| Summary: | Jakarta Composite Index (JCI) continued rising since Indonesia passed from
the monetary crisis in 1997-1999 and reach its peak in early 2008. JCI plunged to the
lowest point in November 2010 when the economic crisis hit USA and Europe in
2008. Then JCI continued to rebound until the thesis was written in May 2011. In
2010 JCI provided return in the amount of 46.13%, while the highest return of LQ45
stock showed by KLBF reaching up to 150%. This thesis undertakes to find another
LQ45 stocks which have similar characteristics with KLBF stock as a target of
investments to get high return.
The research is conducted by comparing performance amongst LQ45 stocks
through comparison ratios from financial statements in 2010 LQ45. Then undertakes
prioritizing selection on LQ45 stock by Taguchi Loss Function method. The first step
is investigating to find out what are the significant financial ratios influencing LQ45
stock return. The ratios are Earning Per Share (EPS), Price to Earning Ratio (PER),
Book Value (BV), Price to Book Ratio (PBV), Return on Assets (ROA), Return on
Equity (ROE), Debt to Equity Ratio (DER), Net Profit Margin (NPM), and Operating
Profit Margin (OPM). The data of financial ratios and LQ45 stock return used in
earlier research are using financial reports from 2008 until 2010. The results founded
that the ratios of the most influential on the LQ45 stock return are PBV and ROA.
Then by using KLBF�s PBV and ROA we can selected prioritizing selection on
another LQ45 stocks by Taguchi Loss Function method. Taguchi method was
originally used in many manufacturing industries, but lately has been widely used in
other sectors such as services, accounting, insurance and financial services.
By using a 30% tolerance on KLBF�s PBV and ROA ratio, then the loss
function was calculated to prioritizing selection on LQ45 stocks are AALI, HEXA,
INTP, UNTR, SMGR and ASII. Another conclusion of this research was the LQ45
stocks with the highest returns do not always include in prioritizing stock on LQ45 by
Taguchi Loss Function. It is found that amongst stocks in prioritizing stock selection
on LQ45 only HEXA, UNTR and ASII that can beat return JCI throughout 2010
surpassed. Stocks in prioritizing selection on LQ45 derived from a variety of different
sectors from KLBF and also have any market capitalization.
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