| Summary: | A portfolio is comprised of a number of securities selected using particular
provisions to be investment targets aimed at reducing risks by diversifying its
assets. This study aims to shape a good or efficient stock portfolio and to prove
the superiority of the portfolio formation method used, the Data Envelopment
Analysis (DEA) method . This method is the commonly used method in
operational area to estimate the limits of production or efficiency.
This study uses secondary data obtained from the annual financial
statements during the period 2009 to 2011 used as variables in the study. The
input variables use total assets, total equity and debt to equity ratio, while the
output variables use net sales, net profit, PBV, ROI, and ROE. In the
measurement, JCI and Kompas 100 are the benchmarks to determine the
performance of the portfolio, where the Sharpe index, Treynor index and the
Alpha's Jensen index were used as measurement of portfolio performance.
The results showed that the techniques or methods of DEA efficiency
testing can be utilized in the selection of stocks to form portfolios, because based
on the abslolute number of portfolio measurement, that is the Sharpe, Treynor and
Alpha's Jensen indices, DEA portofolio either CRS model or VRS model can beat
the stock market index (beat the market), both the composite stock price index
(JCI) and Kompas 100 index. However, the results of the statistical test Mann
Whitney U-test concluded that the performance of the portfolio formed by DEA
was unable or failed to outperform the market because there was no significant
difference in the value of portfolio performance.
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