Assesment of Portfolio Return Performance in the Indonesian Capital Market

DOI

10.2991/aebmr.k.200522.053How to use a DOI?

Keywords

risk, return, portfolio performance, Jensen alpha index

Abstract

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.

Copyright

© 2020, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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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  - 10.2991/aebmr.k.200522.053
ID  - Aminda2020
ER  -