Analisis optimisasi portofolio saham-saham LQ-45 dengan menggunakan value at risk dan markowitz = Analysis of LQ-45 stock portfolio optimization using value at risk and markowitz

Dosen, Yoga Pratama (2020) Analisis optimisasi portofolio saham-saham LQ-45 dengan menggunakan value at risk dan markowitz = Analysis of LQ-45 stock portfolio optimization using value at risk and markowitz. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Tugas Akhir ini akan membandingkan kinerja portofolio yang terbentuk dari model Markowtiz dan model Mean-VaR. Data yang digunakan adalah adjusted closing price beberapa saham pilihan dari tahun 2005 sampai 2010 dan 2013 sampai 2018. Saham-saham yang dipilih adalah saham yang terus menerus termasuk dalam indeks LQ-45 selama tahun 2005-2018 dan sudah tercatat di Bursa Efek Indonesia (BEI) setidaknya sejak 1 Januari 2002. Melalui proses pemilihan tersebut, didapatlah 12 saham yang kemudian akan dibentuk portofolio menggunakan kedua model. Pembentukan portofolio optimal dilakukan secara harian oleh sebab itu akan didapat proporsi portofolio harian. Untuk membandingkan kinerja dari setiap model optimasi portofolio, maka nilai rata-rata Sharpe Ratio portofolio tahunan yang terbentuk akan dibandingkan. Dari nilai Sharpe Ratio yang didapat, disimpulkan bahwa pada metode Markowitz membentuk portofolio yang lebih baik pada periode 2005 sampai 2010 sekalipun terjadi krisis ekonomi pada tahun 2008. Sedangkan model VaR membentuk portofolio yang lebih baik pada periode 2013 sampai 2018. / This Final Project compares the portfolio performance that is formed from Markowitz model and VaR model. The data that used are adjusted closing price of selected shares from 2005 to 2010 and 2013 to 2018. The selected stocks are continuosly included in the LQ-45 index during 2005-2018 and have been listed on the Bursa Efek Indonesia (BEI) since at least January 1, 2002. Through this selection process, 12 shares are obtained which will then be formed using both models portfolios. The optimal portfolio formation is done daily, therefore the proportion of daily portfolio will be obtained. To compare the performance of each portfolio optimization model, the average value of Sharpe Ratio annual portfolio formed will be compared. From the Sharpe Ratio values obtained, it was concluded that the Markowitz method formed a better portfolio in the period 2005 to 2010 despite the economic crisis in 2008. While the VaR model formed a better portfolio in the period 2013 to 2018.

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