Optimal Portfolio Construction Based on Sector Rotation Strategy

Language: English

Published by LAP LAMBERT Academic Publishing Jul 2015, 2015

3659760676 / 9783659760679

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This item is printed on demand - Print on Demand Titel. Neuware -The Indonesia economic growth has been getting better over the years motivates both domestic and foreign investors to do the investment. One of the best return investment instruments in Indonesia is equity fund. Not all business sectors perform well at the same time, so sector rotation could be an appropriate option in an attempt to beat the market. This research aims to identify the relationship between business cycle and selected stocks performance in Indonesia Stock Exchange. Sharpe ratio, holding period return, and geometric average return are applied as the proxy to measure the effectiveness of sector rotation implementation. The secondary data such as Jakarta Composite Index, Sectoral Index, Indonesia GDP Growth, and Inflation Rate is taken to analyze business cycle identification. The author makes sector choice analysis and selects the stock based on LQ45 Index. Portfolio backdated simulation is built after defining the weight of each stock in specific business cycle phase. The results proved that sector rotation strategy are effective for maximizing investors' wealth in comparison with passive strategy. It is also possible to be implemented into the real investment world.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 80 pp. Englisch.…

Seller Inventory # 9783659760679

Title
Optimal Portfolio Construction Based on Sector Rotation Strategy
Author
Grandy William Kinsey
Publisher
LAP LAMBERT Academic Publishing Jul 2015
Publication year
2015
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3659760676
ISBN 13
9783659760679
Item weight
137 grams
Dimensions
220x150x6 mm

buchversandmimpf2000

Emtmannsberg, BAYE, Germany

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Impressum Thorsten Retsch Buchversand Mimpf2000 Oberölschnitz 16 95517 Emtmannsberg Deutschland Telefon: 09209-2023188 Email: mimpf2000@online.de USt-ID-Nr.: DE 235096871 Wir führen gebrauchte Bücher aus allen Sparten der Literatur

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