Optimalisasi Portofolio Saham Indonesia Dengan Model Black-Litterman Berbasis Fama-French Five Factor

Velrianto, Richieboy (2025) Optimalisasi Portofolio Saham Indonesia Dengan Model Black-Litterman Berbasis Fama-French Five Factor. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Pesatnya pertumbuhan investor ritel di pasar modal Indonesia mencerminkan tingginya minat masyarakat terhadap investasi. Namun, dinamika pasar yang tidak menentu dan kompleksitas faktor yang memengaruhi tingkat pengembalian menimbulkan tantangan tersendiri. Salah satu faktor penting yang dapat dijadikan dasar dalam pengambilan keputusan investasi adalah faktor fundamental perusahaan. Penelitian ini bertujuan untuk mengoptimalkan portofolio dengan menerapkan Model Black-Litterman (BL) yang dikombinasikan dengan Model Lima Faktor Fama-French sebagai dasar pembentukan pandangan investor. Model Black-Litterman dipilih karena kemampuannya dalam menggabungkan informasi pasar dengan pandangan investor untuk membentuk portofolio yang lebih realistis dan stabil. Pandangan investor dibentuk menggunakan Model Fama-French Five Factor yang meliputi faktor ukuran, nilai, profitabilitas, investasi, dan risiko pasar. Salah satu portofolio (PBW) dievaluasi menggunakan regresi polinomial karena model linier tidak mampu menjelaskan hubungan secara optimal. Untuk menilai performa model yang diusulkan, penelitian ini membandingkan tiga pendekatan, yaitu Mean-Variance Optimization (MVO), Black-Litterman standar, dan Black-Litterman berbasis Fama-French. Evaluasi dilakukan menggunakan indikator Sharpe Ratio sebagai pengukur efisiensi tingkat pengembalian terhadap risiko, dan Value at Risk (VaR) sebagai pengukur potensi kerugian maksimum. Data yang digunakan meliputi harga penutupan mingguan saham LQ45, IHSG, dan obligasi periode 2022–2024, serta data fundamental perusahaan tahun 2021. Hasil penelitian menunjukkan bahwa model Black-Litterman berbasis Fama-French berhasil membentuk pandangan investor yang sesuai teori dan menghasilkan nilai VaR terendah, menandakan portofolio dengan risiko terkendali. Sementara itu, model Black-Litterman standar memberikan nilai Sharpe Ratio tertinggi, menunjukkan efisiensi tingkat pengembalian per risiko lebih baik dalam jangka pendek. Selain itu, analisis tingkat toleransi risiko pasar mengindikasikan tren penurunan selama tiga tahun terakhir, sehingga dilakukan penyesuaian dengan menggunakan nilai jangka panjang agar hasil model lebih konservatif. Penelitian ini menyimpulkan bahwa pendekatan BL-Fama-French cocok digunakan oleh investor konservatif yang memprioritaskan stabilitas dan manajemen risiko.
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The rapid growth of retail investors in Indonesia’s capital market reflects increasing public interest in investment. However, uncertain market dynamics and the complexity of factors influencing returns present significant challenges. One crucial element in investment decision-making is the company’s fundamental factors. This study aims to optimize portfolio allocation by implementing the Black-Litterman (BL) model combined with the Fama-French Five Factor Model as the basis for forming investor views. The Black-Litterman model is chosen for its ability to integrate market equilibrium information with investor opinions, producing more realistic and stable portfolios. Investor views are constructed using the Fama-French Five Factor Model, which includes size, value, profitability, investment, and market risk factors. One portfolio (PBW) was evaluated using polynomial regression due to the inadequacy of linear models in capturing its return behavior. To assess the performance of the proposed model, this study compares three optimization approaches: Mean-Variance Optimization (MVO), the standard Black-Litterman model, and the Black-Litterman model based on Fama-French factors. Portfolio performance is evaluated using the Sharpe Ratio as a measure of return efficiency relative to risk, and Value at Risk (VaR) as an indicator of maximum potential loss. The dataset includes weekly closing prices of LQ45 stocks, the Indonesia Composite Index (IHSG), and bonds from 2022 to 2024, as well as company fundamental data from 2021. The results show that the Fama-French-based Black-Litterman model successfully constructs investor views aligned with theoretical expectations and produces the lowest VaR, indicating better risk control. Meanwhile, the standard Black-Litterman model achieves the highest Sharpe Ratio, suggesting superior risk-adjusted returns in the short term. Furthermore, the analysis of the market risk tolerance parameter reveals a negative value over the past three years, indicating a downtrend. To maintain model stability, the short-term lambda was replaced with a long-term value. This adjustment enhances the model’s conservativeness in volatile market conditions. In conclusion, the Black-Litterman Fama-French model is suitable for conservative investors who prioritize portfolio stability and risk management in their investment strategy.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Model Black-Litterman, Model Fama-French 5 Factor, Optimasi Portofolio,Faktor Fundamental, Manajemen Investasi. Black; Litterman Model, Fama-French 5 Factor Model, Portfolio Optimization, Fundamental Factors, Investment Management
Subjects:	H Social Sciences > HG Finance > HG4529.5 Portfolio management H Social Sciences > HG Finance > HG4910 Investments
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Richieboy Velrianto
Date Deposited:	29 Jul 2025 10:10
Last Modified:	29 Jul 2025 10:10
URI:	http://repository.its.ac.id/id/eprint/123183

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