Value at Risk Analysis for Investment Decisions Using Historical  Simulation

Ridwan Maronrong; Pristina Hermastuti; Saifi Maulana Iksan Abdul Ajis Muntahak

Ridwan Maronrong
Pristina Hermastuti
Saifi Maulana Iksan Abdul Ajis Muntahak

Keywords: CAPM, Construction Sector Index, Historical Simulation, Property and Real Estate, Value at Risk

Abstract

This study aims to determine the value at risk for investment decisions in empirical research on the Building Construction Sector, which is included in the LQ45 index listed on the IDX for the 2016-2020 period. This study uses a descriptive quantitative research approach, and the data used are secondary data, with data sources coming from www.idx.co.id and www.finance.yahoo.com. This study used a purposive sampling technique. The analytical method used in this research is the Value at Risk Historical Simulation approach at a 99% alpha level using stock prices and the prices of the Construction, Property, and Real Estate Sector Index for the 2016-2020 period. The portfolio measurement method uses the Capital Asset Pricing Model (CAPM) model of 3 issuers listed in the LQ45 index: In this study, the proportion of the same investment in each stock is 33.33%. This study uses a regression test to determine the relationship between sector stock returns and the returns index tool used to measure investment risk with the help of software Microsoft Excel 2019. The results of the VaR calculation show that the most negligible risk of the three stocks during the 2016-2020 period is WSKT shares, and the most prominent risk is PTPP shares, with VaR values of 34.71% and 36.72%, respectively. Investors with a risk-averse preference can invest their funds in WSKT shares, and investors with a risk taker can invest their funds in PTPP shares. The highest 5-year portfolio VaR results were PTPP shares of Rp 12,239,066, and the lowest was WSKT shares of Rp 11,571,282. The results Significance F of three stocks for five years indicate a significant influence between sector stock returns and returns index.

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