SEMINAR ONLINE STATISTIKA DAN SAINS DATA

Statistika & Sains Data

di Dunia Pasar Modal
Program Studi Statistika dan Sains Data
Departemen Statistika - IPB University
3 JUNI 2020
Farid Abdurrahman
Assistant Vice President - Investment Banking
PT Mirae Asset Sekuritas Indonesia
Profil

Farid Abdurrahman
• 2000-2005 : Departemen Statistika – IPB University
• 2005-2012 : Debt Research PT Danareksa Sekuritas
• 2012-2013 : Portfolio Manager/Analyst PT Indo Premier Investment Management
• 2013-2016 : Fixed Income Research PT BCA Sekuritas
• 2016-sekarang : Investment Banking PT Mirae Asset Sekuritas Indonesia

Disclaimer:
Materi presentasi ini merupakan pandangan pribadi, tidak mewakili institusi apapun.

2
 Pelaku Pasar Modal
INSTITUSI PROFESI di Perusahaan Efek & Manajemen Investasi:
• Pelaku Utama Pasar Modal:
Perusahaan Efek: Manajemen Investasi:
Perusahaan Efek, Manajemen Investasi, Emiten,
Investor 1. Broker, Dealer, Sales (Equity Capital Market/Debt Capital
Market) – WPPE, Market 1. Portfolio Manager – WMI, Market,
• Regulator: Ekonomi, Finance, Statistika & Sains
Pemerintah RI, Kementerian Keuangan, OJK, 2. Settlement/Penyelesaian Transaksi Efek – WPPE, Market Data
Bursa Efek, Kustodian Sentral, KPEI.
2. Portfolio Analyst - WMI, Ekonomi,
• Pendukung: 3. Trader (ECM/DCM) – WPPE, Market, Ekonomi, Finance, Finance, Statistika & Sains Data
Statistika & Sains Data
Konsultan Hukum, Notaris, Wali Amanat, Badan 3. Sales/Marketing – WPPE/WAPERD,
Administrasi Efek 4. Investment Banker – WPEE, Corporate Finance Market

5. Research Analyst:

• Equity Research:
• Fundamental Analyst: Accounting, Finance
• Technical Analyst: Market, Statistika & Sains Data

• Fixed Income/Debt Research:

• Credit Analyst: Accounting, Finance, Statistika &
Sains Data
• Debt Market Analyst: Ekonomi, Statistika & Sains
Data

• Economist/Econometrician: Ekonomi, Statistika & Sains

Data

6. Quant Trading, Algo Trading: Market, Ekonomi, Finance,

Statistika & Sains Data
3
Golden Rules

BUY LOW, Buy low, sell high

SELL HIGH Buy high, sell low

HIGH RISK, Risk profiling

Managing risk & return:
HIGH RETURN mencari return yang optimal pada tingkat risiko yang dapat ditoleransi

4
Mengapa Peran Statistician & Data Scientist Dibutuhkan?

1. Big Data: Di akhir 2019, terdapat 1.570 instrument investasi dengan market cap &
outstanding lebih dari Rp10 ribu triliun. Di sepanjang 2019, rata-rata turnover harian transaksi di
pasar modal senilai Rp38 triliun.

Market Cap &

Instrument Number Daily Volume (bn unit) Daily Value (IDR bn) Daily Frequency (X)
Outstanding (IDR bn)
Equity 668 7,265,016 15 9,106 469
Corporate Bond 805 445,101 1,579 1,570 149
Government Bond 97 2,752,741 28,059 27,660 1,123
Total 1,570 10,462,858 29,653 38,336 1,741
Sumber: IDX Yearly Statistics December 2019

2. Data extraction: sehingga berguna dan dapat mendengarkan suara pasar.

3. Simplicity: analisa, research report, teaser, panggilan telepon.
4. Timing: siapa cepat dia dapat.
5
Proses Statistika & Sains Data

Hipotesis

Pengumpulan data: dari Bloomberg, Thomson Reuters, BPS, CEIC, Datastream, KSEI, OJK, BI, BEI, Perusahaan,
Pemerintah, Kementerian terkait, Asosiasi Sektor terkait, berita.

Pemrosesan data: Excel, Database, Programming.

Analisa data: eksploratif, kuantitatif.

Kesimpulan/Rekomendasi: valuasi, beli, jual, nilai forecast, dll.

Tidak harus metode statistika yang canggih, metode statistika sederhana bisa bermanfaat.

6
 01. Perhitungan Index (1)
INDEKS HARGA SAHAM
Year 0
IHSG dihitung Bursa setiap saat pada jam bursa
Saham Close Price Market Value Price x MV
Saham A 2,500 16,500 41,250,000
Saham B 12,600 56,040 706,104,000 𝑛
Saham C 380 667,000 253,460,000 1
Saham D 770 2,090 1,609,300 𝐴𝑟𝑖𝑡ℎ𝑚𝑒𝑡𝑖𝑐 𝑀𝑒𝑎𝑛 = ෍ 𝑥𝑖 Menghitung index
Saham E 800 365,090 292,072,000 𝑛
Total 1,106,720 1,294,495,300 𝑖=1

Index Harga Saham

Average Price (Equal Weighting) 3,410 =simple average close price
1
Wieghted Average Price by MV 1,170 =weighted average price by MV 𝑛 𝑛
Year Index Return Return + 1 Rebase Index 𝐺𝑒𝑜𝑚𝑒𝑡𝑟𝑖𝑐 𝑀𝑒𝑎𝑛 = ෑ 𝑥𝑖
Year 0 (Initial) 1,170 100
Year 1 1,521 30.00% 1.30 130 𝑖
Year 2 882 -42.00% 0.58 75
Year 3 1,014 15.00% 1.15 87 Memanfaatkan index
Year 4 1,095 8.00% 1.08 94

Year 0 to Year 4 Performance 1

=(Index Year 4 /Index Year 0 – 1 ) / 4
Simple Annual Growth -1.59%
=(Index Year 4 /Index Year 0 ) ^ (1/4) – 1
-1.59%
𝑥𝑛 𝑛
Compounded Annual Growth Rate -1.63% -1.63%
𝐶𝐴𝐺𝑅 = −1
Arithmetic Mean
Geometric Mean
2.75%
=Rataan Return Year 1 s.d. Year 4 -1.63%
𝑥0
=Rataan Geometrik Return+1

7
 01. Perhitungan Index (2)
Indices Statistics GOVERNMENT BOND INDICES
Date Interest Price Total WA WA Sensitivity: Sensitivity: WA Total Total
WA WA Number of
Return Return Return Tenor Modified Price changes if Price changes if Coupon Market Outstanding
Index Index Index
Yield (%)
(years) Duration
Convexity
yield -10bps yield +10bps (%)
Constituent
Value (Rp T) (Rp T) Index Obligasi tidak disediakan Bursa
Government bond broad indices
3-Feb-09 100.00 100.00 100.00 11.67 10.45 4.99 47.12 0.50 -0.50 11.86 40 354.43 365.38
30-Dec-09 110.63 110.60 122.35 9.58 10.79 5.34 54.64 0.59 -0.59 11.72 38 400.94 376.59
30-Dec-10 121.81 122.87 149.65 7.74 11.16 5.93 64.27 0.73 -0.73 11.03 37 510.27 443.05 Kriteria Seleksi
30-Dec-11 133.02 138.91 184.76 6.20 12.39 7.00 84.21 0.98 -0.97 10.46 38 677.65 542.69
28-Dec-12 143.59 145.77 209.29 5.50 12.71 7.44 92.08 1.09 -1.08 9.66 39 721.36 557.26
30-Dec-13 155.42 116.76 181.45 8.59 12.06 6.56 73.53 0.77 -0.76 9.38 41 713.61 705.11
30-Dec-14 168.96 121.67 205.55 8.05 11.98 6.77 75.62 0.83 -0.82 9.33 39 1,029.87 978.35 Issuer
8-Jul-15 176.40 120.01 211.68 8.28 11.47 6.52 71.19 0.79 -0.78 9.33 39 1,033.04 994.45 Government of Indonesia.
Government bond short-term indices
3-Feb-09 100.00 100.00 100.00 10.79 3.12 2.43 8.87 0.24 -0.24 12.95 18 115.51 107.38 Currency
30-Dec-09 110.98 104.22 115.66 8.04 2.77 2.25 7.76 0.23 -0.23 12.70 17 122.05 109.13 Bonds must be issued in Indonesia Rupiah (IDR) denomination.
30-Dec-10 122.19 105.81 129.29 6.10 2.50 2.12 7.05 0.22 -0.22 11.89 13 123.13 108.59
30-Dec-11 133.45 105.22 140.41 4.95 2.58 2.21 7.84 0.23 -0.23 11.28 11 122.68 108.13
28-Dec-12 144.05 102.76 148.02 4.51 2.95 2.53 9.49 0.26 -0.26 9.93 9 113.52 99.74 Market of issue
30-Dec-13 155.91 92.63 144.41 7.72 2.83 2.40 8.70 0.22 -0.22 9.57 10 113.04 110.26 Bonds must be issued in Indonesia and listed in the Indonesia Stock Exchange (IDX).
30-Dec-14 169.49 92.81 157.31 7.62 3.42 2.85 11.29 0.27 -0.26 9.46 10 150.85 145.80
8-Jul-15 176.96 92.13 163.03 7.77 2.91 2.46 8.77 0.23 -0.23 9.46 10 146.92 142.85
Coupon
Government bond medium-term indices
Bonds must have a fixed coupon schedule or FR series only.
3-Feb-09 100.00 100.00 100.00 11.47 7.21 4.77 31.81 0.48 -0.48 11.01 8 61.27 63.77
30-Dec-09 109.67 110.64 121.34 9.48 7.30 4.91 33.84 0.55 -0.54 11.05 7 63.63 59.62
30-Dec-10 120.75 123.62 149.26 7.30 7.54 5.22 37.66 0.65 -0.64 10.78 8 88.21 74.22 Maturity
30-Dec-11 131.86 134.06 176.76 5.84 8.11 5.68 44.11 0.76 -0.76 10.60 9 132.28 102.47
Each bond must have maturity greater than six month.
28-Dec-12 142.34 139.24 198.17 5.13 8.34 5.96 47.26 0.83 -0.83 10.41 11 179.31 134.74
30-Dec-13 154.06 114.02 175.64 8.42 8.00 5.54 41.82 0.63 -0.63 9.86 11 193.12 184.13
30-Dec-14
8-Jul-15
167.48
174.86
117.05
114.38
196.03
199.99
7.87
8.26
8.21
7.64
5.72
5.38
44.29
39.34
0.67
0.62
-0.67
-0.61
9.77
9.77
11
11
336.74
337.96
314.44
322.69
Age
Each bonds must have age greater than one month.
Government bond long-term indices
3-Feb-09
30-Dec-09
100.00
110.75
100.00
114.24
100.00
126.52
12.36
10.61
16.34
16.37
6.74
7.22
77.28
87.37
0.68
0.83
-0.67
-0.82
10.94
10.87
14
14
177.64
215.26
194.23
207.83
Pricing
30-Dec-10 121.94 132.54 161.61 8.68 15.79 7.72 95.69 1.03 -1.02 10.46 16 298.92 260.24
Each bond must have daily close price. If there is no price in the particular date, previous day price is used.
30-Dec-11 133.17 158.57 211.12 6.74 16.58 8.79 118.91 1.40 -1.39 9.89 18 422.70 332.09
28-Dec-12
30-Dec-13
143.75
155.59
170.38
130.69
244.88
203.31
5.97
8.93
17.12
16.55
9.36
8.20
132.72
106.54
1.61
1.08
-1.58
-1.06
9.09
9.01
19
20
428.53
407.46
322.78
410.72
Size
30-Dec-14 169.14 138.30 233.89 8.29 16.71 8.52 112.97 1.19 -1.17 8.99 18 542.28 518.10
All eligible bonds with any outstanding amount are included into the indices.
8-Jul-15 176.59 136.80 241.55 8.43 16.13 8.30 107.56 1.14 -1.13 8.99 18 548.17 528.91

Sumber: INDICES METHODOLOGY – 13 July 2015 | Farid Abdurrahman – BCA Sekuritas

8
02. Prediksi Harga/Yield
PREDIKSI INDEKS HARGA SAHAM PREDIKSI YIELD OBLIGASI SUN 10-TAHUN
Variabel ekonomi dan pasar
Variabel Independen YIELD SUN vs Variabel Dependen YIELD SUN 10-tahun
% % % % %
14 20 1.4 20 6 20

1. Pendekatan Bottom Up 12
18
16
1.3
1.2
18
16 5
18
16

• Analisis Fundamental 10
8
14
12
1.1
1.0
14
12
4 14
12

• Agregat Saham Kapitalisasi

10 10 3 10
6 0.9
8 8 8
6 0.8 2 6
6
Besar karena menggunakan
4
4 0.7 4 4
2 1
2 0.6 2 2
weighted arithmetic mean 0 0 0.5 0 0 0

1-Apr-13

1-Apr-13
1-Dec-05

1-Sep-08

1-Dec-05

1-Sep-08
1-Jan-05

1-Jul-10

1-Mar-14
1-Feb-15

1-Mar-14
1-Feb-15
1-Oct-07

1-May-12

1-Jan-05

1-Oct-07

1-May-12
1-Nov-06

1-Aug-09

1-Jun-11

1-Nov-06

1-Aug-09
1-Jul-10
1-Jun-11
1-Jan-12
1-Jan-05
1-Jan-06
1-Jan-07
1-Jan-08
1-Jan-09
1-Jan-10
1-Jan-11

1-Jan-13
1-Jan-14
1-Jan-15
BI Rate Yield 10-yr (RHS) USDIDR(t)/USDIDR(t-12mo) Yield 10-yr (RHS) UST yield 10-yr Yield 10-yr (RHS)

Sumber: Bloomberg, BCAS

OLS, VAR, VECM
Analisis Sensitivitas: simulasi monte-carlo
2. Pendekatan Top Down Assumptions
• Variabel Makroekonomi & pasar
Yield SUN Probability of
UST yield
BI Rate (%) USDIDR 10-yr F (%) Yield SUN 10-yr F
10-yr (%)
• IHSG bersifat forward looking StDev 0.26 0.26 420 0.41

Ekonomi +3 StDev
+2 StDev
3.65
3.39
7.79
7.53
15,386
14,966
9.73
9.32

99.73%
95.45%
68.27%
+1 StDev 3.14 7.26 14,545 8.91
Mean 2.88 7.00 14,125 8.50
-1 StDev 2.62 6.74 13,705 8.09
-2 StDev 2.36 6.48 13,284 7.68
-3 StDev 2.10 6.22 12,864 7.27

Sumber: BCAS
Sumber: MARKET OUTLOOK – 25 January 2015 | Farid Abdurrahman – BCA Sekuritas 9
 03. Yield Curve: Term Structure of Interest Rates

NSS Yield Curve Obligasi SUN Konsep NSS Model: Time Value of Money
8.5

Coupon
Yield to Maturity (%)

8.0 Coupon Zero

Discount Bond
Bond Coupon
Factor Yield
Yield Curve
7.5 Curve

7.0
Constant YTM &
Yield Curve
Coupon effect
6.5
Actual Yield

6.0
NSS Model
0 5 10 15 20 25 30 • Tujuan: meminimumkan Sum
Term to Maturity (years) Square Yield Error
• Program: Solver Excel
• Non-Linear Curve Fitting • Metode:
• Generalized Reduced
• Kandidat Model:
Gradient (GRG) Non-Linear
• Spline Model
Multistart: Smooth Non-
• Polinominal Model linear Global Minima
• Nelson Siegel Svensson (NSS) Model: level, slope, two humps • Simplex LP: Linear
• Berbasis Time Value of Money • Evolutionary: Non-smooth Sumber: engineerexcel.com
Non-linear
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=883856 10
 04. Trading Ideas: Valuasi berdasarkan Yield Curve
price yield model cheap vs dear . z-value
Dua tujuan: GOV'T SECURITIES VALUATION tenor dur convex
last chg last chg price yield -0.5 -0.25 0 0.25 0.5 -1 -0.5 0 0.5 1

1 FR0055 Sep-16 7.38% 0.21 0.21 0.15 100.25 3.0bps 6.04 -15.6bps
• Investor: mengoptimalkan return of investment 2 FR0060 Apr-17 6.25% 0.80 0.76 0.96 99.73 2.0bps 6.59 -2.5bps 99.69 6.65 -0.03 -0.04
3 FR0028 Jul-17 10.00% 1.05 0.95 1.46 103.12 -45.6bps 6.84 43.1bps 103.20 6.76 0.06 0.08

• Perusahaan Efek: meningkatkan brokerage fee. 4

5
FR0066
FR0032
May-18
Jul-18
5.25%
15.00%
1.88
2.05
1.74
1.69
3.98
4.26
96.85
115.07
7.2bps
7.8bps
7.07
6.95
-4.0bps
-4.6bps
96.81
114.78
7.09
7.09
-0.02
0.11
-0.23
1.14

6 FR0038 Aug-18 11.60% 2.13 1.82 4.65 108.23 0.0bps 7.35 0.0bps 108.66 7.13 -0.12 -1.37
7 FR0048 Sep-18 9.00% 2.21 1.94 5.08 103.67 -7.9bps 7.16 3.4bps 103.68 7.16 -0.01 0.14

8 FR0069 Apr-19 7.88% 2.80 2.44 7.66 101.61 11.9bps 7.22 -4.8bps 101.48 7.27 -0.01 -0.54
Gagasan Valuasi: 9 FR0036 Sep-19 11.50% 3.21 2.63 9.23 111.81 -14.2bps 7.30 4.1bps 111.76 7.31 0.05 0.61

10 FR0031 Nov-20 11.00% 4.38 3.48 15.49 113.32 16.3bps 7.38 -4.3bps 113.15 7.42 0.03 0.50
NSS Yield Curve Obligasi SUN 11 FR0034 Jun-21 12.80% 4.96 3.79 18.38 121.93 -5.6bps 7.43 0.9bps 121.84 7.45 -0.06 -0.97

12 FR0053 Jul-21 8.25% 5.05 3.95 20.58 103.44 34.9bps 7.42 -8.3bps 103.21 7.47 0.16 2.67
8.5
13 FR0061 May-22 7.00% 5.88 4.69 27.28 97.69 1.0bps 7.49 -0.2bps 97.56 7.52 -0.05 -0.36
Titik di atas kurva: Cheap 14 FR0035 Jun-22 12.90% 5.96 4.35 24.50 125.56 -17.6bps 7.50 2.8bps 125.58 7.50 0.05 -0.24
Yield to Maturity (%)

8.0 15 FR0043 Jul-22 10.25% 6.05 4.39 26.37 112.79 0.1bps 7.57 -0.2bps 113.10 7.51 0.06 0.41

16 FR0063 May-23 5.63% 6.88 5.48 36.79 89.70 25.6bps 7.57 -5.2bps 89.73 7.57 -0.10 -0.81

17 FR0046 Jul-23 9.50% 7.05 5.00 34.14 110.15 -22.5bps 7.61 3.9bps 110.47 7.55 -0.21 -0.48
7.5 18 FR0039 Aug-23 11.75% 7.13 4.88 32.99 122.40 -53.9bps 7.62 8.5bps 122.82 7.55 -0.23 -2.03

19 FR0070 Mar-24 8.38% 7.71 5.54 40.59 104.69 -4.0bps 7.56 0.6bps 104.53 7.58 0.11 0.61

20 FR0044 Sep-24 10.00% 8.21 5.61 42.69 114.38 -26.2bps 7.61 3.9bps 114.47 7.60 0.04 -0.88
7.0
21 FR0040 Sep-25 11.00% 9.21 5.95 49.28 121.55 61.8bps 7.69 -8.5bps 121.99 7.63 -0.16 -0.68
Titik di bawah kurva: Dear Yield Curve 22 FR0037 Sep-26 12.00% 10.21 6.26 55.78 130.01 106.9bps 7.70 -12.9bps 130.31 7.66 0.00 0.12

6.5 23 FR0056 Sep-26 8.38% 10.21 6.75 62.14 105.72 78.1bps 7.56 -10.8bps 104.82 7.68 0.32 1.96
Actual Yield 24 FR0059 May-27 7.00% 10.88 7.35 71.33 94.74 -7.0bps 7.72 1.0bps 94.75 7.72 -0.22 -1.97
25 FR0042 Jul-27 10.25% 11.05 6.69 65.26 118.64 -27.9bps 7.71 3.3bps 118.69 7.70 0.00 -1.15
6.0 26 FR0047 Feb-28 10.00% 11.63 6.99 70.55 117.00 -46.3bps 7.75 5.4bps 117.20 7.73 -0.08 -1.09
0 5 10 15 20 25 30 11.88 7.97 83.94 87.18 7.80 87.38 7.77
27 FR0064 May-28 6.13% -16.4bps 2.4bps -0.08 -1.14

Term to Maturity (years) 28 FR0071 Mar-29 9.00% 12.71 7.58 82.21 109.64 42.7bps 7.79 -5.0bps 109.73 7.78 0.29 1.67
29 FR0052 Aug-30 10.50% 14.13 7.72 89.81 122.16 54.7bps 7.87 -5.6bps 122.65 7.82 0.04 1.03

30 FR0073 May-31 8.75% 14.88 8.43 101.96 108.13 76.4bps 7.81 -8.4bps 107.68 7.86 0.42 1.46
Benchmark Bonds: tenor 5, 10, 15, 20 tahun selalu Dear? 31 FR0054 Jul-31 9.50% 15.05 8.09 100.27 113.90 70.2bps 7.90 -7.4bps 114.29 7.86 -0.04 0.20
32 FR0058 Jun-32 8.25% 15.96 8.89 113.09 103.32 43.8bps 7.88 -4.7bps 103.07 7.91 0.05 1.34
Cheap Dear: spread yield aktual vs yield model 33 FR0065 May-33 6.63% 16.88 9.50 130.10 88.29 -15.1bps 7.89 1.8bps 87.70 7.96 -0.05 -1.27
menggunakan data historis trailing 20 hari. 34 FR0068 Mar-34 8.38% 17.71 9.12 127.18 104.17 71.6bps 7.93 -7.4bps 103.84 7.96 -0.01 0.84

35 FR0072 May-36 8.25% 19.88 9.80 146.51 103.99 89.3bps 7.85 -8.7bps 102.15 8.03 0.40 1.04
Z-Value: Standardisasi atau Normal Baku Cheap Dear, 36 FR0045 May-37 9.75% 20.88 9.59 144.27 117.03 45.7bps 8.05 -4.0bps 117.19 8.04 -0.12 -0.26

menggunakan data historis trailing 20 hari. 37 FR0050 Jul-38 10.50% 22.05 9.39 148.82 124.57 -114.4bps 8.09 9.3bps 125.02 8.06 -0.36 -1.46

38 FR0057 May-41 9.50% 24.88 10.17 170.14 113.35 -72.7bps 8.23 6.2bps 114.59 8.12 -0.44 -1.91

39 FR0062 Apr-42 6.38% 25.80 11.01 200.31 80.923 -58.9bps 8.156 6.4bps 80.61 8.19 0.31 -0.10

40 FR0067 Feb-44 8.75% 27.63 10.39 189.71 ##### 19.9bps 8.276 -1.7bps 106.23 8.18 -0.23 0.79

Sumber: BCAS INSIGHT– 29 Juni 2016 | Farid Abdurrahman – BCA Sekuritas

11
 05. Pengukuran Risk and Return
MV Efficient Frontier
• Mencari instruments: higher return, sesuai dengan profil risiko.
• Data: return instrument investasi dalam interval waktu tertentu.
• MV Efficient Frotier - Markowitz
• Rate of Return = CAGR (GMEAN)
• Risk Tolerance = Volatility Risk (VARIANCE)
• Koefisien Keragaman = StDev/Mean
• Sharpe Ratio:
• Adj Return / Std. Deviation of Adj Return
• Adj Return = Return Portfolio – Risk Free Return Sumber: Investopedia
• Risk Free Return = yield SPN Pemerintah

Sharpe Ratio

Sumber: IPOT Fund - 29 Mei 2020 12

 06. Risiko Kredit: Kasus Bisnis Operasional

Kasus Bisnis Operasional: Histogram spread harga high - low

• Broker membutuhkan pendanaan transaksi obligasi
SUN senilai 90% dari nilai transaksi dari Bank dalam
hari yang sama (intraday).
• Bank memiliki risiko kredit ketika terjadi perubahan
harga drastis terjadi di pasar dari tinggi ke rendah
atau rendah ke tinggi dan broker gagal bertransaksi
sisi lawan intraday. (Ingat bahwa broker melayani
sisi jual dan sisi beli investor)
• Bank tidak mau memberikan pendanaan jika risiko
kredit tersebut tinggi. (Bank clueless tingkat risiko
yang bisa mereka terima di berapa)

Data:
sumber: trindamsn.blogspot.com
Harga Low, Harga High, Harga Close, Volume, Frequency
(LHCVF) harian per seri obligasi.

YOU GUESSED IT….

13
07. Cluster Analysis

Pengelompokan saham/obligasi yang memiliki

karakter risk & return mirip.
• Manajemen portofolio: diversifikasi risiko.
• Kemungkinan mempermudah modelling untuk
cluster tertentu.
Misal: ada cluster yang cepat merespons
perubahan suku bunga, nilail tukar, dll.

Diversifikasi sektor?
• Masing-masing sektor memiliki respons yang
berbeda terhadap variable ekonomi.

• Kombinasi diversifikasi sektor dan hasil cluster

analysis dapat memberikan dampaik diversifikasi Sektor:
yang positif pada portofolio.
Cluster:
14
08. Liquidity Index

• Aspek likuiditas menurut Abdourahmane Sarr & Tonny Lybek - IMF:

• Transaction cost measures: bid-ask spread
• Volume-based measures: trading volume vs outstanding
• Price-based measures: Market Efficiency Coefficient
• Market-impact measures: ketika buy harga naik, sell harga turun

• Disederhanakan menjadi satu nilai: Liquidity Index

• Manfaat:
• Diversifikasi portfolio berdasarkan likuiditas
• Simulasi trading ideas melibatkan liquidity index Tampilan papan trading
HOTS Mirae Asset Sekuritas Indonesia
• Strategi investasi berdasarkan tingkat likuiditas:
trading, available for sale, hold to maturity

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=880932
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 09. Credit Score Obligasi

• Credit Score:
• Obligasi diperingkat oleh agen pemeringkat dengan masa evaluasi satu
tahun.
• Masalah: Investors ingin mendapatkan insight risiko kredit lebih cepat dari
evaluasi agen pemeringkat.
• Solusi: credit score dibuat untuk melihat perkembangan risiko kredit antar
periode evaluasi agen pemeringkat.
• Biasanya hanya melihat aspek kondisi keuangan Perusahaan
• Model: regresi logistik dengan peubah dependen credit score mengikuti
kategori peringkat utang agen pemeringkat

• Altman Z-Score: mengukur probability default dalam 2 tahun

Altman Z-Score = 1.2A + 1.4B + 3.3C + 0.6D + 1.0E
• A = working capital / total assets
• B = retained earnings / total assets
• C = earnings before interest and tax / total assets
• D = market value of equity / total liabilities
• E = sales / total assets

sumber: wikipedia
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10. Quant/Algo Trading Strategy
BASE MODELS:
• Peubah ekonomi & Industri
• Analisis fundamental:
• Account keuangan penting: revenue, net income, cash, total asset dll
• Pertumbuhan keuangan: asset growth, EBITDA growth, net income growth, dll
• Rasio keuangan: profitabilitas, likuiditas, leverage, turnover, dll
• Multiple valuation: PER, PBV, EV/EBITDA dll
• Multi-years valuation: Discounted Cash Flows.
• Analisis teknikal:
• Indikator trend
• Indikator momentum
• Pattern analysis, dll
• Berita
• Model: Bayesian, Random Forrest, Neural Network, Natural Language, dll

VARIABEL DEPENDEN: Algo Trading ≠ High Frequency Trading

• Kategorik vs Continue

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Terima kasih
Farid Abdurrahman
farid@abdurrahman.id
LIBERIKA