FORECASTING ASSET USING THE TIME SERIES MODEL AT JARVIS BALANCED FUND
With high inflation economy, investors must find another way to minimize their risk, but also maximize the return of the portfolio. Various instruments used for finding the most suitable amount of portfolio allocation. Single instruments, such as stocks, bonds, and time deposits is chosen by investo...
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| Format: | Theses |
| Language: | Indonesia |
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| Online Access: | https://digilib.itb.ac.id/gdl/view/72043 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | With high inflation economy, investors must find another way to minimize their risk, but also maximize the return of the portfolio. Various instruments used for finding the most suitable amount of portfolio allocation. Single instruments, such as stocks, bonds, and time deposits is chosen by investors to secure their assets from inflation. The other investors chose mutual funds to grow their investments. One of the solutions to find the portfolio allocation is to rebalance the portfolio. In other perspectives, time-series model will help investors to predict the volatility will happen in the future.
The methods are GARCH (Generalized Autoregressive Conditional
Heteroskedasticity) model is used for finding volatility and generalized it from the ARCH model. With the GARCH model, the total amount of residual and GARCH has to be less than 1. Either way, it will be categorized as volatile stock. Another method is EWMA (Exponential Weighted Moving Average) that decreases weighted exponentially based on the daily data.
From the top 5 balanced fund in 2021, Jarvis Balanced Fund is the best balanced funds with return of 55.7%/year. Using Jarvis Balanced Fund (JBF) portfolio from 2021 prospectus as the sample of this research, it is concluded that JBF has to reduce the number of stocks and increase the risk-free assets to prevent volatility that happens into the portfolio. Following with the macro economy of high-inflation economy era.
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