement) and high risk.

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