ABSTRACT
This research examined the implications of international diversification during the recent worldwide financial crisis, which was a period of extreme volatility in the financial markets. We analyzed both a 100% US portfolio and a set of diversified portfolios that each had a major European component. Results of the analysis showed that on a risk-adjusted basis during this time period, the internationally diversified portfolios all underperformed the 100% US portfolio, raising the question of the value of international diversification at the very moment its risk-reduction quality is needed.
Keywords
International, Investing, Diversification, Sharpe Ratio.