OPTIMAL INVESTMENT PORTFOLIO ANALYSIS USING THE MARKOWITZ MODEL FOR STOCK IN EACH SECTOR IN THE INDONESIAN STOCK MARKET DURING COVID 19 (2020-2021)

• Main Author: ULINA Meliala, FITRIA
• Format: Theses
• Language: Indonesia
• Subjects: Manajemen umum
• Online Access: https://digilib.itb.ac.id/gdl/view/71095
• Institution: Institut Teknologi Bandung

The COVID 19 pandemic in early March 2020 starting from Wuhan had a very large impact on the global economy and the Indonesian economy, the COVID 19 pandemic forced the government to establish a PPKM policy (Implementation of Restrictions on Community Activities) to suppress the spread of Covid 19 in Indonesia. Indonesia's State Gross Domestic Product fell in the second quarter 2021 amounting to -5.32% and also having an impact on the stock market in Indonesia at January 02 2020 the JCI was recorded at 6283 fell to 3937 in March 24 2020 (minus 36.77%) in March 2020 In this study the authors will evaluate and determine the optimal portfolio with the Markowitz model in which to determine an investment strategy that can provide maximum returns with manageable risks. This Markowitz model can be used in every business cycle in the economy. The expected results of this study are to find portfolios with maximum returns, minimum risks or standard deviations, and maximum risk adjusted returns or Sharpe Ratios, while also calculating the efficient frontier and capital allocation line of the portfolios that are evaluated by calculating the historical stock value data. during the Covid 19 period until the marker starts to recover. The results of this study using 22 of the stocks representing 11 sectors in the stock market in Indonesia obtained a maximum Sharpe ratio calculation of 31.57% with a weekly yield of 1.48% and a standard deviation of 4.39% and a maximum yield with a Sharpe ratio of 31.29% and a yield weekly yield of 1.37% and a standard deviation of 4.08%, the result of the minimum standard deviation with a Sharpe ratio of 5.92% with a weekly yield of 0.24% and a standard deviation of 2.51% and the results of Portfolio in the efficient frontier namely portfolio 6 with a Sharpe ratio of 30.94% and weekly yield of 1.3% and a standard deviation of 3.9%. For investors who want to optimize their portfolio, they can choose stocks with optimal Sharpe ratios that already pay attention to risk-adjusted returns