Analysis of Selected Portfolio Stocks Index LQ 45.

Abstract

Investment objective is to get a great rate of return. The higher the expected return, the higher the risk. Investment risk can be minimized by establishing an investment portfolio. Stock is one investment option.Research objectives are, (1) to analyze the return value and the risk of a stock portfolio combinations of stocks chosen by Mean Variance and Mean Absolute Deviation method, (2) to analyze Value at Risk of a portfolio of stocks that is formed, (3) to analyze the correlation between the portfolio return calculation of Mean Variance and Mean Absolute Deviation method as well as the correlation between the portfolio risk calculation of Mean Variance and Mean Absolute Deviation method, and (4) to analyze the differences in calculating portfolio return of Mean Variance and Mean Absolute Deviation method as well as calculating the difference between the portfolio risk of Mean Variance and Mean Absolute Deviation method. This study consists of four investment scenarios. Each scenario consists of 84 portfolios, which are formed from three selected stocks. Stocks selected from LQ 45 period from February to July 2013. The selected stocks are LSIP, ITMG, INTP, ASII, GGRM, LPKR, JSMR, BBNI, and UNTR. Stocks have been because these stocks stable at LQ 45 for 3 years and has the highest return on the value of each sector. Proportion of investment in the first scenario and three scenarios at all equal stocks, namely 33,33%. Secondscenario and the fourth scenario, the proportion of the value of the investment depends on the ranking of stock returns in each portfolio. Stocks that have the highest proportion of the value of its investment return is 50%, then to the second rank, the proportion of 30% of the investment value and the smallest proportion of 20% of its investment. The data used in the first scenario and the second scenario is the monthly stock price data from the year 2008 to 2012. While the data used in the third and fourth scenario is the daily stock price data for 100 days from January - June 2013. Portfolios are formed calculated values return and risk based scenarios created by the method of mean variance and mean absolute deviation. The resulting portfolio return value in all scenarios is higher than return value of the constituent stocks. Value return who generated method of mean variance equal with the mean absolute deviation.Valueof the portfolio risk generated by mean variance is smaller than value of risk generated by the mean absolute deviation. Value of portfolio risk in the first and second scenario almost all less than value of the risk of its constituent stocks. Therisk value of the portfolio at second and third scenario is greater than risk of its constituent stocks. Proportion value of investment and the amount of of data which used one of the factors determinants of value of risk the portfolio. This study also examined the maximum risk value generated by portfolios formed according to the four scenarios. Maximum risk value or commonly referred to as value at risk searched by covariance methode. Portfolios formed by stocks that have great value risk, VaR has great value. Correlation test of calculation of return on mean variance method and mean absolute deviationmethode result that there is a significant relationship between the two methods. This is consistent with calculation of return on the different test mean variance and mean absolute deviation method in which there are no differences between the two methods in calculating returns.Correlationof risk calculation on the mean variance method and the mean absolute deviation method produces no correlation between the two methods in calculating portfolio risk. So that different test conducted showed the difference in the risk calculation method of mean variance and mean absolute deviation method.