文章基本信息

标题：An Application of the Smart Beta Portfolio Model: An Empirical Study in Indonesia Stock Exchange
本地全文：下载
作者：WASPADA, Ika Putera ; SALIM, Dwi Fitrizal ; FARISKA, Putri 等
期刊名称：Journal of Asian Finance, Economics and Business
印刷版ISSN：2288-4637
电子版ISSN：2288-4645
出版年度：2021
卷号：8
期号：9
页码：45-52
DOI：10.13106/jafeb.2021.vol8.no9.0045
语种：English
出版社：Korean Distribution Science Association
摘要：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.
关键词：Capital Asset Pricing Model;Portfolio;Smart Beta;VaR;Indonesian Stock Exchange