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Article

Do Regime Shifts Affect Mixed-Asset Portfolios in Thailand?

Dalina Amonhaemanon
The Journal of Wealth Management Fall 2015, 18 (2) 77-95; DOI: https://doi.org/10.3905/jwm.2015.18.2.077
Dalina Amonhaemanon
is a lecturer with the faculty of commerce and management at Prince of Songkla University in Trang, Thailand.
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  • For correspondence: dalina.a@psu.ac.th
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Abstract

This study examines the benefits of diversification by adding real estate to a portfolio of traditional assets in Thailand during various regimes from January 1994 to June 2013. More specifically, Amonhaemanon compares the performance of a stock portfolio (benchmark portfolio) and that of an optimal mixed portfolio composed of stock and real estate (direct and indirect real estate). Using the Sharpe ratio as a measure of portfolio performance, the author tests whether there is a statistically signifi cant difference between benchmark and mixed portfolios among different regimes. The empirical results show that all types of real estate provide benefits for Thai investors in the sense that the mixed portfolio always performs better than does the benchmark portfolio. However, the Sharpe ratio of the two portfolios is statistically significantly different only since the year 2000, after the financial crisis in Thailand.

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The Journal of Wealth Management: 18 (2)
The Journal of Wealth Management
Vol. 18, Issue 2
Fall 2015
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Do Regime Shifts Affect Mixed-Asset Portfolios in Thailand?
Dalina Amonhaemanon
The Journal of Wealth Management Jul 2015, 18 (2) 77-95; DOI: 10.3905/jwm.2015.18.2.077

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Do Regime Shifts Affect Mixed-Asset Portfolios in Thailand?
Dalina Amonhaemanon
The Journal of Wealth Management Jul 2015, 18 (2) 77-95; DOI: 10.3905/jwm.2015.18.2.077
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  • Article
    • Abstract
    • LITERATURE SURVEY REGARDING REAL ESTATE ASSET ALLOCATION
    • THAILAND AND MAIN CRISIS
    • THEORETICAL FRAMEWORK
    • METHODOLOGY
    • SUMMARY STATISTICS AND EMPIRICAL RESULTS
    • CONCLUSION
    • ENDNOTES
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