THE PERFORMANCE OF INVESTMENT PORTFOLIOS IN THAI AND U.S. STOCK MARKETS: A COMPARATIVE ANALYSIS OF RETURNS AND RISKS

Abstract

This study aims to evaluate the investment performance of portfolios comprising equities from the Stock Exchange of Thailand and the United States. The research focuses on comparing returns and risks between two portfolio structures: a Balanced Portfolio with a 50:50 allocation between Thai and U.S. equities, and a Growth Portfolio comprising 30% Thai and 70% U.S. equities. The analysis is based on ten years of historical stock price data from 20 selected companies (10 Thai and 10 U.S. stocks). Key financial metrics employed include weighted average return, standard deviation, Value at Risk (VaR), and Conditional Value at Risk (CVaR), with a 95% confidence level. Additionally, the Bootstrapping Simulation method is applied to enhance the robustness of the return and risk estimation. The findings reveal that the Growth Portfolio tends to deliver higher annualized returns, albeit with greater risk levels. Therefore, portfolio selection should be aligned with each investor’s individual risk tolerance and strategic objectives. The results from this study provide valuable insights for asset allocation and risk management between emerging and developed markets in dynamic investment environments.