Lindung Nilai Portofolio Saham IDX80 Menggunakan Maximum Sharpe Ratio dengan Strategi Protective Put-Basket Put Option

Abstract

Investasi saham menawarkan potensi keuntungan yang tinggi tetapi juga disertai risiko kerugian yang tinggi karena harga saham berfluktuasi. Selain itu, investor saham seringkali memiliki permasalahan dalam memilih keputusan investasi karena banyak pilihan saham yang tersedia di pasar modal. Penelitian ini membentuk portofolio optimal saham IDX80 menggunakan metode Maximum Sharpe Ratio dan menerapkan lindung nilai kepada portofolio optimal menggunakan strategi protective put dengan basket put option. Saham portofolio optimal diseleksi dengan kriteria log return berdistribusi normal dan saham memiliki sharpe ratio bernilai positif sehingga didapatkan portofolio optimal berisikan enam saham, yaitu saham ANTM, ASII, CMRY, JPFA, PGAS, dan TLKM. Harga basket put option diestimasi menggunakan simulasi Monte Carlo dengan variasi strike price. Hasil simulasi tersebut menghasilkan premi basket put option yang meningkat seiring kenaikan strike price. Harga portofolio mengalami penurunan selama periode testing sehingga strategi protective put memberikan perlindungan terhadap risiko penurunan harga melalui pembentukan batas kerugian.

Stock investment offers the potential for high returns but is also accompanied by a high risk of losses due to fluctuations in stock prices. In addition, investors often face difficulties in making investment decisions because there are so many stocks listed on the capital market. This research constructs an optimal IDX80 stock portfolio using the Maximum Sharpe Ratio method and hedges the optimal portfolio using a protective put strategy with a basket put option. Stocks for the optimal portfolio were selected based on the criteria that their log returns follow a normal distribution, and stocks having a positive sharpe ratio. The optimal portfolio consists of six stocks: ANTM, ASII, CMRY, JPFA, PGAS, and TLKM. The price of the basket put option was estimated using Monte Carlo simulation with varying strike prices. The simulation results show that the basket put option premiums increase as the strike price rises. The portfolio price declined during the testing period, so the protective put strategy provided protection against the risk of price declines by establishing a loss limit.