scholarly journals Pola Strategi Investasi Investor Individu Saham Menurut Generasi X, Y, Dan Z

2019 ◽  
Vol 1 (1) ◽  
pp. 67-78
Author(s):  
Elizabeth Lucky Maretha Sitinjak
Keyword(s):  
Investment Strategy ◽  
Investment Strategies ◽  
Momentum Strategy ◽  
Momentum Strategies ◽  
Private Companies ◽  
Stock Portfolios ◽  
Generation Z ◽  
Stock Investment ◽  
Stock Portfolio ◽  
Strategy Pattern

Purpose- The purpose of this study, showing the pattern of stock investment strategy in accordance with the type of generation in order to manage the portfolio optimally. Methods- This research method using Anova with data obtained from Meta Data Analysis subjects of previous research experiments. Finding- The results show, each generation has a pattern of different stock investment strategies. This can be seen from the level of investor risk, and stock portfolio. The combination of stock portfolios tends to consist of private companies located in 10 sectors, private companies-BUMN, or private companies-BUMD. Generation X's investment strategy pattern tends to use the Momentum Strategy, Generation Y tends to use Top-Down Strategy, while Generation Z tends to use Buy-Hold and Momentum Strategies.

Optimization of Stock Portfolios Using Goal Programming Based on the Kalman-Filter Method

2021 ◽  
Vol 7 (1) ◽  
pp. 20-30
Author(s):  
Fauziyah ◽  
Evita Purnaningrum
Keyword(s):  
Kalman Filter ◽  
Goal Programming ◽  
Stock Prices ◽  
Stock Price ◽  
Filter Method ◽  
Stock Portfolios ◽  
Stock Investment ◽  
Kalman Filter Method ◽  
Return Difference ◽  
Stock Portfolio

Long-term stock investment development is carried out by means of portfolio optimization. Selection of stocks for portfolios is not only based on high-value stock prices but also takes into account their fluctuations. Estimation of future stock price fluctuations has an indirect impact on future portfolio formation. This research has implemented the Kalman filter method to obtain the best estimation results from various stock prices with a high degree of accuracy. The results are then used to form a stock portfolio on the basis of Goal Programming. This study has compared the optimization results with the real value of stock prices. The results obtained, Kalman filter-based Goal Programming is more effective for predicting future portfolios compared to the Goal Programming method with a return difference of Rp. 178,039,848. This suggests that optimization with the Kalman Filter-based Objective Programming can be used as a tool to determine future stock portfolios.

scholarly journals International Real Estate Review

2020 ◽  
Vol 23 (2) ◽  
pp. 235-266
Author(s):  
Yuming Li ◽  
◽  
Jing Yang ◽  
Keyword(s):  
Real Estate ◽  
Single Family ◽  
Price Indices ◽  
Momentum Strategy ◽  
Momentum Strategies ◽  
Momentum Profits ◽  
Stock Portfolios ◽  
Construction Methods ◽  
Asset Portfolio

We investigate the profitability of momentum strategies in the market for single-family homes by using 10 city-level Case-Shiller home price indices (HPIs). Compared with the momentum strategies based on the Fama-French 10-industry portfolios of stocks, the profits from the single-family HPIs are more statistically significant, less sensitive to the construction methods of the momentum strategies and more correlated across different strategies. The momentum profits from the HPIs tend to be counter-cyclical, unlike the pro-cyclical behaviors of the momentum profits from stock portfolios. The differences in the momentum profits with HPIs and stocks indicate that a momentum strategy with the former can help diversify the risk in the asset portfolio of investors.

scholarly journals Aplikasi Single Index Model dalam Pembentukan Portofolio Optimal Saham LQ45 pada Bursa Efek Indonesia

2019 ◽  
Vol 2 (01) ◽  
pp. 47
Author(s):  
Atika Lusi Tania
Keyword(s):  
Stock Exchange ◽  
Optimal Portfolio ◽  
Market Prices ◽  
Single Index ◽  
Index Model ◽  
Stock Portfolios ◽  
Single Index Model ◽  
Market Index ◽  
Stock Investment ◽  
Stock Portfolio

Single Index Model is a stock return model that divides the effect on returns into a systematic factor (as measured by yields on the market index) and company-specific factors. The shares used in the formation of the portfolio of the Single Index Model are stocks included in the LQ45 Index in the Indonesia Stock Exchange because this Index has always increased from year to year. However, not all shares in the LQ45 Index can be used, there must be a determination to get the most suitable shares to be used as a portfolio. Therefore, the author uses the Single Index Model Application in the Formation of the LQ45 Optimal Stock Portfolio on the Indonesia Stock Exchange so that investors know how to form an optimal portfolio using a simpler model of the single index model. This study aims to apply the application of a single index model in the formation of a stock portfolio registered in LQ45, determine the proportion of stock investment in the number of lots based on the proportion of stock portfolios, and determine the funds needed for stock investment based on the number of lots. Based on the results of data analysis using the Single Index Model Optimal Portfolio, the results show that out of 45 stocks in LQ45, 13 optimal stocks will be purchased by investors. Thirteen shares and market prices include LPPF Rp.3,400, INTP Rp20,025, LPKR Rp274, INCO Rp3,030, PTPP Rp.2,180, SCMA Rp1,615, TBIG Rp.3,850, AALI Rp.10,350, CTRA Rp1. 070, PWON Rp725, TAXI Rp50, WIKA Rp2,340, and WSKT Rp1,970. The proportion of shares is 9% LPPF, 7% INTP, 5% LPKR, 13% INCO, 19% PTPP, 12% SCMA, 9% TBIG, 7% AALI, 4% CTRA, 6% PWON, 3% TAXI, 4% WIKA , WSKT 2%. The funds to be invested are IDR 1,000,000, the total number of shares to be purchased is 1,271 sheets, or if in the lot lot there are around 12 lots.

scholarly journals The Value of GARP Investing: Evidence from the Indonesian Stock Exchange

2021 ◽  
Vol 5 (2) ◽  
pp. 9
Author(s):  
Panji Priyanto
Keyword(s):  
Stock Exchange ◽  
Investment Strategy ◽  
Growth Ratio ◽  
Value Stocks ◽  
Stock Portfolios ◽  
Price Earnings Ratio ◽  
Investment Returns ◽  
Homogeneity Of Variance ◽  
Investment Portfolios ◽  
Stock Portfolio

The purpose of this study was to examine whether or not the GARP in selecting the stock portfolios can provide a more stable growth rate of return when compared to the value stock and growth stock as well as to examine the stock return on value stock and growth stock based on the changes in its fundamentals. The population in this study was all companies listed on the Indonesia Stock Exchange (known as IDX) in the period of 2015-2019. The samples were selected using a comparative-quantitative approach and consisted of 20 companies: seven companies included in the value stock portfolio category and ten companies included in the portfolio category. Growth stock and three companies were included in the GARP's stock portfolio category. The formation of stock portfolios in the company's fundamentals was based on price to book value ratio, price-earnings ratio, and price-earnings growth ratio. This study used the ANOVA method equipped with SPSS by performing four tests: Homogeneity of Variance, Between-Subject, Post Hoc, and Homogenous Subset test. The results of this study show that there were differences in the portfolio return of value stocks, growth stocks, and GARP stocks on the Indonesia Stock Exchange in the period of 2015-2019. Meanwhile, the GARP investment strategy was stable for the growth when compared to the value investment and growth investment in the Indonesia Stock Exchange in the period of 2015-2019. The implementation of GARP concept in managing the investment portfolios and criteria for choosing the stocks have the profitable growth, first in forming the GARP because investors in the stock market tend to expect obtaining high investment returns with a limited time horizon. The implementation of GARP concept has prevented the investors from the value trap because the GARP strategy is a hybrid solution for the growth stock and value stock, thus. The GARP investors will experience a combination of returns

Mutual fund management in the period of financial crisis

2017 ◽  
Vol 31 (2) ◽  
pp. 75-81
Author(s):  
О. А. Bank
Keyword(s):  
Financial Crisis ◽  
Mutual Fund ◽  
Economic Recession ◽  
Investment Strategy ◽  
Economic Conditions ◽  
Investment Strategies ◽  
Fixed Income ◽  
Fund Management ◽  
Fund Managers ◽  
Different Types

Mutual fund managers do not have full freedom in choosing investment strategies - they are limited both by the laws and by investment declarations of the funds. Investment strategy cannot be fully changed even in financial crisis but it only can be corrected. This fact could not be characterized as a disadvantage because different types of funds are efficient in different time even during the same economic recession. Mutual fund manager should rationally invest funds of their clients: it is better to keep the maximum possible part of the portfolio in cash and instruments with fixed income on the declining market and it is better to keep shares on the rising market. However the choice of bonds also as the choice of shares should pay respect for the features of these instruments during unfavorable economic conditions. Russian mutual fund management differs from fund management in other countries as in stable economic situation so in the circumstances of financial crisis.

Following momentum and avoiding the “Minsky Moment” evidence from investors on the Financial Instability Hypothesis

2016 ◽  
Vol 8 (3) ◽  
pp. 205-217 ◽  
Author(s):  
Scott Pirie ◽  
Ronald King To Chan
Keyword(s):  
Investment Decisions ◽  
Practical Experience ◽  
Financial Instability ◽  
Investment Strategies ◽  
Momentum Strategies ◽  
Content Type ◽  
Hyman Minsky ◽  
Quantitative Studies ◽  
Regional Markets ◽  
Unstable States

Purpose This study aims to find out how institutional investors use momentum in making investment decisions, and whether their actions are consistent with the Financial Instability Hypothesis of Hyman Minsky. Design/methodology/approach The study discusses the findings of interviews with 25 professional investors from the Hong Kong offices of five global financial institutions. All of the participants have several years of practical experience in global and regional markets. Findings Nearly all the managers interviewed said they use momentum in making investment decisions, and they do this in ways that are consistent with the Financial Instability Hypothesis, in which markets alternate between stable and unstable states. The participants are aware they may contribute to this, but they cannot avoid doing it because of short-term constraints in the present financial system. Originality/value This study adds to our knowledge of how professional investors use momentum in their investment strategies. It complements findings of quantitative studies that show momentum strategies have been profitable in many market settings. It also adds evidence that supports the Financial Instability Hypothesis.

scholarly journals Effectiveness of Selected Investment Strategies in the Opinion of Polish Individual Investors Depending on their Personal Preferences

2020 ◽  
Vol 13 (4) ◽  
pp. 442-451
Author(s):  
Katarzyna Daniluk
Keyword(s):  
Risk Aversion ◽  
Investment Strategy ◽  
Capital Allocation ◽  
Survey Method ◽  
Individual Investors ◽  
Investment Horizon ◽  
Investment Strategies ◽  
Research Material ◽  
Individual Needs ◽  
Level Of Risk

SummarySubject and purpose of work: The work aimed at identifying and characterising the interdependence between Polish investors’ personal preferences in investing and their opinion about the effectiveness of investment strategies. It was examined how the adopted investment horizon, the level of risk aversion and the time spent daily on investing impact the interviewees’ experiences and opinions on the effectiveness of investment strategies.Materials and methods: As the survey method was employed, a questionnaire was sent to randomly selected Polish individual investors. The research material consisted of 652 questionnaire forms.Results: The study showed a relevant dependence between Polish investors’ personal preferences and their opinions on the effectiveness of the particular strategies.Conclusions: The interdependencies revealed in the study may be used by potential investors in the process of matching a strategy to individual needs so as to enhance the effectiveness of the choice. A higher awareness of the problem of matching an investment strategy to personal preferences will lead to improved effectiveness of capital allocation among Polish investors.

scholarly journals A Balanced Portfolio Can Have a Higher Geometric Return than the Risky Asset

2021 ◽  
Vol 14 (9) ◽  
pp. 409
Author(s):  
Miriam Arden ◽  
Tiemen Woutersen
Keyword(s):  
Risk Premium ◽  
Large Fraction ◽  
Developed Countries ◽  
Policy Implications ◽  
Government Bonds ◽  
Stock Portfolios ◽  
Bond Portfolio ◽  
Target Date ◽  
Stock Portfolio ◽  
The U.S

In the U.S., the geometric return on stocks has been higher than the geometric return on bonds over long periods. We study whether balanced portfolios have a larger geometric return (and expected log return) than stock portfolios when the risk premium is low. We use a theoretical model and historical data and find that this is the case. This low-risk premium is often observed in other developed countries. Further, in the past two decades, a balanced portfolio with 70% or 90% invested in the U.S. stock market (with the remainder invested in U.S. government bonds) performed better than a 100% stock or bond portfolio. The reason for this is that a pure stock portfolio loses a large fraction of its value in a downturn. We show that this result is not driven by outliers, and that it occurs even when the returns are log normally distributed. This result has broad policy implications for the construction of pension systems and target-date mutual funds.

scholarly journals Contrarian and Momentum Strategies in the Indian Capital Market

2002 ◽  
Vol 27 (1) ◽  
pp. 13-20 ◽  
Author(s):  
Sanjay Sehgal ◽  
I Balakrishnan
Keyword(s):  
Stock Returns ◽  
Indian Market ◽  
Momentum Effect ◽  
Short Term ◽  
Momentum Strategy ◽  
Momentum Strategies ◽  
Holding Period ◽  
The Us ◽  
One Year

The study attempts to evaluate if there are any systematic patterns in stock returns for the Indian market. The empirical findings reveal that there is a reversal in long-term returns, once the short-term momentum effect has been controlled by maintaining a one year gap between portfolio formation period and the portfolio holding period. A contrarian strategy based on long-term past returns provides moderately positive returns. Further, there is a continuation in short-term returns and a momentum strategy based on it provides significantly positive payoffs. The results in general are in conformity with those for developed capital markets such as the US.

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