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This study will examine the portfolio performance of a portfolio constructed from index Kompas 100 and index Bisnis 27. Portfolio formed using the single indes model method. The data used for the research was the list of company that are consistently included in the index list of Kompas 100 and Bisnis 27 during the period of August to July 2011.In the portfolio that uses the index Kompas 100 there are 51 issuers that included in the optimal portfolio, while for the portfolio of Business 27 there are 12 issuers that enter the optimal portfolio. Kompas 100 portfolio was manage to produced an average expected return of 0.22% per day with the level of risk by 0.002%. As for Bisnis 27 the portfolio was capable of producing an average expected return of 0.16% with a risk level of 0.006%.Based on comparison of expected return, risk level the concluded that overall kompas 100 have a better performance then Business 27 portfolio. So we can conclude that portfolio with more diversified asset can have a much better performance than the less diversified portfolio. |
