Estimasi Risiko Saham Logistik dan Pengantaran dengan Metode Expected shortfall dalam Pengambilan Keputusan Investasi

Abstract

Penurunan portofolio PT Rakyat Merdeka Finansial (RMF) sebesar 17% menegaskan pentingnya diversifikasi ke sektor logistik yang terbukti tangguh. Penelitian ini mengukur risiko ekstrem saham logistik menggunakan Expected shortfall (ES) 95% dengan Monte Carlo t-student, lebih akurat dibandingkan Ekspansi Cornish-Fisher. Hasil menunjukkan risiko moderat pra-pandemi (TMAS -13%, SDMU -9%, SMDR -5%, NELY -8%, TRUK - 4%, TNCA -12%, SAPX -13%), meningkat saat pandemi (TMAS -14%, SDMU -14%, SMDR -10%, NELY -10%, TRUK -12%, TNCA -14%, SAPX -10%), namun pemulihan tidak merata pasca-pandemi dengan SMDR turun ke -6%, SDMU -8%, NELY -10%, TRUK -10%, sementara TNCA dan SAPX meningkat ke -16% dan -15%. SMDR direkomendasikan untuk investor risk averse, SDMU, NELY, dan TMAS untuk risk neutral, sedangkan TRUK, TNCA, dan SAPX untuk risk seeker.

The 17% decline in PT Rakyat Merdeka Finansial (RMF) portfolio underscores the importance of diversification into the proven resilient logistics sector. This study measures extreme risk in logistics stocks using 95% Expected shortfall (ES) with Monte Carlo t-student simulation, which is more accurate than Cornish-Fisher expansion. Results show moderate pre- pandemic risk (TMAS -13%, SDMU -9%, SMDR -5%, NELY -8%, TRUK - 4%, TNCA -12%, SAPX -13%), increased during pandemic (TMAS -14%, SDMU -14%, SMDR -10%, NELY -10%, TRUK -12%, TNCA -14%, SAPX -10%), but uneven post-pandemic recovery with SMDR declining to -6%, SDMU -8%, NELY -10%, TRUK -10%, while TNCA and SAPX increased to -16% and -15%. SMDR is recommended for risk-averse investors, SDMU, NELY, and TMAS for risk-neutral investors, while TRUK, TNCA, and SAPX suit risk-seeking investors.