Portofolio saham optimal berbasis portofolio indeks di pasar saham indonesia

Yudhistirangga, . (2018) Portofolio saham optimal berbasis portofolio indeks di pasar saham indonesia. Masters thesis, Institut Pertanian Bogor.

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Index based portfolio constructed using stocks member of IDX30 and LQ45 indices has outperformed Jakarta Composite Index (JCI) for last five years. Index based portfolio uses passive investment strategy with stock allocation method in order to mimick its reference index. Portfolio based on passive investment strategy has return 1.1% per annum higher than active investment strategy portfolio in Swiss Capital Market according to Ammann dan Steiner (2009). Sharpe (1991) told that active portfolio tends to get lower return than passive portfolio. The reason, which is costs, including trading cost, analysist cost, insentive, remuneration, etc, has significant impact to active portolio return. This research has aims to analyze the stocks selection, building optimum portfolios and analyze the portfolios return using stocks from Indonesia Stock Exchange (IDX) by classifying stocks to six different classes which are S/L (class with small size and low value), S/M (class with small size and medium value), S/H (class with small size and high value), otherwise B/L (class with big size and low value), B/M (class with big size and medium value), B/H (class with big size and high value). Size is the market capitalization and value is ratio for 1/Price to Book Value. In accordance of mimicking JCI return, another screening was done. Using stock member of IDX30 and LQ45 as stock screener, there will be subset of stocks from best class (one of S/L, S/M, S/H, B/L, B/M or B/H), IDX30 index and LQ45 index. From that subset and best approaching model : CAPM, FF3FM, Dual Beta FF3FM with constant or Dual Beta FF3FM without constant, optimal portfolios will be build. Around 290 selected stocks were splitted to six classes, then four approaching model were applied to it. From this process, B/L class and FF3FM were selected to become best class and best approaching model. Using IDX30 and LQ45 indices as stock screener, some stocks from B/L class were selected, in order to build optimal stock portfolio, later named by Skyscraper, Skyscraper Core and Skyscraper Enhanced. Investment decision towards three different optimal portfolio based on : 1) If investors search consistent portfolio return for last five years, the answer is Skyscaper Core Portfolio, but 2) if investors wants less risk portfolio, Skyscraper Enhanced is right choice, but 3) if investors dreams higher portfolio return with higher risk among three optimal portfolios, the choice must be applied to Skyscraper Portfolio.

Item Type: Thesis (Masters)
Uncontrolled Keywords: portofolio, optimal, saham, Capital Asset Pricing Model, CAPM, Fama French 3 Factors Model, FF3FM, portfolios, optimal, stock.
Subjects: Manajemen Keuangan
Depositing User: SB-IPB Library
Date Deposited: 27 Dec 2018 05:21
Last Modified: 08 Oct 2019 03:57
URI: http://repository.sb.ipb.ac.id/id/eprint/3201

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