ANALISIS PERBANDINGAN KINERJA PORTOFOLIO DENGAN STRATEGI EQUAL WEIGHT, MEAN-VARIANCE OPTIMIZATION, DAN RISK PARITY

Aldiansyah, Steven (2025) ANALISIS PERBANDINGAN KINERJA PORTOFOLIO DENGAN STRATEGI EQUAL WEIGHT, MEAN-VARIANCE OPTIMIZATION, DAN RISK PARITY. Undergraduate thesis, Universitas Katolik Musi Charitas.

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Abstract

This study aims to compare the performance of portfolios using three asset allocation strategies: Equal Weight, Mean-Variance Optimization (MVO), and Risk Parity, based on the Sharpe Ratio as an evaluation indicator. The study utilizes historical data from four major asset classes most favored in Indonesia: mutual funds, stocks, gold, and cryptocurrencies. The research methodology includes portfolio construction using these three strategies and performance testing using the Sharpe Ratio to measure the return obtained per unit of risk. The findings indicate a significant difference in portfolio performance among the Equal Weight, Mean-Variance Optimization, and Risk Parity strategies. The results show that the Risk Parity strategy achieves the highest Sharpe Ratio, signifying that it provides a better balance between risk and return compared to the other strategies. The Equal Weight strategy tends to generate the highest returns but with greater volatility, while the MVO strategy produces returns that fall between Equal Weight and Risk Parity.

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