THE APPLICATION OF BLACK-LITTERMAN METHOD IN ESTABLISHING STOCK AND OPTION PORTFOLIO

• Main Author: Valeriandy Kencana, Vincent
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/65102
• Institution: Institut Teknologi Bandung

The Covid-19 pandemic hitting Indonesia at the beginning of 2020 was one of the tragedy that had a hug impact on Indonesia. One area that is negatively affected is the economic sector. Therefore, number of Indonesian people who are interested in investing especially in mutual funds to find alternative income is progressively increasing. Another consequence of the pandemic is the large decline in stock prices that it will be better to invest in put options to minimize losses or even take profits. Therefore, it is worth trying to reconstruct existing mutual fund using Black-Litterman method to compare them with the actual performance of mutual fund and see the comparisons between pandemic and non-pandemic conditions. Black-Litterman method is used to calculate stock’s return considering investor’s opinión. This study uses the historical data of the Schroder Dana Istimewa mutual fund January 2014 to December 2021 period which only 10 stocks with the largest proportion taken in Januari 2022 are used. The return generated through the simulation is always better than the return generated by the Schroder Dana Istimewa mutual fund itself. In the pandemic condition, the return of the option portfolio is better than the non-pandemic condition, while the stock portfolio does not have any pattern because the Black-Litterman method relies heavily on the investor opinión.