Portfolio construction and performance measurements of Kuala Lumpur Composite Index (KLCI) listed companies / Siti Zubaidah Samsudin

Nowadays, many people do not know the ways of how to buy a shares. So, this research is focuses on how to select the best portfolio and then measuring the selection of portfolio. This research paper study on the performance of Kuala Lumpur Composite Index (KLCI) listed companies by using 100 shares which is all of the shares is listed in the Bursa Malaysia. The objectives of this study is to construct portfolio from the shares listed in the Bursa Malaysia and to measuring the portfolio selection. The period for selecting the portfolio is 5 years which is from 2008 until 2012. While. the methods that had been used for selecting optimal portfolios is Efficient Frontier then. the performance of Kuala Lumpur Composite Index (KLCI) listed companies measured by using market-based measurements which is Sharpe, Treynor and Jensen performance measurement and also by using abnormal return and paired T-test. The period to measure the performance of portfolio selection is 3 years which is from 2013 until 2015. The data of this research paper include total return index, 3-month treasury bills. beta, residual variance, market variance, market return and standard deviation. All data collected are in monthly basis.