Pembentukan Portofolio Secara Bertahap Dengan Kombinasi Metode Graham dan Metode Markowitz Studi Kasus Pada Investasi Saham PT Taspen (Persero)

• المؤلفون الرئيسيون: , Yudhi Setiawan, , Prof. Marwan Asri, M.B.A., Ph.D.
• التنسيق: Theses and Dissertations NonPeerReviewed
• منشور في: [Yogyakarta] : Universitas Gadjah Mada 2013
• الموضوعات: ETD
• الوصول للمادة أونلاين: https://repository.ugm.ac.id/118374/; http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=58321
• المؤسسة: Universitas Gadjah Mada

PT Taspen (Persero), which established in 17 April 1963, is a State Owned Company (SOE) that run insurance (Old Age Saving Program) and pension programs. PT Taspen (Persero) invested its assets in a variety of investment instruments permitted by the regulation which are: Time Deposits, Bonds, Stocks and others. In investing the stock, PT Taspen (Persero) has already using a method known as Markowitz's Modern Portfolio Selection. In the investment world today, Fundamental Stock Analysis, popularized by Benjamin Graham has become popular again. Combination of both methods by using the Graham method for stock selection and Markowitz to calculate portfolio return and risk is interesting to be discussed. The purpose of this study was to be able to combine stock selection method of Graham and Markowitz, and to calculate Net Asset Value (NAV) and also to analyze the results of the selection and calculation of return and risk. The data used in this study are stocks listed on the Indonesia Stock Exchange and included in LQ45 Index, because the shares are included in LQ45 are blue chips stocks that fit the criteria used by the PT Taspen (Persero). From the analysis found the result that the Net Asset Value (NAV) with a portfolio stock selection using Graham method and the calculation of return and risk Markowitz method (with the assumption that ignores dividends) at the observation period 2001-2011 yielded an average return and standard deviation of 2.91% 13.96% for the portfolio of Graham-Rea, 2.44% and 11.07% for Graham-Aggressive Investor and 2.53% and 11.68% for the Graham-Defensive Investor. Portfolio performance is still better than the performance of LQ45 index (as a benchmark) that gives return of 1.91%.