Evaluasi Pembentukan Portofolio Saham Optimal

• Main Authors: , Kwa Djantara, , Prof. Dr. Zaki Baridwan MSc
• Format: Theses and Dissertations NonPeerReviewed
• Published: [Yogyakarta] : Universitas Gadjah Mada 2012
• Subjects: ETD
• Online Access: https://repository.ugm.ac.id/98172/; http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=53423
• Institution: Universitas Gadjah Mada

Investing is an art of how to manage wealth growth. In order to have optimum return, an investor has to balance between return and risk. Therefore, an investor has to accurately analyze each stock and put it in his portfolio bracket. Building a portfolio is one way to reduce risk of individual stock and to have optimum return. Issues which are reviewed are 1) how much risk, return, and sharpe ratio of each stock listed in ILQ-45. 2) how much risk and return of portfolio constructed from combination of five stocks. 3) how to have the most optimum portfolio by using sharpe ratio formula. The purposes of this research are 1) to measure risk and return of stock listed in ILQ-45. 2) to evaluate stocks that could contribute positive return on the end of 2009. 3) to construct a portfolio from the selected stocks which provides the most optimum return. Population in this research is companies that are listed in ILQ-45 from January 2007 until December 2009. Samples in this research are stocks that were consistently listed in ILQ-45 and are providing positive return for three consecutive years which only fourteen stocks are eligible to form the portfolio. The combination of fourteen stocks generate 2002 portfolios in which consist of five stocks in a portfolio. All of portfolios returns were greater than risk free rate, therefore investors have to choose the most suitable portfolios based on their profile. Since the stock market is very dynamic, investors must set up their own rules and remain discipline to remove stocks from their portfolio which do not fit to the criteria.