Asset Selection and Portfolio Management on LQ 45 Using Active and Passive Management Strategy

Abstract

The aim of this research is to build a stock portfolio contained in the LQ 45 index using passive and active strategy methods based on financial report data published during the 2016-2019 period, choosing that year to avoid abnormal performance during Covid year between 2020 - 2022. To form the portfolio, it is grouped based on high, medium and low Tobin's Q values and high, medium and low of ROE. To measure the performance of the portfolio using we used Sharpe, Treynor and Jensen methods. The research results show that using an active strategy shows the highest average total return of 19.97% with a risk of 18.23%, followed by an annual active management strategy and then semi-annual active management. Meanwhile, using a passive management strategy shows that the medium ROE group produces an optimum portfolio, while the annual active and semi-annual active groups show that the optimum portfolio is in the medium Tobis' Q group. The varied results contradict the research conducted by Pasaribu (2009), Hidayat and Hendrawan (2017), Hendrawan and Salim (2017), and Hendrawan et al. (2020). In contrast to the research conducted by Pham (2018), the composition of ROE is more capable of providing higher returns than the Tobin's Q composition. This research also shows varied results of the ROE portfolio, in contrast to Barka and Hamza (2019).