Peramalan Return Portofolio Saham - Saham Lq45 Menggunakan Metode Weighted Fuzzy Time Series

Abstract

Abstrak Return portofolio merupakan return investasi dalam berbagai instrumen keuangan selama suatu periode tertentu. Salah satu jenis portofolio adalah equal weight portofolio. Metode yang efektif untuk mendapatkan nilai peramalan return portofolio saham – saham LQ45 adalah metode weighted fuzzy time series. Saham-saham LQ45 adalah saham-saham yang dikelompokan terhadap 45 saham yang memiliki tingkat likuiditas perdagangan di atas rata-rata tingkat likuiditas saham lainnya yang terdaftar di Bursa Efek Indonesia. Saham yang digunakan dalam membentuk portofolio equal weight yaitu 20 saham dengan rata – rata return terbesar. Hasil peramalan return portofolio menggunakan metode weighted fuzzy time series sangat efektif dibandingkan dengan fuzzy time series dengan RMSE (Root Mean Squared Error) WFTS 0.03109848 sedangkan tingkat error menggunakan fuzzy time series (FTS) yaitu 0.047415.

Kata kunci : LQ45, Portofolio, return, Weighted fuzzy time series (WFTS), Root Mean Squared Error (RMSE), Fuzzy Time Series (FTS).

Abstract Portfolio return is a return on investment in a variety of financial instruments during a certain period. One type of portfolio is equal weight portfolio. An effective method for obtaining stock return portfolio forecasting values - LQ45 shares is a weighted fuzzy time series method. LQ45 shares are shares that are grouped against 45 shares that have a level of trading liquidity above the average level of liquidity of other shares listed on the Indonesia Stock Exchange. The shares used in forming the equal weight portfolio are 20 shares with the highest average return. The results of portfolio return forecasting using the weighted fuzzy time series method is very effective compared to fuzzy time series with RMSE (Root Mean Squared Error) WFTS 0.03109848 while the error rate uses fuzzy time series (FTS) that is 0.047415.

Keywords: LQ45, Portfolio, return, Weighted f