Pembentukan Portofolio Optimal Saham IDX ESG Leaders Berdasarkan Rasio Keuangan dan Sentimen Positif dari Laman Berita Bisnis.com

Firmansyah, Rico Dwi (2025) Pembentukan Portofolio Optimal Saham IDX ESG Leaders Berdasarkan Rasio Keuangan dan Sentimen Positif dari Laman Berita Bisnis.com. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Ketidakpastian pasar modal Indonesia pada awal 2025 yang dipicu oleh capital outflow dan tekanan makroekonomi membuat investor cenderung reaktif terhadap informasi jangka pendek. Dalam kondisi ini, sentimen pasar berperan penting untuk melengkapi analisis fundamental, terutama pada saham mengedepankan prinsip Environmental, Social, dan Governance (ESG) seperti yang terdaftar dalam IDX ESG Leaders. Penelitian ini bertujuan membentuk portofolio saham berbasis IDX ESG Leaders yang selektif secara fundamental dan adaptif terhadap sentimen positif pasar. Analisis sentimen dilakukan menggunakan metode FinBERT terhadap artikel berita pada laman Bisnis.com, sedangkan pengelompokan saham dilakukan dengan metode DBSCAN berdasarkan tambahan rasio keuangan seperti ROA, ROE, PER, dan rasio likuiditas. Hasil penelitian menunjukkan bahwa emiten IDX ESG Leaders yang lolos eliminasi risk free rate memiliki persentase sentimen positif yang tinggi dengan rata-rata sebesar 74,35%, mencerminkan persepsi pasar yang optimis terhadap kinerjanya. Pengelompokan DBSCAN menghasilkan dua klaster utama dan satu cluster Noise, dengan Silhouette Score tertinggi sebesar 0,2804 pada parameter epsilon 2,5 dan MinPts 2. Cluster Noise teridentifikasi sebagai kelompok emiten terbaik dengan rasio keuangan yang unggul. Berdasarkan pembentukan portofolio optimal pada klaster tersebut, kombinasi saham AVIA sebesar 69,81% dan BNGA sebesar 30,19% memberikan Sharpe ratio tertinggi dengan expected return 0,037% dan risiko 1,547%. Evaluasi risiko menggunakan Value at Risk pada tingkat kepercayaan 95% menunjukkan potensi kerugian maksimum harian sebesar -2,757%. Hasil penelitian ini diharapkan dapat menjadi saran bagi investor dalam membentuk strategi portofolio yang mempertimbangkan integrasi antara analisis fundamental dan sentimen pasar.
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The uncertainty in Indonesia’s capital market at the beginning of 2025, triggered by capital outflows and macroeconomic pressures, has made investors increasingly reactive to short-term information. In this context, market sentiment plays a crucial role in complementing fundamental analysis, particularly for stocks emphasizing Environmental, Social, and Governance (ESG) principles such as those listed in the IDX ESG Leaders index. This study aims to construct an IDX ESG Leaders based stock portfolio that is both fundamentally selective and responsive to positive market sentiment. Sentiment analysis was conducted using the FinBERT method on news articles from Bisnis.com, while stock clustering employed the DBSCAN algorithm based on additional financial ratios such as ROA, ROE, PER, and liquidity ratios. The findings show that IDX ESG Leaders that passes risk free rate elimination exhibit a high proportion of positive sentiment, averaging 74,35%, reflecting market optimism toward their performance. The DBSCAN analysis produced two main clusters and one Noise cluster, with the highest Silhouette Score of 0,2804 at epsilon 2,5 and MinPts 2. The Noise cluster was identified as the top-performing group with superior financial ratios. The optimal portfolio formed within this cluster, comprising 69,81% AVIA and 30,19% BNGA, yielded the highest Sharpe ratio with an expected return of 1,547% and a risk level of 0,037%. Risk evaluation using Value at Risk (VaR) at a 95% confidence level indicated a maximum potential daily loss of -2,757%. These results are expected to provide practical insights for investors in formulating portfolio strategies that integrate both fundamental and sentiment-based analyses.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	DBSCAN, FinBERT, IDX ESG Leaders, Markowitz, Portofolio, DBSCAN, FinBERT, IDX ESG Leaders, Markowitz, Portfolio
Subjects:	H Social Sciences > HG Finance > HG4529.5 Portfolio management
Divisions:	Faculty of Vocational > 49501-Business Statistics
Depositing User:	Rico Dwi Firmansyah
Date Deposited:	29 Dec 2025 05:32
Last Modified:	29 Dec 2025 05:32
URI:	http://repository.its.ac.id/id/eprint/129163

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