PORTFOLIO SELECTION DOW JONES DAN MARKOWITZ DENGAN PEMILIHAN SAHAM BENJAMIN GRAHAM DAN APLIKASINYA DI BEI PERIODE 2018-2023
DOI:
https://doi.org/10.35794/jmbi.v13i1.65812Abstrak
Dalam penelitian ini, penulis membandingkan portofolio saham yang dibuat dengan metodologi Dow Jones dan Markowitz, yang mengandalkan rekomendasi saham dari Benjamin Graham. Tujuannya adalah untuk memeriksa apakah portofolio yang mengikuti metode ini dapat berkinerja lebih baik daripada indeks pasar saham utama Indonesia, IHSG (Indeks Harga Saham Gabungan) dan IDX30, dalam periode 2018 hingga 2023. Proses pemilihan saham menggunakan aturan Graham dengan menargetkan perusahaan yang rasio laba dibagi harga dua kali lipat dari imbal hasil obligasi berperingkat AAA (dalam penelitian ini menggunakan rate Bank Indonesia (BI) yang dirata-ratakan selama 5 tahun dari tahun 2018 hingga 2023) dan yang utangnya kurang dari nilai bukunya. Portofolio Dow Jones terdiri dari 30 saham berbobot sama yang dipilih dari emiten yang memenuhi syarat, dan portofolio Markowitz dibangun dengan mengikuti pendekatan mean-variance dan fungsi Lagrangian sehingga mendapatkan 14 saham. Penelitian ini melihat kedua portofolio menggunakan pengembalian mingguan, deviasi standar, dan Rasio Sharpe dan memeriksa apakah kinerjanya lebih baik daripada IHSG dan IDX30. Terlihat bahwa kedua portofolio tersebut berkinerja lebih baik daripada indeks dalam hal pengembalian yang disesuaikan dengan risiko, yaitu 0,32% per minggu untuk portfolio Dow Jones dan 0,42% per minggu untuk portfolio Markowitz jika dibandingkan dengan IHSG sebesar 0,07% per minggu dan IDX30 sebesar -0,01% per minggu.
Referensi
Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The Cross-Section of Volatility and Expected Returns. Journal of Finance, 61(1), 259–299. https://doi.org/10.1111/j.1540-6261.2006.00836.x
Audrey, T. (2021). Peran Investor Milenial di Indonesia dalam Kegiatan Investasi di Masa Pandemi Covid-19 Tiffani Audrey. Seminar Nasional Hasil Penelitian Dan Pengabdian Masyarakat 2021, 1.
Avella, A. (2024). Empirical Analysis of Portfolio Optimization Using the Markowitz Model. SSRN Electronic Journal.
Bekaert, G., & Harvey, C. R. (2000). Foreign Speculators and Emerging Equity Markets. The Journal of Finance, 55(2), 565–613.
Blustein, P. (1977, August 1). Ben Graham’s Last Will and Testament. Forbes, 43–45.
Bodie, Z., Kane, A., & Marcus, A. J. (2014). Investments (10th ed.). McGraw-Hill Education.
Brown, S. J., Goetzmann, W. N., & Kumar, A. (1998). The Dow Theory: William Peter Hamilton’s Track Record Re-Considered. NYU Working Paper No. FIN-98-013.
Buffett, W. (1984). The Superinvestors of Graham-and-Doddsville. Hermes, Columbia Business School Magazine.
Chaube, S. (2018). Construct an Empirical Study on the Concept, Modern Portfolio Theory Using Markowitz Model. Journal Of Algebraic Statistics, 9(1), 69–74. https://doi.org/10.52783/jas.v9i1.1440
DeMiguel, V., Garlappi, L., & Uppal, R. (2009). Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy? The Review of Financial Studies, 22(5), 1915–1953.
DeMiguel, V., Martín‐Utrera, A., & Uppal, R. (2024). A Multifactor Perspective on Volatility‐Managed Portfolios. The Journal of Finance, 79(6), 3859–3891. https://doi.org/10.1111/jofi.13395
Elton, E. J., Gruber, M. J., Brown, S. J., & Goetzmann, W. N. (2014). Modern Portfolio Theory and Investment Analysis (9th ed.). Wiley.
Esser, F., & Vliegenthart, R. (2017). Comparative Research Methods. In The International Encyclopedia of Communication Research Methods. John Wiley & Sons.
Etikan, I., Musa, S. A., & Alkassim, R. S. (2015). Comparison of Convenience Sampling and Purposive Sampling. American Journal of Theoretical and Applied Statistics, 5(1), 1–4.
Fabozzi, F. J., Anson, M. J. P., Kenneth, E., Dunn, B., Lynch, J. H., Malvey, J., Pitts, M., Ramamurthy, S., Sella, R. M., & Steward, C. B. (2007). Fixed Income Analysis (2nd ed.). John Wiley & Sons, Inc.
Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383–417. https://doi.org/10.2307/2325486
Fama, E. F., & French, K. R. (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 33(1), 3–56. https://doi.org/https://doi.org/10.1016/0304-405X(93)90023-5
Graham, B. (2003). The Intelligent Investor. HarperCollins Publishers.
Graham, B., & Dodd, D. L. (2009). Security Analysis: Principles and Technique (6th ed.). McGraw-Hill.
Hamilton, W. P. (1998). The Stock Market Barometer. Wiley.
Hantrais, L. (2009). International Comparative Research: Theory, Methods and Practice. In http://lst-iiep.iiep-unesco.org/cgi-bin/wwwi32.exe/[in=epidoc1.in]/?t2000=026274/(100). Bloomsbury Academic.
Indonesia Stock Exchange (IDX). (2024). Panduan dan Metodologi Indeks IDX80, LQ45 dan IDX30.
Kartikasari, D. (2016). A Test of Graham’s and Lynch’s Stock Screening Criteria on Shares Traded on the Indonesian Stock Exchange (IDX). Journal of Indonesian Economy and Business, 31, 22–32.
Kim, Y. S. (2024). Portfolio Optimization with Relative Tail Risk. Annals of Operations Research, 341, 1023–1055.
Kumar, R. R., Stauvermann, P. J., & Samitas, A. (2022). An Application of Portfolio Mean-Variance and Semi-Variance Optimization Techniques: A Case of Fiji. Journal of Risk and Financial Management, 15(5), 190. https://doi.org/10.3390/jrfm15050190
Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian Investment, Extrapolation, and Risk. The Journal of Finance, 49, 1541–1578.
Lu, Y. (2021). Research on the Application of Mean-Variance Model in Securities Investment Portfolio Planning: Evidence from China Stock Market. University of Southampton.
Malkiel, B. G. (2024). A Random Walk Down Wall Street: The Best Investment Guide That Money Can Buy (13th ed.). W. W. Norton & Company.
Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7, 77–91.
McCord, S. O., & Tole, T. M. (1977). Portfolio Risk: A Review of Theory and Empirical Evidence. Nebraska Journal of Economics and Business, 16(4), 75–89.
Mondello, E. (2023). Optimal Portfolio. Applied Fundamentals in Finance, 145–185. https://doi.org/10.1007/978-3-658-41021-6_5
Otoritas Jasa Keuangan (OJK). (2021). Laporan Tahunan OJK 2021.
Pedersen, J. L., & Peskir, G. (2017). Optimal Mean-variance Portfolio Selection. Mathematics and Financial Economics, 11, 137–160.
Pitoy, R. R., Saerang, I. S., & Tulung, J. E. (2022). Reaksi Pasar Modal Terhadap Disahkannya RUU Cipta Kerja Menjadi Undang-Undang Pada Emiten Perbankan. JMBI UNSRAT (Jurnal Ilmiah Manajemen Bisnis dan Inovasi Universitas Sam Ratulangi)., 9(1)
Pring, M. J. (2014). Technical Analysis Explained: The Successful Investor’s Guide to Spotting Investment Trends and Turning Points (5th ed.). McGraw-Hill Education.
PT Kustodian Sentral Efek Indonesia. (2025). Statistik Pasar Modal Indonesia.
Rhea, R. (1932). The Dow Theory-An Explanation of its Development and an Attempt to Define its Usefulness as an Aid in Speculation. Barron’s.
Sarker, M. R. (2013). Markowitz Portfolio Model: Evidence from Dhaka Stock Exchange in Bangladesh. IOSR Journal of Business and Management, 8(6), 68–73.
Sen, A., & Sen, J. (2025). Performance Evaluation of Equal-Weight Portfolio and Optimum Risk Portfolio on the Indian Stocks. International Journal of Business Forecasting and Marketing Intelligence., 10, 37–95. https://doi.org/10.13140/RG.2.2.29706.54724
Setiawan, D., & Trinugroho, I. (2020). Overconcentration in Banking Stocks: A Risk Analysis of Indonesian Equity Portfolios. Asian Journal of Finance & Accounting, 12, 89–104.
Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. The Journal of Finance, 19, 425–442.
Siegel, J. J. (2022). Stocks for the Long Run: The Definitive Guide to Financial Market Returns & Long-Term Investment Strategies, Sixth Edition (6th ed.). McGraw Hill.
Širůček, M., & Křen, L. (2015). Application of Markowitz Portfolio Theory by Building Optimal Portfolio on the US Stock Market. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, 63(4), 1375–1386.
Tandelilin, E. (2010). Portfolio dan Investasi: Teori dan Aplikasi. Kanisius.
World Bank. (2022). Indonesia Economic Prospects: Trade for Growth and Economic Transformation.
Yonggara, Y., Murni, S., & Tulung, J. E. (2021). Analisis Komparatif Kinerja Keuangan Berbasis Tingkat Struktur Modal Pada Industri Barang Konsumsi Yang Terdaftar Di BEI. JMBI UNSRAT (Jurnal Ilmiah Manajemen Bisnis dan Inovasi Universitas Sam Ratulangi)., 8(1).
