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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| Format: | Thesis |
| Published: |
[Yogyakarta] : Universitas Gadjah Mada
2012
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| _version_ | 1826045350924779520 |
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| author | , Tetty Widayantie , Prof. Dr. Indra Wijaya Kusuma, MBA |
| author_facet | , Tetty Widayantie , Prof. Dr. Indra Wijaya Kusuma, MBA |
| author_sort | , Tetty Widayantie |
| collection | UGM |
| description | 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). |
| first_indexed | 2024-03-13T22:35:50Z |
| format | Thesis |
| id | oai:generic.eprints.org:98371 |
| institution | Universiti Gadjah Mada |
| last_indexed | 2024-03-13T22:35:50Z |
| publishDate | 2012 |
| publisher | [Yogyakarta] : Universitas Gadjah Mada |
| record_format | dspace |
| spelling | oai:generic.eprints.org:983712016-03-04T08:49:11Z https://repository.ugm.ac.id/98371/ Evaluasi Kinerja Portofolio Menggunakan Strategi Pasif VS Strategi Aktif , Tetty Widayantie , Prof. Dr. Indra Wijaya Kusuma, MBA ETD 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). [Yogyakarta] : Universitas Gadjah Mada 2012 Thesis NonPeerReviewed , Tetty Widayantie and , Prof. Dr. Indra Wijaya Kusuma, MBA (2012) Evaluasi Kinerja Portofolio Menggunakan Strategi Pasif VS Strategi Aktif. UNSPECIFIED thesis, UNSPECIFIED. http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=53501 |
| spellingShingle | ETD , Tetty Widayantie , Prof. Dr. Indra Wijaya Kusuma, MBA Evaluasi Kinerja Portofolio Menggunakan Strategi Pasif VS Strategi Aktif |
| title | Evaluasi Kinerja Portofolio Menggunakan Strategi Pasif VS Strategi Aktif |
| title_full | Evaluasi Kinerja Portofolio Menggunakan Strategi Pasif VS Strategi Aktif |
| title_fullStr | Evaluasi Kinerja Portofolio Menggunakan Strategi Pasif VS Strategi Aktif |
| title_full_unstemmed | Evaluasi Kinerja Portofolio Menggunakan Strategi Pasif VS Strategi Aktif |
| title_short | Evaluasi Kinerja Portofolio Menggunakan Strategi Pasif VS Strategi Aktif |
| title_sort | evaluasi kinerja portofolio menggunakan strategi pasif vs strategi aktif |
| topic | ETD |
| work_keys_str_mv | AT tettywidayantie evaluasikinerjaportofoliomenggunakanstrategipasifvsstrategiaktif AT profdrindrawijayakusumamba evaluasikinerjaportofoliomenggunakanstrategipasifvsstrategiaktif |