MASIH RELEVANKAH TEORI PORTOFOLIO MODERN?

  • Erik Alghifari Universitas Pendidikan Indonesia
  • Bayu Setia Universitas Pendidikan Indonesia
  • Nugraha Nugraha Universitas Pendidikan Indonesia
  • Maya Sari Universitas Pendidikan Indonesia
Keywords: Modern Portfolio Theory, Financial Ratio Analysis, Debt to Equity, Return On Assets

Abstract

There have been many criticisms of modern portfolio theory. The framework of modern portfolio theory is static, modern portfolio theory assumes that assets are normally distributed. But in times of financial crisis or pandemic, asset class correlations increase, and assets lose value more than normal distributions would expect. This study empirically whether it is possible to apply modern portfolio theory using additional criteria. The criteria proposed are based on financial ratio analysis, using debt ratios expressed as debt to equity and profitability ratios expressed as return on assets. Based on the analysis, modern portfolio theory can be applied using these additional criteria. The analysis shows that portfolios that have a low debt to equity and portfolios with low asset returns or have good performance. But when viewed from the risk, portfolios with a debt to equity ratio of less than one are more diversified so that they are low risk, as well as portfolios with a return on assets of more than 0.1 have a low risk. Risk-averse investors who are trying to experience losses in times of financial turmoil or the current Covid-19 pandemic can add criteria that do not refer to the normal distribution. This research brings new alternative techniques to investors and adds a new dimension to the ongoing relevance of modern portfolio theory.

Downloads

Download data is not yet available.

References

Bakar, N. A., & Rosbi, S. (2018). Evaluation of Risk Reduction for Portfolio in Islamic Investment Using Modern Portfolio Theory. International Journal of Advanced Engineering Research and Science, 5(11), 27–34.
Berk, C., & Tutarli, B. (2021). Dead or alive: Modern portfolio theory based on financial analysis. Universal Journal of Accounting and Finance, 8(4), 83–91.
Brigham, E. F., & Daves, P. R. (2019). Intermediate Financial Management E d i t i o n.
Fabozzi, F. J., Focardi, S. M., Arnott, R. D., & Aronson, T. R. (2014). Investment Management: A Science to Teach or an Art to Learn? In Investment Management: A Science to Teach or an Art to Learn?
Fahmy, H. (2020). Mean-variance-time: An extension of Markowitz’s mean-variance portfolio theory. Journal of Economics and Business, 109(July 2019), 105888.
Jensen, M. C. (1968). The Performance Of Mutual Funds In The Period 1945-196. The Journal of Finance, 23(2), 389–416.
Jihadi, M., Vilantika, E., Hashemi, S. M., Arifin, Z., Bachtiar, Y., & Sholichah, F. (2021). The Effect of Liquidity, Leverage, and Profitability on Firm Value: Empirical Evidence from Indonesia. Journal of Asian Finance, Economics and Business, 8(3), 423–431.
Logubayom, A. I., & Victor, T. A. (2019). Portfolio Optimization of Some Stocks on the Ghana Stock Exchange Using the Markowitz Mean-Variance Approach. Journal of Financial Risk Management, 08(01), 29–41.
Markowitz, H. (1952). Portfolio Selecion. Journal of Finance, 7(1), 77–91.
Omisore, I. (2012). The modern portfolio theory as an investment decision tool. Journal of Accounting and Taxation, 4(2), 19–28.
Permata Sari, D., & Febriana Suryawati, R. (2020). Analisis Portofolio Optimal Saham Syariah Jakarta Islamic Index (JII) Periode Optimal Portfolio Analysis of the Jakarta Islamic Index (JII) Shariah Stock for the 2015-2017 Period. Jurnal Manajemen Dan Organisasi (JMO), 11(1).
Ramli, A., Anwar, & Anwar, I. L. (2020). Markowitz Model in The Analysis of Optimal Portfolio Establishment on Jakarta Islamic Index (JII) in Indonesian Stock Exchange. Archives of Business Research, 8(2), 190–201. https://doi.org/10.14738/abr.82.7854
Robinson, T. omas R., Henry, E., & Broihahn, M. A. (2020). International Financial Statement Analysis. In Finding Alphas: A Quantitative Approach to Building Trading Strategies (Fourth Edi). John Wiley & Sons, Inc.
Rodríguez, Y. E., Gómez, J. M., & Contreras, J. (2021). Diversified behavioral portfolio as an alternative to Modern Portfolio Theory. North American Journal of Economics and Finance, 58(July).
Sharpe, W. F. (1966). Mutual Fund Performance. The Journal of Business, 39(1), 119–138.
Sikidar, S., & Gautam, H. C. (2019). Financial Statement Analysis. New Central Book Agency (P) Ltd.
Sudiyono, W. (2021). Risk and Return Management of Sharia Stocks in Jakarta Islamic Index for the Period of 2009 – 2019 Using Markowitz Portofolio Management. International Journal of Economics, Business and Accounting Research (IJEBAR), 5(1), 63–79.
Treynor, J. L. (1965). How to rate management of investment funds. Harvard Business Review, 43, 63–75.
Uddin, M. N. (2021). Leverage structure decisions in Bangladesh: managers and investors’ view. Heliyon, 7(6), e07341.
Vo, D. H., Pham, T. N., Pham, T. T. V., Truong, L. M., & Cong Nguyen, T. (2019). Risk, return and portfolio optimization for various industries in the ASEAN region. Borsa Istanbul Review, 19(2), 132–138.
Yuliani, F., & Achsani, N. A. (2017). Analisis Pembentukan Portofolio Berbasis Risk dan Return (Studi Kasus Saham di Jakarta Islamic Index Periode Juni 2011–Mei 2016). Al-Muzara’ah.
Yunita, I. (2018). Markowitz Model Dalam Pembentukan Portofolio Optimal (Studi Kasus Pada Jakarta Islamic Index). Jurnal Manajemen Indonesia, 18(1), 77–85.
Yuwono, T., & Ramdhani, D. (2017). Comparison analysis of portfolio using Markowitz Model and Single Index Model: Case in Jakarta Islamic Index. Journal of Multidisciplinary Academic, 01(01), 25–30.
Zutter, C. J., & Smart, S. B. (2019). Principles of Managerial finance. In Pearson Education Limited.
Published
2023-03-26
Section
Articles
Abstract viewed = 545 times
PDF downloaded = 829 times