Pembentukan Portofolio dengan Elton Gruber dan Pengaruh Makro Ekonomi
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Abstract
Penelitian ini bertujuan melihat pengaruh tingkat pengembalian portofoilo yang dibentuk oleh Model Elton Gruber dan juga diperbandingkan dengan return Portofolio dengan penimbang sama serta penimbang Kapitalisasi Pasar. Saham-saham pada portofolio merupakan saham yang ada pada Indeks Bisnis 27. Penelitian ini menggunakan data bulanan pada periode 2015 sampai dengan Juni 2022. Hasil riset ini menemukan bahwa Portofolio Penimbang sama mempunyai tingkat pengembalian yan tertinggi sementara tingkat pengembalian portofolio model Elton Gruber dan penimbang kapitalisasi pasar menghasilkan return yang sama. Return Pasar berpengaruh secara signifikan terhadap tiga tingkat pengembalian Portofolio yang dibentuk, sementara nilai kurs, tingkat bunga dan harga minyak tidak berpengaruh terhadap tingkat pengembalian portofolio yang dibentuk .
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