Performance Evaluation of State-Owned Company Stocks in Indonesia

A Portfolio Formation Approach


  • Dwi Fitrizal Salim
  • Indah Amallia Rizki Telkom University
  • Nora Amelda Rizal



State-owned enterprises, Portfolio investment, Equity investments, Strategy, Beta, Stock Price Volatility


This study delves into the performance of Indonesian state-owned enterprises (BUMN) stocks from February 2021 to October 2023, attracting investor attention due to their strategic position in the national economy. However, the stock performance during this period exhibited suboptimal movements, failing to surpass the returns of the Indonesia Stock Exchange Composite Index (IHSG). To address this, a prudent investment strategy is essential, encompassing portfolio construction and management. In portfolio construction, the study employs proven smart beta strategies, known for delivering superior returns compared to traditional portfolios. Portfolio management involves testing two strategies: a passive approach utilizing the buy-and-hold technique and an active approach employing portfolio recomposition. This quantitative descriptive study utilizes historical closing price data, forming portfolios based on selected beta groups. Weighting is adjusted, with higher beta stocks receiving a larger allocation in the portfolio. The research compares two beta groups (high and low) and two investment strategies (active and passive) using the Sharpe, Treynor, and Jensen indices. The results indicate that the high-beta group and active strategy outperform, aligning with the investment adage "high risk, high return." The high-beta group yields higher returns due to its increased risk profile, consistent with the notion of high-risk, high-reward investments. The active strategy provides opportunities to discard underperforming stocks and enhance the weighting of well-performing ones during recomposition. These findings are valuable for investors seeking to capitalize on BUMN stocks at lower prices. The study aids in minimizing negative returns (losses) by identifying the most suitable strategy for BUMN portfolios. Investors can leverage this research to make informed decisions and navigate the challenges associated with investing in state-owned enterprises.


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How to Cite

Salim, D. F., Rizki, I. A., & Rizal, N. A. (2024). Performance Evaluation of State-Owned Company Stocks in Indonesia: A Portfolio Formation Approach. International Journal of Finance & Banking Studies (2147-4486), 12(4), 14–26.