Assesment of Portfolio Return Performance in the Indonesian Capital Market
Renea Shinta Aminda
Renea Shinta Aminda
Available Online 25 May 2020.
- https://doi.org/10.2991/aebmr.k.200522.053How to use a DOI?
- risk, return, portfolio performance, Jensen alpha index
- The selection of portfolios from many issuers is intended to reduce the risk borne and have optimal portfolio performance in the market. The research carried out aims to find out the magnitude of issuers and their constituents in the Indonesian capital market continued to assess the performance of the portfolio formed with the best N in the Indonesian capital market, the observation period of the research conducted (January 2008 - December 2016) where the object of research is all companies listed on the Indonesia Stock Exchange with Purposive Sampling method, 50 issuers were selected as samples based on proportional combinations of 336 issuers with active transaction criteria and complete prices. Starting with establishing a portfolio of diversified sectors in the capital market, then portfolio performance was measured using the Jensen alpha index. There were 12 listed companies in the most optimal portfolio in obtaining diversified benefits, with a combination of issuers that provided the smallest risk with a certain rate of return and became an Optimal portfolio, consisting of a combination of 6 industrial sectors. The portfolio performance measurement results show portfolio performance below market performance or negative value but the systematic risk value is also below the market, the bet value <1 so it is in line with the purpose of forming a portfolio so it is said that the resulting portfolio has a good level of toughness and becomes an option Bali investor in the capital market.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Renea Shinta Aminda PY - 2020 DA - 2020/05/25 TI - Assesment of Portfolio Return Performance in the Indonesian Capital Market BT - Proceedings of the 2nd International Seminar on Business, Economics, Social Science and Technology (ISBEST 2019) PB - Atlantis Press SP - 285 EP - 290 SN - 2352-5428 UR - https://doi.org/10.2991/aebmr.k.200522.053 DO - https://doi.org/10.2991/aebmr.k.200522.053 ID - Aminda2020 ER -