Analisis saham dalam suatu indeks menggunakan metode clustering dengan principal component analysis = Stock analysis in an index using clustering method with principal component analysis

Sulina, Fannie Aurelia (2022) Analisis saham dalam suatu indeks menggunakan metode clustering dengan principal component analysis = Stock analysis in an index using clustering method with principal component analysis. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Pengelompokan saham pada suatu indeks saham berdasarkan pergerakan harga saham berguna untuk melakukan investasi. Hasil dari pengelompokan digunakan untuk mengetahui saham-saham dengan pergerakan harga yang mirip dan membentuk portofolio untuk investasi dengan saham yang pergerakan harganya berbeda-beda. Metode yang digunakan dalam penelitian adalah metode clustering dengan Principal Component Analysis dengan menggunakan data harian harga penutupan saham. Hasil pengelompokan yang diperoleh akan diuji dengan tujuan melihat apakah hasil pengelompokan dapat digunakan untuk menyusun portofolio. Langkah pertama untuk memperoleh hasil pengelompokan adalah mencari komponen-komponen utama dari data harian harga saham dengan Principal Component Analysis. Kemudian, dilakukan clustering dengan metode K-Means terhadap komponen-komponen utama yang diperoleh. Hasil pengelompokan dari clustering tersebut akan diuji untuk melihat apakah saham-saham dalam kelompok memiliki kemiripan sifat. Hasil clustering dari suatu indeks akan dibandingkan kelompoknya untuk melihat apakah metode pengelompokan menghasilkan kelompok yang konsisten. Kemudian, akan dilakukan penyusunan untuk portofolio dengan mengambil satu saham dari masing-masing kelompok, serta menggunakan metode Mean-Variance portfolio optimization. Evaluasi terhadap portofolio akan dilakukan dengan membandingkan kinerja portfolio dan Indeks Harga Saham Gabungan. Metode yang digunakan untuk mengevaluasi portofolio adalah Sharpe ratio, Treynor ratio, dan Jensen’s alpha. Hasil penelitian menunjukkan bahwa saham dikelompokkan dengan baik menggunakan metode penelitian./Grouping stocks on a stock index based on stock price movements is useful for making investments. The results of the grouping are used to identify stocks with similar price movements and form a portfolio for investments with stocks with different price movements. The method used in this research is the clustering method with Principal Component Analysis using daily data on stock closing prices. The grouping results obtained will be tested with the aim of seeing whether these results can be used to compile a portfolio. The first step is obtaining the group by finding the main components of the daily stock price data using Principal Component Analysis. Then, do clustering with the K-Means method on the main components obtained. The results from the grouping of clustering will be tested to see if the stocks in the group have similar characteristics. The results of clustering will be compared to see whether the grouping results are consistent or not. Then, the portfolio will be compiled by taking one stock from each group and compiling them using the Mean-Variance portfolio optimization method. Evaluation of the portfolio will be carried out by comparing the performance of the portfolio to the Composite Stock Price Index. The methods used to evaluate the portfolio are Sharpe ratio, Treynor ratio, and Jensen’s alpha. The results showed that the stocks were well grouped using the research method.

Item Type: Thesis (Bachelor)
Creators:
CreatorsNIMEmail
Sulina, Fannie AureliaNIM01112180023birgitafannie@gmail.com
Contributors:
ContributionContributorsNIDN/NIDKEmail
Thesis advisorSaputra, Kie Van IvankyNIDN0401038203UNSPECIFIED
Thesis advisorFerdinand, Ferry VincettiusNIDN0323059001UNSPECIFIED
Uncontrolled Keywords: Saham; Clustering; Principal component analysis; Mean-Variance portfolio optimization; Evaluasi portofolio
Subjects: Q Science > QA Mathematics
Divisions: University Subject > Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics
Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics
Depositing User: Users 6044 not found.
Date Deposited: 21 Feb 2022 11:00
Last Modified: 21 Feb 2022 11:00
URI: http://repository.uph.edu/id/eprint/46536

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