SECTOR ROTATION INVESTMENT STRATEGY BY IMPLEMENTING PIOTROSKI F-SCORE AND MARKOWITZ PORTFOLIO THEORY FOR PORTFOLIO CONSTRUCTION: INDONESIA STOCK MARKET 2020 TO 2022

• Main Author: Heryanto, Jhon
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/71828
• Institution: Institut Teknologi Bandung

IHSG or IDX Composite Index crash during 2020 where the index fell 37.5% since beginning of 2020 until mid march to the level points of 3,938, recovered and marking up in 2021 where the index reaching the peak in November to the level points of 6,723, and then consolidating at the year of 2022 where the index move in a ranging movements of up and down within the level points of 6,500 to 7,300. The different cycles of stock market movement are happening because of changes and different economic factors, making investors presented with a different opportunities and risks at the stock market. In order to capitalize these changes at the market, investors need to analyzed their portfolio periodically for evaluation and assessment. This research were conducted to examines what are the best portfolio for each year of 2020, 2021, and 2022 using sector rotation investment strategy by implementing sector comparison analysis and Piotroski F-score for stock screening method, while using Markowitz portfolio optimization theory for portfolio contruction. Sector comparison analysis is being used in order to define and choose which sector that are potential to invest, sector that are resilient and are performing better than the overall market are being picked as the investment landscape. Piotroski F-score are the continuation process after sector comparison analysis, it is a tool and method to choose which specific stocks are a potential investment by analyzing the fundamental of the company based on the profitability, operation efficiency, and leverage-liquidty-source of funds. Pool of stocks are being formed after these two process of stock screening, this research then construct an optimal stock portfolio for each year of 2020, 2021, and 2022 by using Markowitz method to construct a portfolio in order to minimizing the risks but also maximizing the return.