ACTIVE VERSUS PASSIVE STRATEGY IN FORMING OPTIMAL PORTFOLIO IN INDONESIA STOCK EXCHANGE

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ACTIVE VERSUS PASSIVE STRATEGY IN FORMING OPTIMAL PORTFOLIO IN INDONESIA STOCK EXCHANGE

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Title: ACTIVE VERSUS PASSIVE STRATEGY IN FORMING OPTIMAL PORTFOLIO IN INDONESIA STOCK EXCHANGE
Author: Utami, Eristy Minda; Susanti, Neneng
Abstract: The objective of this research is to compare portfolio performance that is formed by active portfolio strategy and passive portfolio strategy. This research was conducted on 31 shares of companies incorporated in the LQ 45 index in Indonesia Stock Exchange in the period 2009-2010. The research method used in this research is descriptive and verification method. Method is used in the active portfolio formation is security selection method with Single Index Model, while index fund is used to form passive portfolio. Based on research conducted on the four methods, (Sharpe, Treynor, Jensen’s Alpha) using the t test of the one part with a 5% significance level, obtained t-statistic (7,197, 6,939, 9,110) is greater than ttable + (1,717) and Coefficient of Variation method (-3,071) is smaller than -t-tabel ( + 1,717). Then lead to the conclusion that the performance of stock portfolios based on an active strategy is better than a passive strategy in LQ 45 at Indonesia Stock Exchange 2009- 2010 period.
URI: http://repository.widyatama.ac.id/xmlui/handle/123456789/5473
Date: 2013-11-07


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