Analysis and Optimal Portfolio Performance Assessment

Shares IQ-45


LQ 45 Index is a market capitalization of 45 stocks most liquid and capitalized that it is an indicator of the liquidation. LQ 45, using 45 stocks selected based stock trading liquidity and adjusted every six months (at the beginning of February and August), expressed as a set of portfolio assets held for certain economic purposes. Concept

expressed in a portfolio basis is how to allocate a certain amount of money on various types of investments that will yield optimal profits (Harold, 1998). primary consideration for fund owners (investors) in optimizing investment decision is to maximize the return on investment (return) on risk (risk) any specific investment (Saragih et al., 2006). Investment decision-making framework to determine the success of an investor

in optimizing the return on investment and reduce risks as small as possible (Markowitz, 1952). In relation to the above, the main problem in this research is to design an optimal portfolio simulation that is a combination of liquid stocks LQ 45 listed in Indonesia Stock Exchange (BEI)-2007.Analisis period of 2002 on the establishment of the optimal portfolio is concerned with systematic description of the theories, models, and interpretation of empirical research.

The explanation contradicts the findings of Markowitz (1952) on the theory of portfolio selection. Saragih (2005) emphasized that Markowitz’s model is a model designed by one period (single-period). Sharpe (1963) developed a technique which is simpler and made more applicable though portfolio theory is used to manage large amounts of securities known

The approach used in this study is a quantitative approach. This study uses the daily transaction data are consistent stocks are in the LQ-45 index in 2002-2007. Formation of optimal portfolios using a single index model and the model of constant correlation will affect the returns and risks arising from the portfolio.

            Combination of stocks that form the optimal portfolio is determined by looking at each rank stocks based on the value of the ERB / ​​Excess Return to Beta (single index model) and ERS / Excess Return to Standard Deviation (constant correlation models). Forming optimal portfolios, investors should consider a few other factors beyond the stock price factors, LQ-45 Index, and the level of rates. (Jurnal.ui.ac.id)


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