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Saudi Journal of Economics and Finance (SJEF)
Volume-4 | Issue-12 | 562-568
Original Research Article
Analysis of Optimal Portfolio Selection and Portfolio Performance Evaluation on LQ45 Shares
Suroto
Published : Dec. 13, 2020
DOI : 10.36348/sjef.2020.v04i12.004
Abstract
The purpose of this study is to assess portfolios that have been formed using a calculation model that calculates total risk and also to find out portfolios formed from companies listed on the LQ 45 Index on the IDX for the period February-July 2020. This research is a census research in which the population is all company shares that are consistently included in the LQ-45 index for the period February-July 2020. The data used is derived from secondary data, in the form of daily closing stock prices and daily closing composite stock price index obtained from data Indonesia Exchange Monthly Statistics and data on interest rates for Bank Indonesia Certificates for the period 30 April - 30 June 2020. The results showed that there were 9 stocks formed from 45 LQ45 stocks. The proportion of shares formed from LQ45 shares is TOWR of 0.263, SCMA of 0.175, BTPS of 0.174, SMGR of 0.123, JSMR of 0.148, EXCL of 0.048, CPIN of 0.047, INCO of 0.007 and ASII of 0.014. The portfolio performance formed from LQ-45 is better than the Stock Price Index G, this is indicated by the LQ-45 portfolio sharpe index figure of 0.3902 and the JCI has a sharpe index of 0.0804.
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