OPTIMAL STOCK PORTFOLIO ESTABLISHMENT WITH ACTIVE AND PASSIVE STRATEGY USING PRICE TO BOOK VALUE AND PRICE EARNING TO GROWTH RATIO APPROACH IN IDX30 INDEX 2013-2018 PERIOD

The volatility phenomenon of stock returns shows the return and risk faced by investors in investment activities. One method that can be used by investors to get maximum profit while compressing the risk into the minimum level is by diversifying its investments through portfolios. This study aims to determine the simulation results of optimal stock portfolio establishment with active and passive strategy using Price to Book Value and Price Earning to Growth ratio approach and the results of the Sharpe, Treynor, and Jensen performance evaluations on the established portfolio. This research appertains in quantitative research. The object of the research was the IDX30 Index and 17 of 30 companies which consistently classified into the IDX30 Index for the 2013-2018 period were selected as the research sample. The results showed that High PEG consistently provides better than the average returns and risks, whether in passive strategy, annual’s active strategy, or semester’s active strategy. Whereas, High PBV in the passive and annual's active strategy showed a high rate of return above the average, while in the semester active strategy, showed the lowest level of risk. Overall the semester's active strategy has the highest accumulated rate of return with a relatively low rate of risk. This result match with the purpose of optimal portfolio establishment. Moreover, the results of the performance evaluation showed that in the semester's active strategy, High PEG gives the best score based on the results of the performance evaluation of Sharpe, Treynor and Jensen index.


INTRODUCTION
The capital market, from the company's point of view, as a party that needs funds or as a seller, provides an alternative source of external funding that is cheaper than bank credit (Husnan, 2018).While the capital market for the buyer, allows the owners of capital to have a variety of alternative investment options that suit their respective risk preferences.The existence of a capital market allows capital owners to diversify investments.Capital market is expected to be an alternative to raising funds other than the banking system (Husnan, 2018).
Financial instruments traded on the capital market are long-term instruments (with a term of more than 1 year) such as stocks, bonds, warrants, rights, mutual funds, and various derivative instruments such as options, futures, and others (Indonesia Stock Exchange, Year).
There are five processes in investment.One of them is 'making investment policy' means deciding how to distribute the funds owned in the best way to the existing main asset groups (Herlianto, 2013).In choosing this main asset group, investors must choose issuers that will be used as investment targets from the many existing issuers.One of the good stock assets can be seen from the IDX30 index.The IDX30 Index consists of 30 leading stocks which are constituents of the LQ45 Index.Thus, the IDX30 index can describe the 30 best companies listed on the Indonesia Stock Exchange.
The decline in the value of IDX30 Index shares was triggered by an increase in the US dollar exchange rate against all world currencies, and Indonesia was recorded as one of the countries with the highest depreciated currency value.The first period in August 2013 saw a decline after the US Central Bank (The Fed) announced to reduce the amount of Quantitative Easing (QE) or loose money policy by US$ 10 billion (Kontan.co.id, December 24 2013).The second period in September 2018 occurred due to an increase in the United States Central Bank interest rate which caused many foreign investors to divert their funds out of the Indonesian capital market with a net selling value of IDR 22.58 trillion (Waspada.co.id, 30 December 2015).Another cause was the current account deficit due to high imports of fuel and crude oil (Okezone.com, 24 December 2013).In addition, there were three factors that contributed to the decline in the performance of the Indonesian stock market: 1) the economic slowdown in developing countries such as China; 2) speculation on the policy the Fed will take; and 3) a decline in commodity prices (Sindonews.com, 7 December 2015).
Regardless of the 'attack' on the Indonesian capital market, Muliaman as chairman of the board of commissioners of the Financial Services Authority, considers that the movement of Indonesian capital market shares is relatively stable and this condition is quite conducive amidst global and domestic economic shocks given the turmoil in the United States and Europe (Merdeka.com, 30 December 2013).
Even though there was a decline in the value of the IDX30 Stock Index in several periods, in general, the trend has shown an increase.This proves that issuers on the IDX30 index are experiencing growth and are still attractive as investment targets.Even so, the moment of decline in the value of shares on the IDX30 index proves that with growth, there are still risks.
The potential for large returns (returns) can be obtained from investing in stocks, regardless of which stocks it is, side by side with the possibility of large risks that cannot be separated.Risk and return are conditions experienced by companies, institutions and individuals in investment decisions, namely both losses and profits in one accounting period (Fahmi & Hadi, 2009).Risk and return are two things that cannot be separated, both of which can be analogous to actions and reactions or positive and negative.If there is a profit (return) from an asset, then there is also a risk that accompanies it.
The relationship between risk and the expected rate of return (return) is a unidirectional or positive relationship, meaning that if an investor expects a high rate of profit, then he is also willing to take on high risk as well (Mahardika, 2016).But in essence, every investor carries out investment activities in order to get maximum results to increase the value of wealth, but with the smallest possible risk (Zubir, 2011).
One way that can be used by investors to get maximum profit but with minimal risk is to diversify their investments through a portfolio.By diversifying the portfolio, investors need to form a portfolio through a combination of a number of assets in such a way that investment risk can be reduced to a minimum level without reducing the expected return (Tandelilin, 2010).
Zalmi Zubir said "regardless of how you choose the stocks to be included in the portfolio, portfolio tori explains that portfolio risk is lower than the risk of individual stocks in the portfolio because the variance of stock returns as a measure of investment risk overlaps" (Zubir, 2011).That is, it is certain that by making a portfolio, a number of assets owned by investors will have a fixed return value but the existing level of risk can be suppressed.
Forming a stock portfolio means bringing together various existing stocks into one set of assets.In reality, the selection of assets into a portfolio can be done randomly.This means that an investor may choose several stocks from the same sector, or from various sectors without going through any consideration.However, the resulting portfolio is not necessarily an optimal portfolio, because in determining the selection of a stock portfolio, the biggest problem is when selecting stocks that will be used as portfolio candidates (Yunita, 2018).
When it comes to investing, it means that the preferences of each investor greatly influence the decision making of each stock and portfolio they choose.Therefore, it is necessary to pay attention to the return and risk preferences, because there are some investors who are willing to take greater risks (and therefore hope to obtain greater profits).On the other hand, there are also investors who are not willing to take higher risks, so they will choose to invest in companies that are considered safe (Husnan, 2018).
In forming various alternative portfolios, there are many financial ratio approaches that describe the company's financial performance that can be used.One of them is by using the Price to Book Value (PBV) ratio.
The use of the PBV ratio is also supported by several previous studies.Starting from Marangu andJangongo (2014), Shittu, et al. (2016), Majid and Benazir (2015), to Inezwari (2013) in his research resulted that Price to Book Value is related to Growth, Return on Total Assets, Return on Equity, Return per Share, and Dividend per Share so that it is used to predict stock prices and their growth.
In addition to the use of PBV ratios in forming various alternative portfolios, another financial ratio approach that can be used to describe a company's financial performance is by using the Price Earning to Growth (PEG) ratio.The PEG ratio is a function of a company's risk, growth potential, and payout ratio (Damodaran, 2012).The PEG ratio is defined as the Price-Earning ratio divided by the expected growth rate in Earning per Share (Damodaran, 2012).
There have been several previous studies using the PEG ratio approach, including Easton (2004), Lajewardi (2014), I'Ons and Ward (2012), and Cohen (2010).The results state that there is a relationship between the PEG ratio and the expected rate of return which is also used as a tool in predicting abnormal returns.
In addition to using the financial ratio approach to determine the assets that will be included in the portfolio set.There are also active or passive portfolio strategies that investors can also apply.Another study that supports the use of active or passive strategies, conducted by Browne (1999), Lao andFan (2004), Zabiula (2014), as well as Pace, et al. (2016) in his research, which contained both active and passive portfolio strategies, he concluded that the use of an active portfolio strategy proved profitable and provided a better expected rate of return.However, using a passive portfolio strategy can be a more cost-efficient strategy.
After investors form a portfolio that is measured based on the use of financial ratios, and determine the strategy to be used.The portfolio cannot be categorized as an optimal portfolio.The final stage that can be carried out by investors is a very important stage in the stock investment process, at this stage investors need to evaluate the performance of the portfolio that has been formed before.The portfolio then goes through a performance testing process using the Sharpe, Treynor, and Jensen indices until it can be categorized into an optimal portfolio (Halim, 2015).
It can be concluded that stocks that have been measured using financial ratios are then collected into a group to become an efficient portfolio, which is then tested for the Sharpe, Treynor, and Jensen indexes so that they can be categorized into optimal portfolios.The research objectives based on the research questions that have been described in this study are as follows: 1) To find out the simulation results of portfolio formation using the PBV and PEG ratio approach with active and passive strategies on the IDX30 Index for the 2013-2018 period.2) To find out the results of a comparison of returns and risks in a stock portfolio simulation formed from the PBV and PEG ratio approaches with active and passive strategies on the IDX30 Index for the 2013-2018 period.3) To find out the results of the performance evaluation simulation of the Sharpe, Treynor, and Jensen methods on portfolios formed using the PBV and PEG ratio approaches with active and passive strategies on the IDX30 Index for the 2013-2018 period.

Population and Sample
The population used as the object of this research is all stock issuers belonging to the IDX30 Stock Index which are listed on the Indonesia Stock Exchange (IDX).The number of samples that meet the research criteria are 17 issuers which are presented in the following table:

Comparison of Portfolio Return and Risk for Each Strategy
The expected return and risk calculation results for each portfolio and the JCI that have been formed are accumulated and averaged over the six-year research period (2013-2018), then ranked to see the return and risk levels of each portfolio.Information: return portfolio is higher than the average return return market (CSPI) Based on Table 2, the average return on the passive strategy is 26.03%,where there are four portfolios with returns above the average and market returns.Sequentially the portfolios with the highest returns are Medium PEG, High PBV, Low PBV, and High PEG portfolios.The other two portfolios, Low PEG and Medium PBV, have returns below the market average.Source: Author Processed Data (2019) Information: return portfolio is higher than the average return return market (CSPI) Based on Table 3, the average risk in the passive strategy is 34.44%,where there are three portfolios with risk levels below the average and market risk.Sequentially, the portfolios with the lowest risk level are High PEG, Low PEG, and Medium PEG portfolios.The other three portfolios, High PBV, Medium PBV, and Low PBV have above average risk levels.However, in general, the overall portfolio still provides a level of risk above market risk.
Based on Table 2 and Table 3, a portfolio with a Medium PEG ratio can be said to be the best portfolio based on the rate of return provided.Because it can provide the highest rate of return compared to other portfolios, the risk is still classified as one of the low risks because the level of risk provided is still lower than the average, although it is still greater than market risk, which is 1.83% greater compared to market risk and 1.58% less than the average.This decision making is of course more suitable for investors who are classified as risk-takers or investors who tend to be more return oriented so they are willing to take higher risks.
It is different with investors who are classified as risk-averse or investors who tend to play it safe and are more risk oriented so they are willing to accept lower returns.The best portfolio based on the level of risk is the portfolio with the High PEG ratio because it can provide the lowest risk compared to other portfolios.Even so, it does not mean that the return given is the lowest return, the rate of return given is still classified as one of the high returns because it still provides a return of 4.84% better than market returns and also 1.72% better than average.Source: Author Processed Data ( 2019) Information: return portfolio is higher than the average return return market (CSPI) Based on Table 4, the average return on the annual active strategy is 79.43%,where there are two portfolios with returns above the average and market returns.Sequentially from the portfolio with the highest return, namely the High PBV portfolio and High PEG.The other four portfolios, Medium PEG, Medium PBV, Low PEG and High PBV, have below average returns.But overall, the rate of return provided by each portfolio is still above the market rate of return.Source: Author Processed Data (2019) Information: return portfolio is higher than the average return return market (CSPI) Based on Table 5, the average risk in the annual active strategy is 21.66%,where there are two portfolios with below average risk levels.Sequentially from the portfolio with the highest risk, namely the High PBV portfolio and High PEG.The other four portfolios, Medium PEG, Medium PBV, Low PEG and High PBV have risk levels above market risk and the average.However, in general, the overall portfolio still provides a level of risk above market risk.
Based on Tables 4 and 5, a portfolio with a high PBV ratio can be said to be the best portfolio because it provides the highest return with the lowest level of risk.This is in accordance with the purpose of forming a portfolio, which is to get the highest return with the lowest possible risk.A portfolio with a high PBV ratio is suitable for both an investor who is a risk-taker and a risk-averse because this portfolio can provide what is considered by both.Source: Author Processed Data (2019) Information: return portfolio is higher than the average return return market (CSPI) Based on Table 6, the average return on the semiannual active strategy is 90.37%,where there are two portfolios with returns above the average and market returns.Sequentially the portfolios with the highest returns are Low PEG portfolios and High PEG portfolios.The other four portfolios, Medium PEG, High PBV, Medium PBV and Low PBV, have below average returns.But overall, the rate of return provided by each portfolio is still above the market rate of return.Source: Author Processed Data (2019) Information: return portfolio is higher than the average return return market (CSPI) Based on Table 7, the average risk in the semiannual active strategy is 22.04%, where there is only one portfolio with a risk level below the average, namely the High PBV portfolio.The other five portfolios namely Low PEG, High PEG, Medium PEG, Medium PBV, Low PBV have a risk level above market risk and the average.However, in general, the overall portfolio still provides a level of risk above market risk.
Based on Tables 6 and 7, a portfolio with a low PEG ratio can be said to be the best portfolio if this decision is made from the point of view of investors who are classified as risk-takers or investors who tend to be more oriented towards returns so they are willing to bear higher risks.Based on the rate of return provided, the portfolio with the Low PEG ratio provides the highest rate of return compared to other portfolios, the risk is still classified as one of the low risks compared to other portfolios, only 0.1% difference compared to the portfolio with the lowest risk level.and only 0.01% of the average risk.
If the point of view of the investor who makes the decision is an investor who is classified as a risk-averse or an investor who tends to play it safe and is more risk oriented so that he is willing to accept a lower return.The best portfolio based on the level of risk is the portfolio with a high PBV ratio because it can provide the lowest risk compared to other portfolios.The return given is not the lowest return, the rate of return given is still classified as one of the relatively high returns, even though the value is lower than the average, and even then only 0.24% lower, but when compared to market returns, the value is still better with a return rate of 2.17% higher.Judging from each strategy, the semiannual active strategy can be said to be better than the other strategies.The reason is because the rate of return given is much higher than other strategies, even though the level of risk is not the smallest risk, it is bigger than the annual active strategy.However, generate a return that is greater than the average, also has a smaller risk than the average.In the PBV ratio, the best portfolio is shown by the High PBV portfolio, but the level of consistency is not as good as using the PEG ratio, in the semiannual passive and active strategy, the High PBV portfolio shows the rate of return above the average, while in the active semester strategy, the High PBV portfolio shows the low risk level.
In general, both High PEG portfolios and High PBV portfolios do not always produce the highest return on each strategy, nor do the resulting risk levels always have the lowest risk levels.However, the two portfolios are two portfolios that consistently produce a high level of return and a low level of risk.Selection of a portfolio with a high PEG ratio or high PBV can of course be adjusted to the characteristics of each investor himself, whether he is classified as a risk-taker (investors who tend to be more oriented toward returns so they are willing to take on higher risks) or classified as risk-averse ( investors who tend to play it safe and are more risk oriented so they are willing to accept lower returns).
Looking at the results of the study, the rate of return generated by High PEG is classified as a fairly high return, using the best strategy, namely the Semester Active strategy.So if investors are going to invest in stocks based on this research, then a better portfolio is chosen, namely the High PEG portfolio, the High PEG portfolio based on the second semester of 2018 data used as the initial investment period in using the Active Semester strategy with the composition of Unilever Indonesia (UNVR), Kalbe Farma (KLBF), Indofood Sukses Makmur (INDF), Semen Indonesia (SMGR), Bank Negara Indonesia (BBNI), and Astra International (ASII).Investors need to re-calculate using data from the company's financial statements for the next period, while continuing to choose companies that are included in the High PEG portfolio.Using the 5-year Active Semester strategy means that investors need to do 9 additional calculations, namely with the company's financial reports on the IDX30 Index for 2019 semesters one and two, 2020 semesters one and two, 2021 semesters one and two, 2022 semesters one and two, and 2023 semesters One.By investing in the IDX30 Index, investors are investing in the best companies because the IDX30 actually describes the 30 best companies selling their shares on the Indonesian capital market.2021 semesters one and two, 2022 semesters one and two, and 2023 semesters one.By investing in the IDX30 Index, investors are investing in the best companies because the IDX30 actually describes the 30 best companies selling their shares on the Indonesian capital market.2021 semesters one and two, 2022 semesters one and two, and 2023 semesters one.By investing in the IDX30 Index, investors are investing in the best companies because the IDX30 actually describes the 30 best companies selling their shares on the Indonesian capital market.

CONCLUSION
Based on the analysis that has been done, several conclusions can be drawn to answer the research questions, there are; (1) the formation of a portfolio using a high Price Earning to Growth (PEG) ratio and a high Price to Book Value (PBV) shows consistent results, in which the formed portfolio is capable of producing an expected rate of return with a certain level of risk.In using the strategy, the Semester Active strategy is the best strategy because it can provide the best combination of returns and risks compared to the other two strategies.This shows that investors can utilize historical data in the form of financial accounting reports in determining their portfolio composition, (2) a high Price Earning to Growth (PEG) portfolio shows consistent results, in which the formed portfolio is able to produce expected returns with a risk level that exceeds the average of the three strategies.While using the Price to Book Value (PBV) ratio, the best portfolio is shown by a High PBV portfolio, but the level of consistency is not as good as using the PEG ratio, in passive and active annual strategies, a High PBV portfolio shows a rate of return above the average, while in semiannual active strategy, High PBV portfolio indicates a low level of risk, and (3) in general, a portfolio with a high Price to Book Value (PBV) ratio and a high Price Earning to Growth (PEG) consistently always produces the best performance value above the average through both the Sharpe, Treynor and Jensen indices in the use of passive, active strategies.annually, to active semiannually.From the point of view of the use of strategy, the results of the research show that there is a level of consistency in the results of portfolio performance evaluation, where from the overall index, the ranking of the best index performance in a row is an active semiannual strategy, active annually, and lastly is a passive strategy.

Optimal Stock Portfolio Establishment with Active and Passive Strategy Using Price to Book Value and Price Earning to Growth Ratio Approach in IDX30 Index 2013-2018 Period] Vol. 4, No. 9, 2023 Almand
The data used in this research is secondary data.Secondary data is data obtained either from a document or the publication of a research report from the service or agency or other supporting data sources(Darmawan, 2013).The data used in this study will be sourced from secondary data in the form of literature studies and financial report data and stock data.Data analysis technique 1) Collecting data on stock prices of companies that are consistently listed in the ten periods of the IDX30 index on the Indonesia Stock Exchange, namely in the period February 2013-July 2013, Calculating the risk with the Variance () of each stock as well as market risk as reflected in the JCI (Composite Stock Price Index).The formula used is as follows (Tandelilin: 2014: 55):  2 Calculating Beta (  ) and Alpha (  ) of each stock.The Beta formula used is as follows    (Gumanti, 2017: 56):   = Beta of an asset i   = Return On Asset i   =Rate of return (rate of return) market portfolio  2  = Variancereturns market.Alpha Formula which is used as follows(Husnan, 2015: 94):   = (  ) −   .(  )…………………………………………...(3.6)Information:   =Alphasecurities (  ) =Expected returnfrom stock investment i   =Betasi-th security (  ) =Expected returnmarket 6) Calculates the unsystematic risk [  .E(  )] and the variance of the residual error (which is unsystematic risk) unique within the company of each stock.The formula used is as follows (    Zubir, 2011: 99):   2 =   2 −   2 .  2……………………………………………………….(3.7)Information:   2= variance of the residual error   2= Residual variance   2 = Stock betas   2= Market return variance 7) Setting the Risk Free Rate.There are several references that can be used to determine the value of the risk-free ratio (Risk Free Rate).One of them is using the interest rate issued by Bank Indonesia or called the BI Rate.The reference interest rate issued as a new policy that replaces the BI rate starting on August 19 2016, namely the BI 7-Day (Reverse) Repo Rate.The BI 7-day (Reverse) Repo Rate instrument is used as the new policy interest rate because it is considered to be able to quickly influence the money market, banking and the real sector.

Table 2 . Portfolio Returns Ranking on the Use of Passive Strategies
[ Optimal