PREDICTING STOCKS MUTUAL FUND PRODUCT PERFORMANCE USING MODERN PORTFOLIO CHOICE THEOREM FINAL PROJECT
By Alviga Andelisa 19004008
Undergraduate Program School of Business and Management Institut Teknologi Bandung 1
ABSTRACT
Stocks Mutual Fund as one of the risky investments used the basic strategy of diversification. Through its choice of stocks (80%-98%), Stocks Mutual Funds play with the combination of its stocks as well as its holdings in order to gain the most optimal return with a certain level of risk. Mean Variance Frontier graph provides each Stocks Mutual Fund a return and risk position, where it spreads mostly in the „High Risk, Low Return‟ area. This result is taking off as the expected performance of the Stocks Mutual Fund. Modern Portfolio Choice Theorem is one method of predicting the future performance of an asset portfolio, which in the end will be proven by the real (actual) performance. By using the portfolio return and standard deviation, the expected performance of the Stocks Mutual Fund is determined. When the result is compared with the actual performance, it transpires to be over expected. Linear Regression and Confidence Interval analysis strengthen the outcome that there are no significant correlations between expected and actual performance. This insignificance proved that it requires a holistic approach to predict the future performance of Stocks Mutual Fund.
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ABSTRAK
Sebagai salah satu jenis investasi yang beresiko tinggi, Reksadana Saham menggunakan sistem difersifikasi sebagai strategi dasar. Reksadana Saham memainkan produk sahamnya (80-98%) dengan berbagai kombinasi dari jenis saham itu sendiri maupun kombinasi dari proporsi masing-masing saham. Hal ini dilakukan untuk memperoleh pendapatan ataupun keuntungan dari investasi dengan tingkat resiko tertentu. Tingkat resiko dan pendapatan dari Reksadana Saham diposisikan dalam grafik „Mean Variance Frontier‟ dimana sebagian besar tersebar di daerah „High Risk, Low Return‟. Posisi inilah yang menjadi dasar dari prediksi performa dari Reksadana Saham. Salah satu teori untuk memprediksi performa dari portfolio saham ialah dengan menggunakan Teori „Modern Portfolio Choice‟ serta dibuktikan dengan perform aril dari Reksadana Saham tersebut. Dengan melakukan perhitungan terhadap portfolio return dan standar deviasi, prediksi dari performa Reksadana Saham dapat ditentukan. Ketika dibandingkan dengan performa (hasil) yang sudah terjadi, ternyata hasil dari penghitungan menunjukkan bahwa tingkat ekspektasi terhadap performa Reksadana Saham lebih rendah (over expected) sehingga menghasilkan hasil yang berbeda. Analisa dengan menggunakan Linear Regression dan Confidence Interval membuktikan bahwa tidak ada hubungan yang signifikan antara ekspektasi performa dan performa ril pada Reksadana Saham. Hubungan yang tidak signifikan antara dua variabel ini menunjukkan bahwa perlu adanya pendekatan secara holistik untuk dapat memprediksi performa Reksadana Saham di masa yang akan datang.
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PREDICTING „STOCKS MUTUAL FUND‟ PRODUCT PERFORMANCE USING “MODERN PORTFOLIO CHOICE” THEOREM
By: ALVIGA ANDELISA 19004008
Undergraduate Program School of Business and Management Institut Teknologi Bandung
Validated By
Deddy P. Koesrindartoto PhD NIP : 999 059 102
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PREFACE
I would like to express my gratefulness to Allah SWT for all the blessings of strength and health to finish my Final Project successfully. I also would like to express my sincere thanks and appreciation to my beloved family, my father, my mother, and my big brother for all their undying support, advices, and prayers through the short or long distance.
Finally yet importantly, I would like to send my gratitude to Mr. Deddy Pri as my supervisor for his professional guidance and time dedication throughout the process of this project.
I have arranged this Final Project research so that it is more understandable in the use of terms and concepts, which delivers a systematic way of thinking.
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LIST OF CONTENTS
ABSTRACT
i
ABSTRAK
ii
VALIDATION PAGE
iii
FOREWORD
iv
LIST OF CONTENTS
v
LIST OF FIGURES
vii
LIST OF TABLES
viii
CHAPTER I. INTRODUCTION
1
1.1 Background
1
1.2 What is Mutual Fund
1
1.3 Types of Mutual Fund
1
1.4 Problem Summary
2
1.5 Research Scope
3
1.6 Brief Methodology
3
1.7 Research Objectives
4
CHAPTER II. THEORETICAL FOUNDATIONS
5
2.1 Diversification
5
2.2 Optimal Portfolio
5
2.3 Calculation
6
2.3.1 Return Calculation
6
2.3.2 Risk Calculation
6
2.3.3 Portfolio Return
6
2.3.4 Portfolio Risk
7
2.4 Mean Variance Frontier Graph
7
2.5 Confidence Interval
8
2.5.1 Single-Sided Confidence Intervals (Variance Unknown)
9
CHAPTER III. METHODOLOGY
11
3.1 Research Methodology
11
3.1.1 Portfolio Performance of the Stocks Mutual Fund
12 11
3.2 Hypothesis 3.2.1 The Correlation between Expected and Actual Return Using Linear Regression 3.2.2 The Correlation between Expected and Actual Return Using Confidence Interval
12 13
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CHAPTER IV. DATA ANALYSIS
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4.1 Data Collection
15
4.2 Data Analysis
19
4.2.1 Portfolio Return & Risk Calculation
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4.2.2 Period 2004-2006 (24 Months Base)
22
4.2.2.1 Expected Return versus Actual Return
24
4.2.2.2 Linear Regression Analysis
26
4.2.2.3 Confidence Interval Analysis
28
4.2.3 Period 2005-2006 (12 Months Base)
31
4.2.3.1 Expected Return versus Actual Return
33
4.2.3.2 Linear Regression Analysis
36
4.2.3.3 Confidence Interval Analysis
37
CHAPTER V. CONCLUSIONS
41
REFERENCES
43
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LIST OF FIGURES
Figure 2.1 Portfolio risk as a function of the number of stocks in the portfolio
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Figure 2.2 Mean Variance Frontier Graph
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Figure 2.3 Normal Distribution
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Figure 3.1 Methodology Flowcharts
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Figure 3.2 Hypothesis
13
Figure 3.3 Linear Graph
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Figure 4.1 Mean Variance Frontier Graph (2004-2006)
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Figure 4.2 Expected versus Actual Return (2004-2006)
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Figure 4.3 Confidence Interval (2004-2006)
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Figure 4.4 Confidence Interval of Expected Return (2004-2006)
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Figure 4.5 Mean Variance Frontier Graph (2005-2006)
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Figure 4.6 Expected versus Actual Return (2005-2006)
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Figure 4.7 Confidence Interval of Actual Return (2005-2006)
39
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LIST OF TABLES
Table 4.1 Detailed Stocks Mutual Fund (SMF) Data of Fortis Ekuitas
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Table 4.2 Detailed SMF Data of Nikko Saham Nusantara
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Table 4.3 Detailed SMF Data of First State Indoequity Sectoral Fund
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Table 4.4 Detailed SMF Data of Danareksa Mawar
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Table 4.5 Detailed SMF Data of Mahanusa Dana Ekuitas
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Table 4.6 Detailed SMF Data of Panin Dana Maksima
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Table 4.7 Detailed SMF Data of Mandiri Investa Atraktif
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Table 4.8 Detailed SMF Data of Manulife Dana Saham
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Table 4.9 Detailed SMF Data of Phinisi Dana Saham
19
Table 4.10 Detailed SMF Data of Makinta Mantap
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Table 4.11 Example of the Expected Return Calculation
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Table 4.12 Variance of Fortis Ekuitas Holding (January 2007)
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Table 4.13 Covariance of Fortis Ekuitas Holding (January 2007)
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Table 4.14 Expected Return and Portfolio Risk (2004-2006)
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Table 4.15 Actual Return versus Expected Return (2004-2006)
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Table 4.16 Mean and Standard Deviation (2004-2006)
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Table 4.17 Analysis of T-test for the 24-months-base
25
Table 4.18 Model Summary for period 2004-2006
27
Table 4.19 Analysis of Coefficients for period 2004-2006
27
Table 4.20 Sample-based T-test
28
Table 4.21 Confidence Interval (2004-2006)
30
Table 4.22 Expected Return and Portfolio Risk (2005-2006)
31
Table 4.23 Actual Return versus Expected Return (2005-2006)
33
Table 4.24 Mean and Standard Deviation (2005-2006)
34
Table 4.25 Analysis of T-test for the 12-months-base
34
Table 4.26 Model Summary for Period 2005-2006
36
Table 4.27 Analysis of Coefficients for Period 2005-2006
37 15
Table 4.26 Confidence Interval (2005-2006)
37
Table 5.1 Range of Return and Risk on Stocks Mutual Fund
39
Table 5.2 Hypothesis Test
39
Table 5.3 Summary of the Linear Regression
40
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