Portofolio optimal investasi saham dari 8 sektor pada indeks lq45 (periode 2015-2018)

Verkino, Benyamin (2019) Portofolio optimal investasi saham dari 8 sektor pada indeks lq45 (periode 2015-2018). Masters thesis, Institut Pertanian Bogor.

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Abstract

The increasing growth of stock’s sales volume in line with the growth of real sectors in Indonesia has created n investment opportunities for investors to get the maximum return from stock investment. To achieve this goal, potential risk from stock investment needs to be overcome by applying an efficient diversification method of asset allocation through an appropriate method of measuring return and risk. Purpose of this research is to build an optimum investment portfolio of stocks using Single Index Model (SIM) from 31 stocks of 8 sectors LQ45 indices (trade, mining, infrastructure, consumer, industry, agriculture, finance, and properti) that throughout the period of research are main sectorals of Indonesia’s national economic growth. Based on the result of reasearch, an investor can form an investment portofolio that consists of 4 stocks (BBCA, SRIL, PTBA, and WSKT from finance, industry, mining, and properti sectors) with portofolio’s expected rate of return of 0.351% per week and portfolio’s variance of 0.039% per week, compared with IHSG’s rate of return and variance for 0.091% and 0.039% per week. Signifcance’s test using one sample t-test shows portofolio’s return is significantly greater compared with market’s return or IHSG. Performance measurement of portofolio by using Sharpe, Treynor, and Jensen’s ratio shows a positive ratio compared to IHSG (Sharpe 0.117, Treynor 0.002, Jensen: 0,003) which means this portfolio will give higher rate of return than what is being offered by IHSG. For next research, one can use other method of historical simulation to form an investment portofolio then make a comparison with the result from this research. As regulator, Bank of Indonesia needs to keep SBI interest rates low enough so the excess from stock returns to SBI returns as a risk-free asset will still provide a reasonable risk-return ratio on stock investments, especially for investors who is seeking long-term investment opportunities. The government is expected to maintain political and economic stability and facilitate licensing in investment. So that flow of funds into companies can be utilised to have better quality of product and services to both society and investors.

Item Type: Thesis (Masters)
Uncontrolled Keywords: IHSG, LQ45, portfolio, sektor, single index model.
Subjects: Manajemen Keuangan
Depositing User: SB-IPB Library
Date Deposited: 15 Jul 2020 05:58
Last Modified: 15 Jul 2020 05:58
URI: http://repository.sb.ipb.ac.id/id/eprint/3660

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