The Performance of International Portfolios

68 Pages Posted: 27 Sep 2004

See all articles by Charles P. Thomas

Charles P. Thomas

Thomas & Son Analytics

Francis E. Warnock

University of Virginia - Darden Business School; National Bureau of Economic Research (NBER)

Jon Wongswan

Phatra Securities

Date Written: August 2004


We evaluate the performance of U.S. investors' international portfolios over a 25-year period. Portfolio returns are formed by first estimating monthly bilateral holdings in 44 countries using high-quality but infrequent benchmark surveys that enable us to eliminate the geographical bias in reported capital flows data. In their foreign equity portfolios, U.S. investors achieved a significantly higher Sharpe ratio than global benchmarks, especially since 1990. We uncover three potential reasons for this success. First, they abstained from returns - chasing behavior and instead sold past winners. Second, conditional performance tests provide no evidence that the superior (unconditional) performance owed to private information, suggesting that the successful exploitation of publicly available information played a role. Third, well-documented preferences for cross-listed and well-governed foreign firms appear to have served U.S. investors well. We also evaluate the unconditional performance of bond portfolios, about which less information is available, and find that U.S. investors achieved higher Sharpe ratios than global benchmarks, although the difference here is not statistically significant.

Keywords: Home bias, momentum, contrarian, conditional performance measures, equities, bonds

JEL Classification: G11, G12, F21

Suggested Citation

Thomas, Charles P. and Warnock, Francis E. and Wongswan, Jon, The Performance of International Portfolios (August 2004). FRB International Finance Discussion Paper No. 817. Available at SSRN: or

Charles P. Thomas

Thomas & Son Analytics ( email )

5409 Center St
Chevy Chase, MD 20815
United States
2022075834 (Phone)

Francis E. Warnock (Contact Author)

University of Virginia - Darden Business School ( email )

P.O. Box 6550
Charlottesville, VA 22906-6550
United States
434-924-6076 (Phone)


National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138-5398

Jon Wongswan

Phatra Securities ( email )

11F Muang Thai-Phatra Office Tower 1
252/6 Ratchadapisek Road
Bangkok, 10400

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