Evaluasi Kinerja Portofolio Menggunakan Strategi Pasif VS Strategi Aktif
Many investment alternatives that can be chosen by the investors in developing their funds. Capital market is a long-term investment alternative. Investing basically aims to gain return, but investors should also bear the risks of the embedded investment. To overcome or reduce risk, investors can ma...
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| Main Authors: | , |
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| Format: | Theses and Dissertations NonPeerReviewed |
| Published: |
[Yogyakarta] : Universitas Gadjah Mada
2012
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| Subjects: | |
| Online Access: | https://repository.ugm.ac.id/98371/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=53501 |
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| Summary: | Many investment alternatives that can be chosen by the investors in
developing their funds. Capital market is a long-term investment alternative.
Investing basically aims to gain return, but investors should also bear the risks of
the embedded investment. To overcome or reduce risk, investors can make
diversity through portfolio establishment. Formatting a stock portfolio can be
divided into 2 (two) strategies, portfolio establishment by using passive strategy
(following LQ 45 index) and active strategy (selecting stocks with certain
criteria).
This research aimed to determine the return and risk of both strategies. In
addition, it will also be compared between return and risk produced, is there any
noticeable difference or not. Processing data in this research was taken from the
data in 6 (six) years, from 2005 to 2010 which formed 22 (twenty two) portfolios
then, they were 11 (eleven) active and passive portfolios.
Passive portfolio was formed by following portfolio of LQ 45 index,
while the active portfolios were formed by certain criteria. In this research the
formation of active portfolios were by selecting stocks which have over 0.15% of
weighted index and have positive growth in each semester. After active portfolios
were formed, weighted was done. Weighting was done by using calculation of
unweighted stock index (Unweighted Price), meaning that all stock/share have
same scale without considering the price of current stock/share (capitalization) to
do the calculation of the index.
After going through the stages in the formation and measurement of
performance (return and risk), gained the result that from 11 (eleven) passive
portfolios, there were only 3 (three) passive portfolio returns better than the
market returns. Meanwhile, from 11 (eleven) active portfolios, there were 6 (six)
active portfolio returns better than the market returns. For evaluating the
performance of these two strategies, it was used 3 (three) measurements such as
Sharpe Index, Treynor Index and Jensen Index. In Shape Index and Index of
Jensen measurement, there were not any significant differences between passive
and active portfolios (H0 is accepted), while for the Treynor Index measurement
there were significant differences between the performance of passive and active
portfolios (H0 is rejected). |
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