STRATEGIC ASSET ALLOCATION FOR OPTIMIZE RETURN & RISK
Ruben Sukatendel
Student of Magister Management, Perbanas Institute Jakarta,
Indonesia
Abstract- The strategy to get the best investment results is the goal of every
company. Wrong techniques may create the return is not reached and a lot of
failure of the portfolio that faced. The right strategies can be done if we
know what method is best for our investment portfolio. In this study,
researchers tested historical data on the return and risk of each Taspen Life
investment asset and assessed a new model using two model tests, in which the
formation of a new portfolio using a single index model and portfolio tangency
then performed performance testing using the Sharpe ratio, treynor ratio. , and
the jensen ratio. The recommendation from the test results is that for a
moderate strategy the company can use a single index model for a moderate
strategy with a return of 7.64 and a standard deviation of 0.41, while for an
aggressive strategy the company can use a portfolio tangency with a return of
8.55 and a standard deviation of 0.39
Keywords- Jensen ratio, Treynor ratio, standard deviation, single index
model.
source : https://ijisrt.com/strategic-asset-allocation-for-optimize-return-risk
