Portfolio construction and performance measurement for consumer products sector in the Kuala Lumpur Stock Exchange (KLSE) / Noor Majeedah Abdillah

Portfolio construction and performance measurement for consumer products sector in the Kuala Lumpur Stock Exchange (KLSE) / Noor Majeedah Abdillah

This project paper focuses on the construction portfolio and measurement performance for the Consumer Products sector that is listed in Kuala Lumpur Stock Exchange (KLSE). The main issue or problem in this topic is about the methods that suitable for an investor to optimize the return of and r...

Full description

Bibliographic Details
Main Author: Abdillah, Noor Majeedah
Format: Student Project
Language:English
Published: Faculty of Business Management 2017
Subjects:
Stock exchanges. Insider trading in securities
Stock price indexes. Stock quotations
Online Access:http://ir.uitm.edu.my/id/eprint/22586/
http://ir.uitm.edu.my/id/eprint/22586/2/PPb_NOOR%20MAJEEDAH%20ABDILLAH%20J%20BM17_5%20PAGES.pdf
id uitm-22586
recordtype eprints
spelling uitm-225862019-03-06T09:25:48Z http://ir.uitm.edu.my/id/eprint/22586/ Portfolio construction and performance measurement for consumer products sector in the Kuala Lumpur Stock Exchange (KLSE) / Noor Majeedah Abdillah Abdillah, Noor Majeedah Stock exchanges. Insider trading in securities Stock price indexes. Stock quotations This project paper focuses on the construction portfolio and measurement performance for the Consumer Products sector that is listed in Kuala Lumpur Stock Exchange (KLSE). The main issue or problem in this topic is about the methods that suitable for an investor to optimize the return of and reduce the risk in the portfolio. By using the construction portfolio and performance measurement on the stocks that an investor wants, they would know the stock that has the maximum portfolio return while minimizing the risk. The main objective of this study is to construct the optimum portfolio selection strategies and to measures the performance of Consumer Products sector in the context of Kuala Lumpur Composite Index (KLCI). In order to construct the portfolio of the stocks in the Consumer Products sector, the Simple Sharpe Portfolio Optimization or Efficient Frontier Model has been used from year 2006 until year 2010. In addition, the measures performance of Consumer Products sector is based on the Portfolio Management Performance Model (Sharpe Index, Treynor Index and Jensen Index) from the year 2011 until year 2015. The performance of the Consumer Products sector is compared with the market which is KLCI. The data collected from DataStream provided by UiTM. The data needed is Return Index for every stock, beta for every stock, Return Index for KLCI, and the 3 month Treasury bill Discount Rate for the risk-free rate. The Abnormal Return measurement is used in order to know the expectancy between the return portfolios and return market. The pair T-Test is used for the compare the performance of the selection stocks with the market which is KLCI. After the analysis of data from 130 companies from Consumer Products sector listed in KLSE, there is only 92 companies from Consumer Products sector that have an appropriate data to be included in this research study. For the Simple Sharpe Portfolio Optimization or Efficient Frontier Model, the 92 stocks from Consumer Products sector is construct in the portfolio selection strategies to get the optimum portfolio selection strategies. After that, the best companies will be selected and evaluate in the Portfolio Management Performance Model (Sharpe Index, Treynor Index and Jensen Index). In the performance measurement of the Consumer Products sector, there are also 17 stocks from Consumer Products sector to be included in this research study. The companies from the Consumer Products sector will be rank based on its performance and then compare with the market performance which is the KLCI. Faculty of Business Management 2017 Student Project NonPeerReviewed text en http://ir.uitm.edu.my/id/eprint/22586/2/PPb_NOOR%20MAJEEDAH%20ABDILLAH%20J%20BM17_5%20PAGES.pdf Abdillah, Noor Majeedah (2017) Portfolio construction and performance measurement for consumer products sector in the Kuala Lumpur Stock Exchange (KLSE) / Noor Majeedah Abdillah. [Student Project] (Submitted)
repository_type Digital Repository
institution_category Local University
institution Universiti Teknologi MARA
building UiTM Institutional Repository
collection Online Access
language English
topic Stock exchanges. Insider trading in securities
Stock price indexes. Stock quotations
spellingShingle Stock exchanges. Insider trading in securities
Stock price indexes. Stock quotations
Abdillah, Noor Majeedah
Portfolio construction and performance measurement for consumer products sector in the Kuala Lumpur Stock Exchange (KLSE) / Noor Majeedah Abdillah
description This project paper focuses on the construction portfolio and measurement performance for the Consumer Products sector that is listed in Kuala Lumpur Stock Exchange (KLSE). The main issue or problem in this topic is about the methods that suitable for an investor to optimize the return of and reduce the risk in the portfolio. By using the construction portfolio and performance measurement on the stocks that an investor wants, they would know the stock that has the maximum portfolio return while minimizing the risk. The main objective of this study is to construct the optimum portfolio selection strategies and to measures the performance of Consumer Products sector in the context of Kuala Lumpur Composite Index (KLCI). In order to construct the portfolio of the stocks in the Consumer Products sector, the Simple Sharpe Portfolio Optimization or Efficient Frontier Model has been used from year 2006 until year 2010. In addition, the measures performance of Consumer Products sector is based on the Portfolio Management Performance Model (Sharpe Index, Treynor Index and Jensen Index) from the year 2011 until year 2015. The performance of the Consumer Products sector is compared with the market which is KLCI. The data collected from DataStream provided by UiTM. The data needed is Return Index for every stock, beta for every stock, Return Index for KLCI, and the 3 month Treasury bill Discount Rate for the risk-free rate. The Abnormal Return measurement is used in order to know the expectancy between the return portfolios and return market. The pair T-Test is used for the compare the performance of the selection stocks with the market which is KLCI. After the analysis of data from 130 companies from Consumer Products sector listed in KLSE, there is only 92 companies from Consumer Products sector that have an appropriate data to be included in this research study. For the Simple Sharpe Portfolio Optimization or Efficient Frontier Model, the 92 stocks from Consumer Products sector is construct in the portfolio selection strategies to get the optimum portfolio selection strategies. After that, the best companies will be selected and evaluate in the Portfolio Management Performance Model (Sharpe Index, Treynor Index and Jensen Index). In the performance measurement of the Consumer Products sector, there are also 17 stocks from Consumer Products sector to be included in this research study. The companies from the Consumer Products sector will be rank based on its performance and then compare with the market performance which is the KLCI.
format Student Project
author Abdillah, Noor Majeedah
author_facet Abdillah, Noor Majeedah
author_sort Abdillah, Noor Majeedah
title Portfolio construction and performance measurement for consumer products sector in the Kuala Lumpur Stock Exchange (KLSE) / Noor Majeedah Abdillah
title_short Portfolio construction and performance measurement for consumer products sector in the Kuala Lumpur Stock Exchange (KLSE) / Noor Majeedah Abdillah
title_full Portfolio construction and performance measurement for consumer products sector in the Kuala Lumpur Stock Exchange (KLSE) / Noor Majeedah Abdillah
title_fullStr Portfolio construction and performance measurement for consumer products sector in the Kuala Lumpur Stock Exchange (KLSE) / Noor Majeedah Abdillah
title_full_unstemmed Portfolio construction and performance measurement for consumer products sector in the Kuala Lumpur Stock Exchange (KLSE) / Noor Majeedah Abdillah
title_sort portfolio construction and performance measurement for consumer products sector in the kuala lumpur stock exchange (klse) / noor majeedah abdillah
publisher Faculty of Business Management
publishDate 2017
url http://ir.uitm.edu.my/id/eprint/22586/
http://ir.uitm.edu.my/id/eprint/22586/2/PPb_NOOR%20MAJEEDAH%20ABDILLAH%20J%20BM17_5%20PAGES.pdf
first_indexed 2023-09-18T23:08:58Z
last_indexed 2023-09-18T23:08:58Z
_version_ 1777418674027626496

Similar Items