Perbandingan Hierarchical Risk Parity dan Hierarchical Equal Risk Contribution dalam Optimasi Portofolio pada Indeks Saham SRI-KEHATI

Najih, Bahrul Alfian (2025) Perbandingan Hierarchical Risk Parity dan Hierarchical Equal Risk Contribution dalam Optimasi Portofolio pada Indeks Saham SRI-KEHATI. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Socially Responsible Investment (SRI) menjadi salah satu strategi pilihan bagi investor dengan memiliki perusahaan yang memberikan dampak positif terhadap Environmental, Social, dan Governance (ESG). Di sisi lain, investor juga perlu menentukan alokasi bobot yang diinvestasikan terhadap perusahaan-perusahaan tersebut untuk mendapatkan portofolio yang optimal. Modern Portfolio Theory yang dikenalkan oleh Markowitz menjadi pelopor berkembangnya metode optimasi portofolio lain yang menggunakan konsep quadratic programming, namun metode ini dinilai kurang efektif karena sensitivitasnya terhadap nilai return aset yang sulit diprediksi secara akurat. Sebagai alternatif, struktur hierarki berbasis korelasi antar aset dapat digunakan untuk mengalokasikan bobot secara lebih stabil. Hierarchical Risk Parity (HRP) dan Hierarchical Equal Risk Contribution (HERC) merupakan metode optimasi portofolio yang menggunakan struktur hierarki dan hanya berfokus pada tingkat risiko dalam pengalokasian bobotnya. Secara lebih lanjut, HRP hanya menggunakan urutan aset yang terbentuk, sedangkan HERC menggunakan struktur hierarki secara keseluruhan dalam mengalokasikan bobot. Tugas akhir ini melakukan penelitian mengenai perbandingan portofolio optimal yang dihasilkan oleh HRP dan HERC pada data saham yang konsisten terdaftar di indeks SRI-KEHATI. Hasil yang diperoleh menunjukkan bahwa portofolio HERC dengan ward linkage memiliki performa yang lebih unggul, di mana portofolio ini menghasilkan ekspektasi return sebesar 0.0167%, varians sebesar 0.000055, dan sharpe ratio sebesar 0.022502. Hasil evaluasi tersebut menunjukkan bahwa portofolio HERC ward linkage mampu memberikan return harian rata-rata yang baik dan konsisten pada level risiko yang didapat.
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Socially Responsible Investment (SRI) has become a preferred strategy for investors by focusing on companies that deliver positive impacts on Environmental, Social, and Governance (ESG) aspects. On the other hand, investors also need to determine the allocation of weights to be invested in these companies to achieve an optimal portfolio. Modern Portfolio Theory, introduced by Markowitz, pioneered the development of other portfolio optimization methods that employ quadratic programming concepts. However, these methods are considered less effective due to their sensitivity to asset returns, which are challenging to predict accurately. As an alternative, hierarchical structures based on asset correlations can be utilized to achieve more stable weight allocations. Hierarchical Risk Parity (HRP) and Hierarchical Equal Risk Contribution (HERC) are portfolio optimization methods that use hierarchical structures and focus solely on risk levels in weight allocation. Specifically, HRP only utilizes the order of assets formed, whereas HERC uses the entire hierarchical structure in allocating weights. This final project conducts a comparative study of optimal portfolios generated by HRP and HERC using stock data consistently listed on the SRI-KEHATI index. The results indicate that the HERC portfolio with Ward linkage demonstrates superior performance, achieving an expected return of 0.00167%, a variance of 0.000055, and a Sharpe ratio of 0.022502. The evaluation results indicate that the HERC portfolio with ward linkage can provide a good and consistent average daily return at a measured level of risk.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Hierarchical Structure, Investasi, Optimasi Portofolio, SRI-KEHATI, Investment, Portfolio Optimization, SRI-KEHATI
Subjects:	H Social Sciences > HG Finance > HG4529.5 Portfolio management H Social Sciences > HG Finance > HG4910 Investments Q Science > QA Mathematics > QA278.55 Cluster analysis
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Mathematics > 44201-(S1) Undergraduate Thesis
Depositing User:	Bahrul Alfian Najih
Date Deposited:	01 Feb 2025 10:53
Last Modified:	01 Feb 2025 10:53
URI:	http://repository.its.ac.id/id/eprint/117325

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