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

Adler Haymans Manurung, Nera Marinda Machdar, Jadongan Sijabat and Amran Manurung
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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

International Journal of Economics and Financial Issues, 2024, vol. 14, issue 1, 233-241

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.

Keywords: Behavioural finance; portfolio management, investment intentions, personality traits; risk tolerance, Financial Markets (search for similar items in EconPapers)
JEL-codes: C13 C51 C61 G1 M21 (search for similar items in EconPapers)
Date: 2024
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