Abstract :

IHSG or IDX Composite Index crash during 2020 where the index fell 37.5% since beginning of 2020 until mid march to the level points of 3,938, recovered and marking up in 2021 where the index reaching the peak in November to the level points of 6,723, and then consolidating at the year of 2022 where the index move in a ranging movements of up and down within the level points of 6,500 to 7,300. The different cycles of stock market movement are happening because of changes and different economic factors, making investors presented with a different opportunities and risks at the stock market. In order to capitalize these changes at the market, investors need to analyzed their portfolio periodically for evaluation and assessment. These research were conducted to examines what are the best portfolio for each year of 2020, 2021, and 2022 using sector rotation investment strategy by implementing sector comparison analysis and Piotroski F-score for stock screening method, while using Markowitz portfolio optimization theory for portfolio construction.

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Keywords :

Markowitz Theory, Piotroski F-Score, Portfolio Optimization, Sector Rotation Strategy., Stock Market Investment

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