The Passive and Active Optimal Portfolios
Dwi Fitrizal Salim; Disman; Ikaputera Waspada
Universitas Pendidikan Indonesia
Abstract
The portfolio was introduced for the first time by Markowitz in 1952, where the journals that are used as a reference for almost all researchers who research about portfolio, portofolio slection. Then the mixing from various types of stocks can be done to eliminate the similar homogeneity. If the mixing practice is done then the risk that will arise from the investment will be accumulated Sharpe (1964). This study uses EVA and MVA ratios to form active and passive portfolios in order to obtain an optimal portfolio. The samples used were 24 stocks which entered consistently in the LQ 45 for 2014-2018 period. The conclusions of this study is to support the previous research by Hendrawan and Salim (2017) which states that the active strategy gives a higher return than the passive strategy. High EVA portfolio gets the highest return of 43.75 in the passive portfolio strategy, then Low EVA gets the highest return on the active portfolio of 45.95%.
Keywords: Active Portfolio,EVA, MVA, Passive Portfolio
Topic: Financial Management and Accounting