Perpustakaan Digital ITB

Capital market is an economic sphere where investors seek to optimize risk and return from instruments such as stocks, bonds, and other financial instruments. To succesfully undertake this condition, whether to gain a high expected return or minimize the standart deviation of their portfolio, the investors need to analyze and calculate the best portfolio of assets that can maximize their return or minimize their risk. The stocks that are chosen for this research is Garda Tujuh Buana Tbk (GTBO), which represent the mining sector stock. Surya Semesta Internusa Tbk. (SSIA), which represent the property sector stock. Citra Marga Nusaphala Persada Tbk. (CMNP), which represent Infrastructur sector stock. Lippo Securities Tbk. (LPPS), which represent Financial sector stock. And Star Pacific Tbk. (LPLI), which represent Trade sector stock. The author then tries to construct the efficient and optimum portfolio based on these stocks. The author will also determine the performance of the portfolio that has been construct and see whether these portfolio's performance better than the market performance or not. In this study, the author will use the Microsoft Excel 2007 and its solver add- ins to construct the optimum portfolio based on 2 categories, 1 portfolio with maximum return and 1 portfolio with minimum risk or standart deviation. The author also will use Sharpe Ratio, Treynor’s Measure, and Jensen Alpha to determine the performance of the portfolios. The outputs of this research are the portfolio which generates the highest return also turns out to have the best perfomance among other portfolios based on Sharpe Ratio and Jensen Alpha. This portfolio has a Sharpe Ratio of 19,59% with Jensen Aplha of 0,37%.