STRATEGI AKTIF (MOVING AVERAGE) DAN STRATEGI PASIF (BUYAND-HOLD STRATEGI) PADA PEMBENTUKAN PORTOFOLIO PERIODE 2 JANUARI 2012 – 28 DESEMBER 2012
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Keywords:
Active and Passive Strategy, Trendline, Portofolio, Return
Abstract
Penelitian ini bertujuan untuk menguji strategi aktif dengan Moving average lebih unggul dibanding strategi pasif dengan Buy-and-Hold Strategy dalam portofolio saham yang dibentuk berdasarkan indeks LQ45. Metode yang digunakan dalam penelitian ini diawali dengan pengumpulan data yang kemudian diolah dan dianalisis. Selanjutnya dianalisa dengan Aplikasi ChartNexus dengan tujuan untuk analisa secara langsung dengan melihat grafik pergerakan harga saham. Dan terakhir membandingkan return dari strategi aktif (moving average) dan strategi pasif (buy-and-hold strategy). Hasil dari penelitian ini menunjukkan bahwa strategi pasif dengan buy-and-hold strategy mampu mengungguli strategi aktif dengan moving average ketika kondisi pasar sedang bullish.
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References
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Eko, U., 2008, Analisis dan Penilaian Kinerja Portofolio Optimal Saham-Saham LQ45, Jurnal Ilmu Administrasi dan Organisasi, Vol 15: 3.
Fernandez-Rodriguez, F., Gonzalez-Martel, C., dan Sosvilla-Rivero, S., 2000, On the profitability of technical trading rules based on artificial neural networks: Evidence from the Madrid stock market, Working Paper,
Universidad de Las Palmas de Gran Canaria, Las Palmas, Canary Islands, Spain.
Khajar, I., 2011, Startegi Aktif Pasif dalam Optimalisasi Portofolio Saham Indeks LQ45, Jurnal Keuangan dan Perbankan, Vol 15: 2.
Kilgallen, T., 2012, Testing The Simple Moving Average Across Commodities, Global Stock Indices, and Currencies, Journal of Wealth Management, Vol 15: 1.
May, E., 2011, Smart Traders Not Gamblers, Gramedia Pustaka Utama.
Murphy, J.J., 1999, Technical Analysis of the Financial Markets: A Comprehensive Guid to Trading Methods and Applications, rev. ed., New York Institute of Finance.
Monica, A., 2010, Analisis Return saham dengan indikator variable Moving Average pada saham-saham sektor pertambangan di Bursa Efek Indonesia periode 2006 – 2007, Skripsi, Universitas Surabaya.
Ong, E., 2011, Technical Analysis for Mega Profit, 7th edition, Gramedia Pustaka Utama
Tandelilin, E., 2010, Portofolio dan Investasi, Kanisius.
Wijaya, J., 2010, Analisis return Moving Average Convergence Divergence dan Buy-and-Hold Strategy pada LQ45 periode Februari 2006 – Januari 2009, Skripsi, Universitas Surabaya.
Wiksuana, I.G.B, 2009, Kinerja Portofolio Saham Berdasarkan Strategi Investasi Momentum di Pasar Modal Indonesia, Jurnal Manajemen dan Kewirausahaan, Vol 11: 1.
Published
2013-09-20
Section
Bidang Manajemen (M)
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