Construction Portfolio Using Elton Gruber Model: COVID-19

Abstract

Abstract This research aims to examine construction of the portfolio and also to explore factor variable affected on portfolio return. Portfolio stock derived the Elton Gruber model and compared it with portfolio returns calculated using the Equal Weighted and market capitalization weighted. This research used stock that is member of the Sri-Kehati Business Index, and monthly data from January 2015 to June 2022. This research has finding that there are 6 stocks to become member of stocks portfolio using Elton Gruber Model. By using Coefficient of Variation (CV), the equal weighted has the good portfolio because it has lowest of variation. Using t-test, there are no significant differences for three portfolios. Market Shock, Exchange Rate, Interest Rate and COVID-19 significantly affect Portfolio Return of Elton Gruber Model. Equal Weighted and Market Capitalization Portfolio only affect by Market shock. Based on this research results, it has implication that Investors do not need Fund Manager to manage their portfolio if investor use equal weighted or market capitalization weighted mode. JEL classification numbers: B26, B41, C01, C13, C51, D53, E44. Keywords: Construction Portfolio, Return Portfolio, Market Capitalization, Equal Weighted, Oil Price, Exchange Rate and interest rate, COVID-19.