Periodic Rebalancing Portofolio Saham Indeks Kompas100 di Masa Pandemi COVID-19

Abstract

Pandemi COVID-19 merupakan peristiwa ekstrem yang mana terjadi dihampir seluruh belahan dunia. Pasar modal Indonesia pun turut terkena dampak COVID-19. Pada Bursa Efek Indonesia, terdapat kelompok saham yaitu Indeks Kompas100. Walaupun Kompas100 memiliki prospek pertumbuhan yang sangat baik, harga saham dari indeks tersebut tetap berfluktuatif yang diakibatkan oleh pergerakan pasar, maka dari itu, investor perlu melakukan rebalancing supaya portofolio Kompas100 mencapai kondisi yang optimum. Tujuan penelitian ini adalah untuk membentuk protofolio saham Kompas100 yang optimal berdasarkan Model Markowitz dan menganalisis strategi periodic rebalancing terhadap kinerja portofolio saham Kompas100 selama pandemi COVID-19. Jenis dan sumber data menggunakan data sekunder berupa data historis harga saham bulanan pada saham Kompas100 mulai Maret 2020 sampai Februari 2021. Berdasarkan hasil analisis dengan model Markowitz, portofolio optimal terdiri atas ASSA 11,25%; KLBF 24,6%; MIKA 24,06%; dan SIDO 40,07%. Disamping itu, monthly rebalancing adalah strategi yang paling optimum dalam meningkatkan return portofolio.

The COVID-19 pandemic is an extreme event that has occurred in almost all parts of the world. The Indonesian capital market has also been affected by COVID-19. On the Indonesia Stock Exchange, there was a group of stocks, namely the Kompas100 Index. Although Kompas100 has a very good growth prospect, the stock price of the index is still reflective as a result of market movements, therefore, investors need to carry out rebalancing so that the Kompas100 portfolio can reach its optimum condition. The purpose of this study is to form an optimal Kompas100 stock portfolio based on the Markowitz Model and also to analyze the periodic rebalancing strategy on the performance of the Kompas100 stock portfolio during the COVID-19 pandemic. Types and data sources use secondary data in the form of historical data on monthly stock prices on Kompas100 shares from March 2020 to February 2021. Based on the results of the analysis using the Markowitz model, the optimal portfolio consists of ASSA 11.25%; KLBF 24.6%; MIKA 24.06%; and SIDO 40.07%. In addition, monthly rebalancing is the most optimal strategy for increasing portfolio returns.