Kajian penerapan strategi investasi aktif di pasar modal indonesia

Fajri, Salman (2019) Kajian penerapan strategi investasi aktif di pasar modal indonesia. Masters thesis, Institut Pertanian Bogor.

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Abstract

This aim of this study is to get practical knowledge about the implementation of an active investment strategy to face a business cycle changes in Indonesia Stock Market. The implementation of an active investment strategy in this study uses several assumptions in assets allocation change. This assumptions refer to change that occurs in macroeconomic variables that are used as business cycle indicator. The business cycle indicator that used in this study is BI rate variable. The indicator variable analysis, which uses Hamilton Filter, indicate that BI rate variable has 1.75 year/cycle. The simple rotation strategy uses an IHSG instrument and bonds as a component of the portfolio construct, while the sector rotation strategy uses sector indexes instrument as a component of portfolio construct. The quotation of asset portion is analyzed with Markowitz model approach and the help of Ms. Excel Solver based on business cycle condition that is happening in particular period. The composition of assets in simple rotation strategy at trough period are 98.36% IHSG and 1.64% Bond, while the sector rotation is 17.79% JKAGRI, 50.40% JKCONS, and 31.81% JKFINA. Otherwise, the asset composition of simple rotation at peak period is 69.65% IHSG and 30.35% Bond, while the sector rotation is 0.45% JKAGRI, 57.71% JKCONS, 38.59% JKINFA, and 3.25% JKTRAD. The analysis performance of the active portfolio is used to find out the return from procedure implementation of an active trading strategy that is used in this study. The analysis tools that are used contain several measurements such as Jensen’s Alpha, Treynor Measure, and Sharpe Ratio. Furthermore, the comparative analysis of performance between active and passive portfolio is made Graham-Harvey Measure. The result of this study indicates that a simple rotation strategy generates an optimal performance with sharpe ratio of 27.98% in exchange rate assumptions as a shifting assets indicator with ±1% change of exchange rate growth. The sector rotation strategy generates an optimal performance with sharpe ratio of 23.55% in inflation assumptions as a shifting assets indicator with ±2% change of inflation growth..

Item Type: Thesis (Masters)
Uncontrolled Keywords: simple rotation, sector rotation, siklus bisnis. simple rotation, sector rotation, business cycle.
Subjects: Manajemen Keuangan
Depositing User: SB-IPB Library
Date Deposited: 08 Feb 2020 01:44
Last Modified: 08 Feb 2020 01:44
URI: http://repository.sb.ipb.ac.id/id/eprint/3552

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