The Construction of a Portfolio Using Varying Methods and the Effects of Variables on Portfolio Return

Authors

  • Adler Haymans Manurung Faculty of Economic and Business, Universitas Bhayangkara Jakarta Raya, Jakarta, Indonesia
  • Nera Marinda Machdar Faculty of Economic and Business, Universitas Bhayangkara Jakarta Raya, Jakarta, Indonesia
  • Jadongan Sijabat Faculty of Economic and Business, University of HKBP Nommensen, Medan, Indonesia
  • Amran Manurung Faculty of Economic and Business, University of HKBP Nommensen, Medan, Indonesia

DOI:

https://doi.org/10.32479/ijefi.15314

Keywords:

Behavioural finance; portfolio management, investment intentions, personality traits; risk tolerance, Financial Markets

Abstract

This research aims to explore for portfolio construction using vary method which is Markowitz, Elton Gruber, Equal Weighted, Market Cap, and Safety-First Criterion (Roy and Kataoka Criterion).  Data was used monthly data of Kompas 100 Index for period of 2015 to June 2023.  The result found that 53 stocks for using Elton Gruber, Equal weighted,  market capitalization, Markowitz Method. There is no difference average return for portfolio of Elton Gruber, Equal weighted, market capitalization, Markowitz Method, The research's findings are as follows Roy and Kataoka as representative Safety-first criterion could be used to construct  portfolio with determining achievement of minimum return of 0.797% per month  with risk premium of 0.2% . Portfolio return using Roy criterion is vary from 3.973% to 13.397% per month and Kataoka criterion has return vary from 8.861% to 15.48% for equal weighted. Then the equal weighted portfolio return is highest than market capitalization weighted Portfolio return.  Elton Gruber method also used to construct portfolio, then this method has highest cumulative return compared to others methods. The Market shock affected all portfolio return and Interest rate has affected portfolio return for equal weighted and Elton Gruber Method. Pandemic Era affect portfolio return for Market Capitalization Weighted portfolio.

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Author Biographies

Nera Marinda Machdar, Faculty of Economic and Business, Universitas Bhayangkara Jakarta Raya, Jakarta, Indonesia

Nera is a Professor in Accountancy in University of Bhayangkara Jakarta Raya.

Jadongan Sijabat, Faculty of Economic and Business, University of HKBP Nommensen, Medan, Indonesia

Jadongan Sijabat is Vice Rector at Unviersity of HKBP Nommensen Medan. He received Phd in Accountancy.

Amran Manurung, Faculty of Economic and Business, University of HKBP Nommensen, Medan, Indonesia

He is  Lecturer of Accountancy at University of HKBP Nommensen.

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Published

2024-01-20

How to Cite

Manurung, A. H., Machdar, N. M., Sijabat, J., & Manurung, A. (2024). The Construction of a Portfolio Using Varying Methods and the Effects of Variables on Portfolio Return. International Journal of Economics and Financial Issues, 14(1), 233–241. https://doi.org/10.32479/ijefi.15314

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