Graham & Dodd theory in stock portfolio performance in LQ 45 index at Indonesia stock exchange

Abstract

The measurement of the performance of the overvalued stock portfolio and undervalued stock portfolio aims to find out whether its performance is in accordance with Graham a Dodd's Theory. This study uses the Capital Asset Pricing Model (CAPM) in forming a portfolio in the Indonesia Stock Exchange LQ45 Index (IDX). In evaluating the performance of the stock portfolio, the method applied in the research is Sharpe index due to the fact that it meets the International performance measurement standards. The results of different tests of performance obtained are expected to become guidelines for investors in determining the investment portfolio stock strategy. The population of this study is all shares listed on the IDX LQ45 Index for the period February 2016-July 2016. The sample selection was done by purposive sampling method through determining 8 stocks classified as overvalued and 8 stocks classified as undervalued. The statistical method used is the data analysis technique in the form of the Wilcoxon test. The results showed that there was a decrease in the performance of the overvalued stock portfolio after 6 months and 12 months and there was an increase in the performance of the undervalued stock portfolio after 6 months and 12 months.