OPTIMAL PORTFOLIO COMPOSITION USING LQ45 STOCKS FOR RETAIL INVESTORS DURING COVID-19 PANDEMIC

• Main Author: Gusrian Chandra, Rudi
• Format: Theses
• Language: Indonesia
• Subjects: Manajemen umum
• Online Access: https://digilib.itb.ac.id/gdl/view/65656
• Institution: Institut Teknologi Bandung

Based on statistics until the end of December 2020, the Indonesia Stock Exchange (IDX) has increased significantly during pandemic covid-19. There are 51 new companies joining IDX with total 713 companies. This number is the largest among to other exchanges in ASEAN. There was an increase of 1.68 million new SIDs (Single Investor Identification) or increased by 53% from the previous period. Retail investors who entering the exchange need to be aware of the risk and return in every decision taken as well as determine the time frame of their investment by developing diversified portfolio. This is in line with the results of surveys conducted where diversified portfolio must consider the risks and returns that can be accepted by retail investors, especially during the covid-19 pandemic. This article will elaborate specifically about diversifying LQ45 stocks to reduce risk and increase returns using Markowitz methods. The scenarios tested are minimum risk, maximum slope and maximum return using excel solver. The time tested was during the covid-19 pandemic that first hit the world. The analysis was conducted with 14 months of data since January 1, 2020, where the covid-19 vaccine has not been found yet, almost all world stock indexes have decreased sharply and many business sectors are closed due to lockdowns or restrictions on economic activities to reduce the spread of the virus. The study is limited to the end of February 2021 where vaccines have been found, many communities have been vaccinated and economic activity enters the new normal. Back testing results during this pandemic showed the use of weekly data provided the best results. This result also provides better return than the performance of LQ45 and IHSG. In 14 months, the minimum risk scenario provides a return of 8.45%, the maximum slope scenario gives a return of 10.24% and the maximum return scenario gives a return of 23.26%. This is greater than the LQ45 index performance which decreased to -1.00% and the performance of IHSG which was only 2.73%. This article can be used as a reference for new investors, especially retail investors who have just joined the Indonesia Stock Exchange to understand the optimum portfolio in a highly volatile exchange during the pandemic period. In this study, it was proven that Markowitz method is still valid and effective in using during the Covid-19 pandemic.