Smart Beta in Index Country ASEAN
European Journal of Molecular & Clinical Medicine,
2020, Volume 7, Issue 11, Pages 906-918
Abstract
The corona virus epidemic threatens the world which causes many people to die and destroys the global economy with a decline in a number of indexes in the ASEAN region. The stock indexes in the ASEAN region selected in this study include Indonesia, Malaysia, Singapore, Thailand, Philippines, and Vietnam with the 2004-2020 period, then try to add other investments such as gold investment, which will be combined into the optimal portfolio. Portfolio determination is based on the smart beta model by performing smart calculations with the help of Beta, Alpha, and Value at Risk (VaR) methods. The results of this study indicate that a portfolio formed with smart beta by combining a number of ASEAN stock indices and gold investment during the study period with equal weight on each index and gold will produce a high rate of Return with a low level of risk when compared to a portfolio without there is a mixture of other investments in other words, only the ASEAN index is in the portfolio. In conditions of economic crisis coupled with the corona virus outbreak, investors are advised to be careful in choosing stocks or indexes to be included in the portfolio, it is advisable to switch to types of investments that are safer against crises such as gold investment.
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