Perpustakaan Digital ITB

In the field of investment and finance, investors generally want to maximize their rate of return and minimize their risk. One of the investment instruments that can generate high return is in the stock investment. It generally provides higher return than investing in other financial assets such as bonds and bank deposits. Investing in stock asset can give investors a high return. However, there is a term of high risk high return in the area of finance. Investors can reduce the risk of their stock investment by diversifying assets in their portfolio. There is a theory that can maximize the return of investor's investment with a given level of risk. The theory is called Modern Portfolio Theory (Harry Markowitz, 1952). The Modern Portfolio Theory will be used as the main tool for portfolio construction in this research. The objective of this research is to construct and evaluate the optimum portfolios using MPT in the Indonesian stock market. This research is focus on stocks listed in Bisnis-27 Index, one of the indexes That exist in Indonesian stock market. The time span of this research is from the establishment of the index which is in January 2009 until April 2012. The historical data of each stock listed in the Bisnis-27 and risk-free asset in Indonesia will be used in this research. There will be 15 sets of efficient portfolio every semester that will be constructed. The result of this research will provide the optimum portfolio that can be constructed from each of six semesters from the stock listed in Bisnis-27 index. The measurement of the optimum portfolios performance also will be conducted in this research. The Sharpe ratio, Treynor ratio, and Jensen’s Alpha will be used in this research as the evaluation tools of for comparing the portfolio performance to the market performance. In the result, there are six optimum portfolios generated in six semesters with the lowest CV value in each semester. The optimum portfolios' annual return is ranging from 25% to 194.21% with risk level ranging from 4.26% to 31.54%. The stock compositions are BBRI, JSMR, ISAT, LPKR, and ASII. In addition, BBRI and JSMR have the highest frequency in the optimum portfolio constituents with presence of six to five times during the first semester to sixth semester in the research. Moreover, all of the optimum portfolios have better performances compared to the market.