Perpustakaan Digital ITB

The global economic crisis in 2008, which originated in America, impacted quite significant for the world economy. Slowing the growth of the economy was felt by some developed countries that are trading partners of the Americas. Exacerbated by this crisis Europe where some European countries have considerable debt and incriminating the economy of the countries. Decrease in the level of economic growth in developed countries, forcing investors to divert its funds shows that yield higher. Increased economic growth in recent years has made Indonesia as new a place to invest for foreign investors. The capital markets become the entrance for a foreign investor funds to Indonesia. Indonesia capital market ranked third best in the world in 2011 with a record increase of 3.19%. Capital market investment products such as stocks become one attraction for investors because the yield given high enough. In addition to having a high yield stock also has a high level of risk. By using modern portfolio management theory of Harry Markowitz, a portfolio can be formed that has a negative correlation rate of asset portfolio so that it produces a smaller combined risk and yield a more optimal. The Portfolio can be formed from the combination of several investment assets such as gold and stocks. Characteristics of the gold price tend to rise as well as having a high level of liquidity caused gold to become investment option for most people. The global economic crisis in 2008 showed that the gold price tends to rise when the Indonesia capital market decreased. Selected stocks, as asset portfolio will be taken from your Indexes Business-27, which has high liquidity and good corporate governance in the management of the company. Each stock to be formed portfolio must have the higher performance of the IHSG. By using historical data downloads for 5 years, it will be retrieved ten stocks are performing better than IHSG as follows ASII, BBRI, the BMRI, INCO, INTP, the INDF, KLBF, PGAS, PTBA and UNTR. Historical Data for 5 years from 2007-2011 shows that the return is generated yearly by IHSG is of 15.21% with a standard deviation of $ 28.80% per year. Modern portfolio theory can be used to generate the optimal portfolio for investors. The optimization constraint are maximizing return and minimizing risk. With the strategy of rebalancing will be available to higher investment results of IHSG which results from optimization of the results that are obtained with the composition of the portfolio's assets total shares has the yield of 35.96% p. a with standard deviation of 40.90% p.a. Portfolio with the composition of the assets of a combination of stocks and gold has a yield of 37.68% p. a with standard deviation of 40.82% p.a.