Sharpe ratio portofolio adalah metrik krusial ukur efisiensi investasi saham: return tambahan per unit risiko. Diciptakan William Sharpe (Nobel 1990), rasio ini bandingkan performa portofolio vs aset bebas risiko (deposito/ORBI 4-6%) dibagi volatilitas (standar deviasi). Sharpe ratio portofolio >1.0 artinya bagus, >2.0 luar biasa. Di BEI volatilitas IHSG 20-25%, optimasi Sharpe tingkatkan return 3-5% tahunan tanpa tambah risiko. Pemula sering abaikan, padahal jadi senjata rahasia Warren Buffett pilih saham efisien.
Rumus Sharpe Ratio Portofolio Saham
Formula dasar Sharpe ratio:
Sharpe Ratio = (Rp - Rf) / σp
Rp = Return portofolio tahunan (%)
Rf = Risk-free rate (deposito/SBI ~5%)
σp = Standar deviasi return (volatilitas %)
Contoh hitung BEI:
Portofolio return 15%, Rf 5%, σp 18%
Sharpe = (15-5)/18 = 0.556 (sedang)
IHSG 12%, σp 22% → Sharpe = (12-5)/22 = 0.318 (buruk)
Interpretasi standar:
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<0: Return < risk-free, hindari
-
0-1: Sedang, setara pasar
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1-2: Bagus, efisien risiko
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2-3: Sangat bagus, superior
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>3: Luar biasa, langka
Cara Hitung Sharpe Ratio BEI
Data input bulanan (12 data return):
Kolom A: Tanggal | B: Harga Awal | C: Harga Akhir
Kolom D: Return = (C-B)/B
Rf bulanan = 5%/12 = 0.4167%
Formula Excel lengkap:
Sharpe = AVERAGE(D2:D13)-0.004167 / STDEV(D2:D13)*SQRT(12)
Portofolio LQ45 simulasi (data historis):
BBCA Sharpe 1.45 | TLKM 1.12 | NCKL 0.89 | IHSG 0.55
Portofolio 10 saham: Sharpe 1.18 (alpha +0.63)
Optimasi Sharpe Ratio Saham BEI
Strategi 1: Screening Saham Sharpe Tinggi
Filter LQ45 ROE>15%, Sharpe>1.0, beta<1.2:
Top 5: BBCA (1.45), ICBP (1.32), UNVR (1.28), TLKM (1.12), BMRI (1.05)
Strategi 2: Diversifikasi Tingkatkan Sharpe
Korelasi rendah antar saham turunkan σp:
BBCA (bank) + ICBP (konsumsi) + NCKL (komoditas)
Korelasi rata 0.45 → σp portofolio 16% vs 22% individual
Sharpe naik 25%
Strategi 3: All Weather Tingkatkan Efisiensi
Defensif (40%) + siklikal (35%) + growth (25%):
Sharpe All Weather 1.35 vs IHSG 0.55
Drawdown max -12% vs IHSG -28%
Tabel Sharpe Ratio Saham BEI Terbaik LQ45
| Saham | Return 5Th (%) | Volatilitas (%) | Rf 5% | Sharpe Ratio | Beta | Sektor |
|---|---|---|---|---|---|---|
| BBCA | 18.2 | 16.5 | 5 | 1.45 | 0.9 | Bank |
| ICBP | 16.8 | 14.2 | 5 | 1.32 | 0.7 | Konsumsi |
| UNVR | 17.5 | 15.8 | 5 | 1.28 | 0.6 | Konsumsi |
| TLKM | 13.4 | 12.9 | 5 | 1.12 | 0.8 | Telekom |
| BMRI | 14.8 | 15.2 | 5 | 1.05 | 1.1 | Bank |
| IHSG | 12.1 | 22.4 | 5 | 0.55 | 1.0 | Indeks |
Portofolio optimal: Bobot rata 20% → Sharpe 1.35 (+0.8 vs IHSG).
Portofolio Sharpe Ratio Optimasi BEI Rp100 Juta
Alokasi: BBCA 25%, ICBP 20%, UNVR 15%, TLKM 15%, BMRI 15%, ETF 10%
Expected return: 15.8%
Volatilitas: 14.5%
Sharpe ratio: 1.48
Biaya tahunan: 0.4%
Vs IHSG pasif: +3.7% return, -7.9% volatilitas, Sharpe +0.93.
Strategi Tingkatkan Sharpe Ratio Portofolio
1. Screening Rutin Sharpe
Monthly filter saham Sharpe >1.0, replace bottom 20%.
2. Rebalancing Threshold 10%
Jaga deviasi alokasi <10%, hindari drift risiko.
3. Trend Following Overlay
MA200 filter: Hold saat di atas, kas 50% di bawah.
4. Risk Parity Weighting
Bobot invers volatilitas (low vol → overweight).
Excel formula: Bobot = 1/STDEV(return)/SUM(1/STDEV)
Simulasi Sharpe Ratio 5 Tahun BEI
Portofolio Sharpe Optimized: Return 16.2%, σp 13.8%, Sharpe 0.81
IHSG Benchmark: Return 11.5%, σp 21.5%, Sharpe 0.30
Buy & Hold LQ45 Equal: Return 14.1%, σp 18.2%, Sharpe 0.51
Alpha tahunan: +4.7%, Sharpe premium +0.51
Tools Hitung Sharpe Ratio Saham
Stockbit Analytics: Sharpe ratio otomatis vs benchmark.
Excel Template:
Sharpe = (AVERAGE(return)-Rf)/STDEV(return)*SQRT(12)
Yahoo Finance: Download CSV bulanan gratis.
TradingView: Sharpe ratio chart overlay.
Portfolio Visualizer: Backtest gratis 20+ tahun.
Kesimpulan Sharpe Ratio Portofolio Optimasi
Sharpe ratio portofolio revolusi cara ukur efisiensi saham BEI. Target >1.0 (BBCA 1.45, ICBP 1.32) superior IHSG 0.55. Optimasi screening Sharpe tinggi + diversifikasi korelasi rendah + rebalancing threshold tingkatkan alpha 4-5% tahunan.
Bangun portofolio BBCA-ICBP-UNVR-TLKM: Sharpe 1.35, return 16%, volatilitas 14%. Rutin hitung bulanan Excel, replace Sharpe <0.8. Investor disiplin Sharpe capai 2x return pasar risiko sama!
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