Perpustakaan Digital ITB

Having an investment is one way to keep the asset that people had keep growing. There were a lot of investment product that could be invested now days, from low return investment like time deposit; medium investment product like fixed income fund, and high risk investment like stocks. By the entire investment product, investor must remember a high risk investment will give a high risk return, and vice versa. In this research, author tries to find an investment that give high return while considering its risk by making portfolio from stocks. The main theme of this research is Capital Market and focus on finding an Efficient and Optimal Portfolio based on the Markowitz Modern Portfolio Theory. Markowitz Modern Portfolio Theory explains that risk could be minimized by diverse the asset as a portfolio. It also explains than an optimal portfolio is a portfolio that gives highest return in a point of risk, or also meaning a portfolio with highest Sharpe ratio. To find an optimal portfolio, the author made a portfolio simulation. In that simulation, there were 25 portfolios that made from stocks which were established in Jakarta Composite Index. 14 stocks were chosen in the simulation, these stocks were a stock that listed in LQ-45 Index in the January 2nd 2007 up to January 2nd 2012 period. The author uses Solver Add-ins in the process of making the portfolio. From the portfolios that were made, the author compares the portfolios performance with the Jakarta Composite Index performance. The compartment includes risk, return, beta, Sharpe ratio, and Treynor ratio. From 25 portfolios that were made, portfolio number 1 was portfolio with highest return and weight of single asset < 90%, portfolio number 3 was portfolio with highest Sharpe ratio, and portfolio number 25 was portfolio with minimum standard deviation. By the result, portfolio number 3 which had highest Sharpe ratio shows a better performance than the JCI, while had higher risk. The weight proportion of the Portfolio number 3 was 50.95% ASII, 33.42% BBCA, 9.06% PGAS, 3.98% BBRI and 2.59% PTBA. The result of the Sharpe ratio is 147.49%, the beta was 1.2 and the Treynor ratio is 60.31%. Expected return of this portfolio was 79.34% while giving 48.95% risk. For investors that want to invest their fund in stock market, the author recommends investors to invest their fund in the Portfolio number 3 that was made in this research. By investing in portfolio that contain many single asset, the invest risk could be minimized. Recommendation for further study, other measurement like Jensen's alpha could be used, mixing the portfolio with other finance product, and also using other portfolio theory such CAPM