PENYUSUNAN INTEGRATED PROGRAMMING UNTUK PEMBENTUKAN PORTOFOLIO BLACK LITTERMAN

Abstract

Abstrak

Pembentukan portofolio memerlukan perhitungan yang tidak sedikit. Perhitungan dapat diselesaikan dengan beberapa software komputer. Namun keterbatasan setiap software mengakitbatkan perhitungan memerlukan lebih dari satu software yang berefek pada waktu pengerjaan. Oleh karena itu dibutuhkan program terintegrasi (integrated programming) yang dapat membantu keseluruhan perhitungan. Portofolio Black Litterman adalah pengembangan dari model portofolio klasik Mean Variance (MV) dan Capital Assets Pricing Model (CAPM). Model portofolio Mean Variance sendiri sudah disederhanakan menjadi model portofolio Mean Absolute Deviation (MAD). Karena empat portofolio tersebut saling terkait, program akan membentuk sekaligus empat portofolio dan membandingkan kinerjanya. Kinerja portofolio diukur menggunakan sharpe ratio. Hasil analisis saham LQ-45 dengan program terintegrasi (integrated programming) menunjukkan bahwa portofolio Black Litterman memiliki kinerja terbaik dengan nilai sharpe ratio sebesar 1,28. Portofolio tersebut memiliki nilai return sebesar 3,67% dan nilai risiko sebesar 2,86%. Program terintegrasi (integrated programming) dapat membentuk portofolio dengan waktu kurang dari 1 menit.

Kata kunci: Portofolio, Black Litterman, Sharpe ratio, Integrated Programming

Abstract

Forming portfolio requires a lot of calculation steps. These calculations can be solved with the help of computer softwares. But the limitation of each software makes calculation requires more than one software that has an effect on the processing time. Therefore, it needs an integrated program that can help the overall calculation. Black Litterman portfolio was developed from the classic portfolio model, the Mean Variance (MV) and the Capital Assets Pricing Model (CAPM). Mean Variance portfolio model has been simplified into the Mean Absolute Deviation (MAD) portfolio model. Because the four portfolios are related to each other, the program will form four portfolios at once and compare their performance. Portfolios’ performances are measured using the sharpe ratio. The result of LQ-45 stock analysis with integrated programming shows that Black Litterman portfolio has the best performance with the value of sharpe ratio 1.28. The portfolio has a return value of 3.67% and a risk value of 2.86%. Integrated program can form portfolios with less than a minutes.

Keywords: Portfolio, Black Litterman, Sharpe ratio, Integrated Programming