Open AccessEvaluation of Optimal Stock Portfolio Performance by Grouping Issuers Based on Stock Price Movements
Author(s) -
Rachmat Wildan,
Noer Azam Achsani,
Bagus Sartono
Publication year - 2022
Publication title -
international journal of research and review
Language(s) - English
Resource type - Journals
eISSN - 2454-2237
pISSN - 2349-9788
DOI - 10.52403/ijrr.20220333
Subject(s) - treynor ratio , portfolio , stock (firearms) , econometrics , stock exchange , stock market index , portfolio insurance , financial economics , capitalization weighted index , single index model , economics , stock market bubble , stock market , portfolio optimization , replicating portfolio , sharpe ratio , finance , mechanical engineering , paleontology , horse , engineering , biology
Stock investment has a high risk, one of which is caused by changes in stock prices that occur in trading on the stock exchange every day, thus affecting the level of stock returns which also changes. Investors will face uncertainty in making choices and evaluating stock performance in the future because the returns obtained are uncertain and depend on the risks that affect it. Risk in investing can be reduced by investing in various types of stocks by forming an optimal stock portfolio. These problems are solved in this study by taking a calculation approach in selecting stocks and determining the optimal portfolio with the advantage of a single index model that can explain the relationship between the returns of each stock and the market index returns to calculate the variance of a stock. portfolio. There are 4 stocks with the largest excess return to beta, namely MEGA, JECC, UNIC, and KICI stocks. Performance measurement in this study was carried out using the Treynor Index, because this index used systematic risk as measured by Beta.Keywords: Single Index Model, Treynor, Dynamic Time Wraping.