PORTFOLIO OPTIMIZATION ON STOCKS LISTED IN LQ45 INDEX USING MARKOWITZ AND SINGLE INDEX METHOD
| Main Authors: | Jefons, Newton Bernoully Sailendra; School of Business and Management, Institut Teknologi Bandung, Anggono, Achmad Herlanto; School of Business and Management, Institut Teknologi Bandung |
|---|---|
| Format: | Article info eJournal |
| Bahasa: | eng |
| Terbitan: |
The Indonesian Journal of Business Administration
, 2022
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| Online Access: |
https://journal.sbm.itb.ac.id/index.php/IJBA/article/view/4563 |
Daftar Isi:
- The pandemic's impact has hit the Indonesian capital market, which has experienced a deep correction in the last five years. Two models that are commonly used in portfolio calculation are the Markowitz method and the Single Index method. This study uses five years of monthly adjusted closed price data on the Indonesia Stock Exchange downloaded from yahoo finance from the stocks listed in the LQ45 index from December 2015 to December 2020. 15 selected stocks are included in the portfolio. The Markowitz model produces 15 portfolio simulations with one optimum portfolio: Portfolio 9 with a return of 26.52% annually and a standard deviation of 19.29%. The composition are 73.92% of BBCA; 14.05% of ANTM, and 12.03% of PTBA. The Single Index Method produces a portfolio with a return of 25.89% annually, with a standard deviation of 16.58%. The compositions are 61.79% of BBCA, 4.77% of BBRI; 8.61% of ANTM; 6.74% of INCO; 6.33% of ADRO, and 12.02% of PTB. Both models consistently produce results that sector that can still have the potential to provide benefits is the Finance and mining, for Bank, Metal and Mineral Mining, and Coal Mining industries.Keywords: Investment, Portfolio, Return, Risk, Markowitz Model, Single Index