ACTIVE VERSUS PASSIVE STRATEGY IN FORMING OPTIMAL PORTFOLIO IN INDONESIA STOCK EXCHANGE
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Date
2013-11-07
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The 8th Internatioanl Conference on Business and Management Research, Sungkyunkwan University and Indonesia University
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.
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Keywords
active portfolio, passive portfolio