Optimal Portfolio Construction Based on Sector Rotation Strategy

ISBN-13: 9783659760679 / Angielski / Miękka / 2015 / 80 str.

Kinsey Grandy William;Soekarno Subiakto

Opis

The Indonesia economic growth has been getting better over the years motivates both domestic and foreign investors to do the investment. One of the best return investment instruments in Indonesia is equity fund. Not all business sectors perform well at the same time, so sector rotation could be an appropriate option in an attempt to beat the market. This research aims to identify the relationship between business cycle and selected stocks performance in Indonesia Stock Exchange. Sharpe ratio, holding period return, and geometric average return are applied as the proxy to measure the effectiveness of sector rotation implementation. The secondary data such as Jakarta Composite Index, Sectoral Index, Indonesia GDP Growth, and Inflation Rate is taken to analyze business cycle identification. The author makes sector choice analysis and selects the stock based on LQ45 Index. Portfolio backdated simulation is built after defining the weight of each stock in specific business cycle phase. The results proved that sector rotation strategy are effective for maximizing investors wealth in comparison with passive strategy. It is also possible to be implemented into the real investment world.

O autorze

Grandy William Kinsey, B.Mgt, QWP. He earned undergraduate degree (Majoring in Finance) from School of Business and Management, Institut Teknologi Bandung, Indonesia. He also served as Financial Manager of International Student Energy Summit (ISES) 2015. His research interest includes but not limited to: Portfolio Management and Capital Market.