INFLATION HEDGING PORTFOLIO CONSTRUCTION WITH INFLATION BETA APPROACH BASED ON LQ45 EQUITIES FROM 2007-2013

Putra, Tegar Satya (2014) INFLATION HEDGING PORTFOLIO CONSTRUCTION WITH INFLATION BETA APPROACH BASED ON LQ45 EQUITIES FROM 2007-2013. S1 thesis, UAJY.

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Abstract

Markowitch Modern Portfolio theory is undeniably the most famous portfolio approach to diversify risks that investors face in investing their money. This portfolio construction approach may be effective to diversify investment’s risks. However, Markowitch Modern Portfolio Theory only diversifies unsystematic risks. In other hand systematic risks tend to be ignored. One of the systematic risks that investors face is inflation. Inflation reduces investment return, which resulted in investors’ loss. The immense effect of inflation to the investment shows that new approach in constructing portfolio is essentially needed. Based on that fact, this research was conducted with several objectives, they are: (1) To analyze inflation hedging ability of Indonesia equity instruments using inflation beta approach, (2) To examine effect of inflation beta approach on risk and return of portfolios, (3) To investigate effect of inflation beta approach on portfolios’ performance. (4) To explore future representativeness of inflation beta approach with the construction of ex- ante portfolio.

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