Determinants Of Investment Portfolio Performance: A Systematics Literature Review
Article Sidebar
Main Article Content
Abstract
A thorough grasp of the variables influencing portfolio performance is necessary given the significance of investment portfolio management in the face of shifting financial market dynamics. This study uses a method called the Systematic Literature Review (SLR) approach with an emphasis on Prefered Reporting Item for Systematic Review and Meta-Analysis (PRISMA) 2020, which has not been discovered in prior research on the same issue. The study highlights the importance of ratios like Sharpe, Treynor, Jensen, and Sortino in assessing investment portfolio success. It also highlights the impact of non-financial variables like household preferences on performance. Return is crucial, and diversification can lower risk and boost returns. The study emphasizes the use of Value-at-Risk (VaR) for dynamic risk evaluation.
Article Details
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
References
G. P. : Brinson, L. R. Hood, and G. L. Beebower, “Determinants of Portfolio Performance A Framework For Analysis,” Repr. from Financ. Anal. J., no. February, pp. 39–44, 1985.
R. Ginanjar and A. Kurniasih, “Indonesian Equity Fund Performance Determinants,” no. September 2019, 2021, doi: 10.4108/eai.28-9-2020.2307356.
K. M. P. S. B. Konara, “Foreign direct investment in Sri Lanka : determinants and impact,” no. September, pp. 1–276, 2013, [Online]. Available: https://ezp.lib.unimelb.edu.au/login?url=https://search.ebscohost.com/login.aspx?direct=true&db=edsble&AN=edsble.589201&site=eds-live&scope=site
M. O. Al-Smadi, “Determinants of foreign portfolio investment: The case of Jordan,” Invest. Manag. Financ. Innov., vol. 15, no. 1, pp. 328–336, 2018, doi: 10.21511/imfi.15(1).2018.27.
I. G. B. Wiksuana, “Kinerja Portofolio Saham Berdasarkan Strategi Investasi Momentum di Pasar Modal Indonesia,” J. Manaj. dan Kewirausahaan, vol. 11, no. 1, p. pp.73-84, 2009, [Online]. Available: http://puslit2.petra.ac.id/ejournal/index.php/man/article/view/17747
E. F. Komara and I. Purnamasari, “Pengaruh Cognitive Bias dan Emotional Bias Terhadap Keputusan Investasi ( Studi Pada Investor Muda di Galeri Investasi UNJANI ),” J. Ekon. Syariah Pelita Bangsa, vol. 08, no. 02, pp. 221–231, 2023.
A. Swanitarini, “Analisis Faktor-Faktor Yang Mempengaruhi Investasi Asing Langsung Di Indonesia Tahun 2011-2014 an Analysis of the Factors Affecting Foreign Direct Investment in Indonesia in 2011-2014,” Pendidik. dan Ekon., vol. 5, no. 5, pp. 365–372, 2016.
M. Zaenuddin, “Analisis faktor-faktor yang mempengaruhi investasi pma di batam,” Jejak, vol. 2, no. 2, pp. 156–166, 2009.
A. Macenning, D. B. Hakim, and T. Andati, “Analysis and Optimization of Investment Portfolio Performance (Case Study of PLN Pension Fund),” Int. J. …, 2019.
Sukono, “Expansion of the investment portfolio performance assessment model based on value-at-risk using a time series approach,” IOP Conf. Ser. Mater. Sci. Eng., vol. 567, no. 1, 2019, doi: 10.1088/1757-899X/567/1/012015.
K. Kandie, J. Macheru, and C. Osoro, “The Moderating Role of Treasury Bills and Bonds Allocations on the Relationship between Systematic Risk and Investment Portfolio Performance of Pension Schemes …,” Int. J. Financ. …, 2023.
I. Arribas, J. González-Bueno, F. Guijarro, and ..., “Impact Of Foreign Exchange Risk On Investment Portfolio Performance In Latin American Stock Indexes,” 9th Int. …, 2017.
N. S. S. Sugiana, I. Purnamasari, and B. Purnomo, “Rasio Free Float Saham ; Sebagai Analisa Teknikal Dalam Pengambilan Keputusan Berinvestasi Studi Kasus Pada Saham Lq 45 Periode 2020-2022,” Eqien - J. Ekon. dan Bisnis, vol. 11, no. 04, pp. 532–537, 2022, doi: 10.34308/eqien.v11i04.1268.
B. S. Purnomo and A. Sofia, “Analysis of Investment Policy of Local Government in the Era of Industrial Revolution 4.0,” vol. 65, no. Icebef 2018, pp. 77–80, 2019, doi: 10.2991/icebef-18.2019.18.
M. J. Page et al., “The prisma 2020 statement: An updated guideline for reporting systematic reviews,” Med. Flum., vol. 57, no. 4, pp. 444–465, 2021, doi: 10.21860/medflum2021_264903.
R. Pietrzyk, “Households investment portfolio performance evaluation,” academia.edu.
M. I. Surianegara, “Investment Portfolio Optimization and Performance (Case Study on PLN Pension Fund Period 2010-2020),” ijisrt.com.
I. Vincent, L. Anggraeni, and T. Andati, “Optimization of Investment Portfolio Performance: Case Study of PT Asuransi Jiwa Taspen,” Int. J. Res. …, 2019.
N. Angelica and C. A. Utama, “Sustainable and responsible investment portfolio performance analysis in Indonesia Stock Exchange,” J. Keuang. dan …, 2020.
K. Kandie, J. Macheru, and C. Osoro, “Systematic Risk and Investment Portfolio Performance of Pension Schemes in Kenya,” Int. J. Financ. …, 2023.
J. Patel, “Investment Portfolio Performance Evaluation.” 2008.
S. Wahyudi, “Asset allocation and strategies on investment portfolio performance: a study on the implementation of employee pension fund in Indonesia,” Accounting, vol. 6, no. 5, pp. 839–850, 2020, doi: 10.5267/j.ac.2020.5.010.