Smart beta portfolio investment strategy during the COVID-19 pandemic in Indonesia


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Covid-19 has an impact on stock investment, especially in Indonesia, marked by the decline in the Jakarta Composite Index (JCI) at the beginning of the Covid-19 pandemic. During the Covid-19 era, there was a lot of negative information about the uncertainty of the market, which made investors irrational about the choice of stocks in the portfolio. So this research will have a hypothesis that the High Volatility stock group will be the best portfolio in Covid-19 conditions. The sample used is the Group of stocks that have the largest market capitalization value in JCI. Stocks with large market caps are chosen because of one of the indicators of blue chip stock. The sample will be divided into three portfolio groups, High Volatility, Moderate Volatility, and Low Volatility. The results obtained that High Volatility became the best portfolio during the Covid-19 period. The results of this study prove that the group of stocks with High Volatility will get positive returns and sharpe performance results are the highest and positive, compared to moderate volatility and low volatility portfolios. This result arises because stocks with High Volatility are subject to large price fluctuations and in this situation, investors can invest in these stocks in a short time frame. The short-term process is carried out regularly so that it can be in accordance with investors' expectations for investments in the portfolio.

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    • Figure 1. Research Framework
    • Figure 2. Top 6 capitalizations of the Indonesian stock market
    • Table 1. Portfolio smart beta 2020–2021
    • Table 2. Portfolio accumulation results
    • Table 3. Sharpe portofolio performance
    • Conceptualization
      Dwi Fitrizal Salim, Aldilla Iradianty, Farida Titik Kristanti
    • Data curation
      Dwi Fitrizal Salim, Aldilla Iradianty
    • Funding acquisition
      Dwi Fitrizal Salim, Widyadhana Candraningtias
    • Investigation
      Dwi Fitrizal Salim, Aldilla Iradianty, Farida Titik Kristanti
    • Resources
      Dwi Fitrizal Salim
    • Software
      Dwi Fitrizal Salim, Widyadhana Candraningtias
    • Validation
      Dwi Fitrizal Salim
    • Supervision
      Dwi Fitrizal Salim, Aldilla Iradianty, Farida Titik Kristanti
    • Writing – original draft
      Dwi Fitrizal Salim, Widyadhana Candraningtias
    • Writing – review & editing
      Dwi Fitrizal Salim, Aldilla Iradianty, Farida Titik Kristanti
    • Visualization
      Aldilla Iradianty
    • Methodology
      Farida Titik Kristanti
    • Formal Analysis
      Widyadhana Candraningtias
    • Project administration
      Widyadhana Candraningtias