Presented as Partial Fulfilment of the Requirements To Obtain the Bachelor Degree in Management Department

Abstract

The main objectives of this study are to identify the potential return and risk that could occur in Indonesian financial practitioner in international equity markets. To achieve this objective, this study compare the potential return and risk of domestic enchmark and international diversification in Southeast Asia by considering hedging policy. To compare the potential return and risk of domestic benchmark and international diversification, this study uses three portfolio strategies, they are equally weighted, minimum variance, and tangency optimizations, and eventually, hypothetical testing of means equality of expected return, standard deviation and return/risk ratio from each strategy as tools to evaluate portfolio performances. This study has three conclusions: 1.) International diversification in Southeast Asia without hedging strategy is significantly providing superior portfolio performances compared to domestic performance. 2.) International diversification in Southeast Asia with hedging strategy is significantly providing superior portfolio performances compared to domestic performance. 3.) International diversification in Southeast Asia without hedging strategy does not make any significant differences compared to International diversification in Southeast Asia with hedging strategy.