Table 3: Comparative Evaluation of Portfolio Value for 2
Stocks.
Portofolio Evaluation AOLMA Equal Weight
BBCA and TLKM Mean Return 1,00549 1,00323
Standard Deviation 0,03321 0,02836
Sharpe Ratio 30,2729 35,3713
ASII and PTBA Mean Return 1,00198 1,00156
Standard Deviation 0.05337 0,04074
Sharpe Ratio 18,7727 24,5833
INTP and PTPP Mean Return 1,00368 1,00161
Standard Deviation 0,05916 0,04826
Sharpe Ratio 16,9639 20,7519
PGAS and INDF Mean Return 1,00180 1,00055
Standard Deviation 0,05176 0,04052
Sharpe Ratio 19,3514 24,6889
folio of 3 stocks consists of BBCA.JK, TLKM.JK and
PTPP.JK stock.
Table 4: Comparative Evaluation of Portfolio Value for 3
Stocks.
Portofolio Evaluation AOLMA Equal Weight
BBCA, TLKM, and ASII Mean Return 1,00549 1,00253
Standard Deviation 0,03952 0.02957
Sharpe Ratio 25,4389 33,8964
BBCA, TLKM, and PTBA Mean Return 1,00348 1,00282
Standard Deviation 0,04689 0,03058
Sharpe Ratio 21,3965 32,7929
BBCA, TLKM, and INTP Mean Return 1,00452 1,00220
Standard Deviation 0,04286 0,03079
Sharpe Ratio 23,4342 32,5485
BBCA, TLKM, and PTPP Mean Return 1,00429 1,00318
Standard Deviation 0,05285 0,03451
Sharpe Ratio 18,9997 29,0654
Based on Table 4, the average return of the portfo-
lio with the method used in this article is better than
the equal weight method. The equal weight portfolio
has a relatively smaller risk value in terms of the risk
from standard deviation (smaller) and also has bet-
ter performance than AOLMA in terms of Sharpe ra-
tio (larger). In testing the portfolio of 3 stocks, the
AOLMA portfolio only provides a better mean return
than the equal-weight portfolio.
Table 5: Comparative Evaluation of Portfolio Value for 5
Stocks.
Portofolio Evaluation AOLMA Equal Weight
BBCA, TLKM, ASII, Mean Return 1,00468 1,00176
INTP, and INDF Standard Deviation 0,04361 0,02942
Sharpe Ratio 23,0342 34,0494
BBCA, TLKM, ASII, Mean Return 1,00347 1,00154
INTP, and PGAS Standard Deviation 0,05001 0,03227
Sharpe Ratio 20,0629 31,0356
BBCA, TLKM, ASII, Mean Return 1,00432 1,00216
INTP, and PTPP Standard Deviation 0,05483 0,03327
Sharpe Ratio 18,3153 30,1165
BBCA, TLKM, ASII, Mean Return 1,00484 1,00195
INTP, and PTBA Standard Deviation 0,04971 0,03043
Sharpe Ratio 20,2105 32,9218
The value of the portfolio using the AOLMA
method compared to the portfolio with the same
weight carried out with 5 stocks. The ﬁrst 5
stock portfolios are BBCA.JK, TLKM.JK, ASII .JK,
INTP.JK , and INDF.JK. The second portfolio of 5
consists of BBCA.JK, TLKM.JK, ASII.JK, INTP.JK
and PGAS.JK. The third portfolio of 5 stock con-
sists of BBCA.JK, TLKM.JK, ASII.JK, INTP.JK,
and PTPP.JK. The fourth portfolio of 5 stock con-
sists of BBCA.JK, TLKM.JK, ASII.JK, INTP.JK and
PTBA.JK.
Based on Table 5, the average return of the portfo-
lio with the method used in this article is better than
the equal weight method. Portfolios of equal weight
have relatively smaller risk values in terms of standard
deviation risk (smaller) and also have better perfor-
mance than AOLMA in terms of Sharpe ratio (larger).
Thus, in testing a portfolio of 3 stocks, the AOLMA
portfolio only provides a better average return than a
portfolio with equal weight.
A portfolio comparison for 2 stocks, 3 stocks, and
5 stocks as a whole got the results that, the AOLMA
portfolio provides better performance in terms of
mean return alone. Whereas performance in terms
of standard deviation and Sharpe ratio of the equal
weight portfolio is better. That matter shows that the
AOLMA portfolio can get a bigger proﬁt than the
equal portfolio weight, but the big proﬁts are worth
the bigger risks too. Besides that, a portfolio con-
sisting of several stocks does not necessarily provide
better portfolio performance.
5 CONCLUSIONS
Experimental results for stock selection for a portfo-
lio of 2 stocks, 3 stocks, and 5 stocks with AOLMA
and EW show that the portfolio with AOLMA return
predictions has better performance than the mean re-
turn side compared to equal-weight portfolios, espe-
cially with stocks that have history of performance
good and uniform. If the stocks selected for selec-
tion with AOLMA have performance and movement
each week, the value and performance of the AOLMA
portfolio are lower than the equal-weight portfolio.
The portfolio with the best performance is the one
with the most stocks in the experiment is a portfo-
lio of 5 stocks whose performance is seen from the
Sharpe ratio. Although the portfolio with AOLMA’s
return prediction has a high return the risk that is ob-
tained is also higher, that is which makes the shape
ratio smaller. This indicates that the increased risk
is compensated by a higher increase in returns. In
further research, it is suggested to be able to expand
the method comparison for the selection of portfolios
used in addition to equal weight portfolio and perfect
the AOLMA method by changing the parameters used
or even combining them with another method.
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