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Part 1: Document Description
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Citation |
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Title: |
An Application of the Smart Beta Portfolio Model: An Empirical Study in Indonesia Stock Exchange |
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Identification Number: |
doi:10.34820/FK2/QWMOHZ |
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Distributor: |
Telkom University Dataverse |
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Date of Distribution: |
2022-03-28 |
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Version: |
1 |
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Bibliographic Citation: |
Waspada, Ika Putera; Salim, Dwi Fitrizal; Fariska, Putri, 2022, "An Application of the Smart Beta Portfolio Model: An Empirical Study in Indonesia Stock Exchange", https://doi.org/10.34820/FK2/QWMOHZ, Telkom University Dataverse, V1 |
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Citation |
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Title: |
An Application of the Smart Beta Portfolio Model: An Empirical Study in Indonesia Stock Exchange |
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Identification Number: |
doi:10.34820/FK2/QWMOHZ |
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Authoring Entity: |
Waspada, Ika Putera (Universitas Pendidikan Indonesia) |
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Salim, Dwi Fitrizal (Fakultas Ekonomi dan Bisnis-Finance and Accounting Studies) |
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Fariska, Putri (Fakultas Ekonomi dan Bisnis-Finance and Accounting Studies) |
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Distributor: |
Telkom University Dataverse |
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Access Authority: |
Salim, Dwi Fitrizal |
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Depositor: |
Salim, Dwi Fitrizal |
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Date of Deposit: |
2022-03-28 |
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Study Scope |
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Keywords: |
Business and Management, Capital Asset Pricing Model, Portfolio, Smart Beta, VaR, Indonesian Stock Exchange |
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Abstract: |
Abstract Stock price fluctuations affect investor returns, particularly, in this pandemic situation that has triggered stock market shocks. As a result of this situation, investors prefer to move their money into a safer portfolio. Therefore, in this study, we approach an efficient portfolio model using smart beta and combining others to obtain a fast method to predict investment stock returns. Smart beta is a method to selects stocks that will enter a portfolio quickly and concisely by considering the level of return and risk that has been set according to the ability of investors. A smart beta portfolio is efficient because it tracks with an underlying index and is optimized using the same techniques that active portfolio managers utilize. Using the logistic regression method and the data of 100 low volatility stocks listed on the Indonesia stock exchange from 2009–2019, an efficient portfolio model was made. It can be concluded that an efficient portfolio is formed by a group of stocks that are aggressive and actively traded to produce optimal returns at a certain level of risk in the long-term period. And also, the portfolio selection model generated using the smart beta, beta, alpha, and stock variants is a simple and fast model in predicting the rate of return with an adjusted risk level so that investors can anticipate risks and minimize errors in stock selection. |
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Methodology and Processing |
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Sources Statement |
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Data Access |
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Notes: |
CC0 Waiver |
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Other Study Description Materials |
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Label: |
Waspada, Salim, Fariska (2021).pdf |
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Notes: |
application/pdf |