Analysis And Performance Evaluation Of Optimal Portfolios In Lq 45 Stocks

Abstract

There are various options for investmentsin Indonesia Stock Exchange. One of the good choices is to invest in LQ 45 Stocks; because LQ 45 is a liquid stock, has a high market capitalization and also a high trade. The phases of analysis is started by identifying stocks that is consistent and has not split stock in the index of LQ 45 in february 2008- july 2013. The expected rate of return, risks, stocks correlation and covarian of a group of analyzed LQ 45 Stocks are calculated by using the closing price of LQ 45 stock. Next step is to find optimal portfolio by considering the effect of inflation, exchange rate, GDP and economic crisis. The phase continued by making portfolio with three methods, which are Markowitz, Constant Correlation Model and Single Index Model. The result of Single Index Model, Correlation Model and Markowitz Model will be considered by four methods of portfolio performance which are Treynor’s measure, Sharpe’s, Jensen’s measure dan Information Ratio’s measure. Furthermore, this performance also calculates the effect of macroeconomic factors on portfolio return. The result of portfolio return can be regressed by macroeconomic variable to get the value of portfolio return that has been affected by macroeconomic variable. Macroeconomic variable that has been researched affects portfolio return. Based on the calculation of the crisis variable on these three models, there is no significant influence to reject Ha. The GDP Variable significantly has no influence on return portfolio only for Markowitz Model (Reject Ha3), on the other hand, it significantly influences the other models (Ha3 can be ccepted). The Ha1 can be accepted in each model if the inflation has negative effect or has opposite correlation to portfolio return. Thus, Ha can not be accepted because it has positive result that shows the same line correlation to portfolio return. Based on the these four models of Portfolio Performance, the optimum portfolio with constant correlation model has the best result compared to single indeks model and Markowitz model.