Online ISSN: 2515-8260

Optimal Portfolios With Smart Beta, Alpha, Diversification, And Var On Horizon Indonesia’s Stock Exchange

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Dwi Fitrizal Salim1 , Disman2 , Ikaputera Waspada3 , Wahyudayanto Utama4


Abstract - Portfolios are one way of investing with a merger of several investment instruments within a portfolio group. Portfolio for the first time introduced by Markowitz (1952). Then theories began to be studied a lot by researchers that produced a lot of discoveries, in portfolio theory, there's the variable in diversification where this theory can suppress the level of risk that arises in an investment with a particular rate of return. This study adds variables used by Cazalet al (2014) where it adds value at risk variables (var). The study used a useful regression of logistics, finding a formula that produces binary codes 1 and 0, where one return of that stock over the market and zero returns obtained below the market. The formulas generated with the beta, alpha, diversification, and var variables could predict return levels with binary codes 1 and 0 by 72.5 percent, this may help investors to determine shares that have returns on the market to boost investment returns.

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