Arifin, Wilbert (2024) Analisis Perbandingan Kinerja Portofolio Saham Optimal Resampled Efficient Frontier berdasarkan Kriteria Greenblatt’s Magic Formula, Piotroski’s F-Score, dan Acquirer’s Multiple. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Salah satu aspek yang harus diperhatikan dalam perencanaan keuangan adalah investasi. Salah satu jenis investasi dalam bentuk surat berharga yang dapat memberikan return substansial adalah saham. Saham memiliki potensi keuntungan berupa dividen dan capital gain, tetapi juga memiliki risiko seperti tidak mendapatkan dividen dan mengalami capital loss. Salah satu cara untuk meminimalisir risiko adalah dengan melakukan diversifikasi atau membentuk portofolio. Pada penelitian ini, dilakukan pembentukan portofolio optimal menggunakan metode Resampled Efficient Frontier yang didasarkan pada kriteria Greenblatt’s Magic Formula (REF-GMF), Piotroski’s F-score (REF-PF), dan Acquirer’s Multiple (REF-AM). Melalui ketiga metode tersebut, didapatkan bahwa jumlah saham dalam portofolio REF-GMF berkisar antara 3 hingga 15 saham, jumlah saham dalam portofolio REF-PF berkisar antara 5 hingga 16 saham, dan jumlah saham dalam portofolio REF-AM berkisar antara 3 hingga 15 saham. Portofolio REF-AM memiliki tingkat konsentrasi tertinggi, dengan rata-rata bobot dari 5 saham terbesar mencapai 93,35%, diikuti oleh portofolio REF-PF (90,24%) dan portofolio REF-GMF (89,69%). Portofolio REF-GMF, portofolio REF-PF, dan portofolio REF-AM berhasil memberikan return kumulatif (213,38%, 319,94%, dan 256,27%) dan return majemuk tahunan (7,91% CAGR, 10,04% CAGR, dan 8,84% CAGR) yang mengungguli portofolio REF tanpa screening dan indeks pasar (IHSG). Selain itu, kinerja ketiga portofolio berdasarkan indeks Sharpe (0,17, 0,04, dan 0,02), indeks Treynor (0,24, 0,06, dan 0,04), serta indeks Jensen (0,21, 0,05, dan 0,04) juga menunjukkan hasil yang lebih baik dibandingkan dengan portofolio REF tanpa screening dan IHSG. Secara berurutan, portofolio dengan return dan kinerja terbaik adalah portofolio REF-PF, diikuti oleh portofolio REF-AM, dan portofolio REF-GMF.
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One key aspect in the financial planning is investment. One form of security investment that could provide substantial returns is stocks. Stocks offer the potential for returns through dividends and capital gains, but also come with risks such as not receiving dividends and experiencing capital losses. One way to minimize risk is through diversification or forming a portofolio. In this study, an optimal portfolio was constructed using the Resampled Efficient Frontier method based on Greenblatt's Magic Formula (REF-GMF), Piotroski's F-Score (REF-PF), and Acquirer's Multiple (REF-AM). The results showed that the number of stocks in the REF-GMF portfolio ranged from 3 to 15, the REF-PF portfolio ranged from 5 to 16, and the REF-AM portfolio ranged from 3 to 15. The REF-AM portfolio had the highest concentration level, with the average weight of the top 5 stocks reaching 93.35%, followed by the REF-PF portfolio (90.24%) and the REF-GMF portfolio (89.69%). The REF-GMF, REF-PF, and REF-AM portfolios managed to provide cumulative returns (213.38%, 319.94%, and 256.27%) and annual compound returns (7.91% CAGR, 10.04% CAGR, and 8.84% CAGR) that outperformed the REF portfolio without screening and the market index (IHSG). Additionally, the performance of the three portfolios based on Sharpe ratio (0.17, 0.04, and 0.02), Treynor ratio (0.24, 0.06, and 0.04), and Jensen's alpha (0.21, 0.05, and 0.04) also showed better results compared to the REF portfolio without screening and the IHSG. In order, the portfolio with the best returns and performance is REF-PF portfolio, followed by REF-AM portfolio, and REF-GMF portfolio.
| Item Type: | Thesis (Other) |
|---|---|
| Uncontrolled Keywords: | Acquirer’s Multiple, Greenblatt’s Magic Formula, Piotroski’s F-Score, Portofolio Saham, Resampled Efficient Frontier Acquirer’s Multiple, Greenblatt’s Magic Formula, Piotroski’s F-Score, Resampled Efficient Frontier, Stock Portfolio |
| Subjects: | H Social Sciences > HG Finance > HG4529.5 Portfolio management |
| Divisions: | Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis |
| Depositing User: | Wilbert Arifin |
| Date Deposited: | 25 Jul 2024 02:50 |
| Last Modified: | 25 Jul 2024 02:50 |
| URI: | http://repository.its.ac.id/id/eprint/108839 |
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