KINERJA PORTOFOLIO SAHAM INFRASTRUKTUR, KEUANGAN DAN KONSUMSI BERDASARKAN STRATEGI INVESTASI SEKTORAL DI PASAR MODAL INDONESIA

Abstract

Portfolio diversification which aims to minimize the risk is conducted by a combination
sectoral of shares forming portofolios.
The population of this study was stocks listed in the infrastructure sector, finance
and consumption in the year 2008 and 2011. Analysis in this study is by Single Index
Model. The measurement of portfolio performances using Sharpe, Treynor and
Jensen index.
Portfolio performance of each sector in 2008 was found as measured by the
Sharpe, Treynor index was not significantly different to the index while for Jensen
was not significantly different in infrastructure-finance and finance-consumption.
Optimal portfolio performance of two sectors combination measured by all index
was significantly not different while the performance of the portfolio while the
performance of the portfolio

of each sector, two and three sectors combination did not
differ significantly in the Sharpe and Treynor index while in Jensen it was not differ
significantly in financial with financial-infrastructre, financial with infrastructureconsumption,

financial with financial-consumption, financial with infrastructurefinancial-consumption.

Optimal portfolio performance in 2011 in each sectors, the
combination of two sectors and the combination betweeen each sectors, combination
of two and three sectors was not significantly different in that index.
It is suggested that investor to consider the characteristics of the sector and adapted
to market conditions and the economy.