Perpustakaan Digital ITB

This study presents analysis the effect of investor sentiment to bond portfolios with different objective functions and rebalancing periods under normal and crisis condition. The objective functions used as portfolio selection consist of market outstanding, liquidity, and Sharpe-Ratio. This study conducts analysis of portfolio optimization using the Black-Litterman model. Using Indonesia government bond transaction data to form portfolio from beginning of 2007 until the end of 2011, the influences of sentiment with different objective functions are also analyzed to represent investor preferences. Empirical analysis presents that under normal condition, the performance of the bond portfolio with sentiment provides higher return than without sentiment, except for liquidity portfolio with long rebalancing period and Sharpe-Ratio portfolio. Market outstanding portfolio with sentiment for long rebalancing period outperforms the other portfolios and also the index in the long run. Under crisis condition, the performance of bond portfolio with sentiment provides higher return than without sentiment for long rebalancing period, except for Sharpe-Ratio portfolio. For short rebalancing period, sentiment is not effective only for market outstanding portfolio. Sharpe-Ratio portfolio without sentiment for long rebalancing period outperforms the other portfolios.