STOCK SELECTION USING SEMI-VARIANCE AND BETA TO CONSTRUCT PORTFOLIO AND EFFECT MACRO-VARIABLE ON PORTFOLIO RETURN

Abstract

This research has aims to construct portfolio by varying method and using semi-variance and Beta for selection stocks. This research found 28 stocks to become member portfolio. Equal Weighted, Market Capitalization Weighted, Markowitz Method and Elton Gruber is used to construct portfolio. This research found that the efficient frontier similar to Markowitz Method. Roy Criterion found the portfolio return varying from 2.2% to 9.65% but Kataoka Criterion found the portfolio return varying from 5.4% to 11.12%. This research found that Elton Gruber has the highest portfolio return compared to others portfolio. There is no difference of average return for four portfolios. Market return significant affect to all portfolio return but the interest rate significant affect portfolio returns for equal weighted portfolio and Elton Gruber Method.