| Net Current Asset Value Strategy (NCAV) is current asset subtract by total liabilities developed by Benjamin Graham. This research uses data of 267 companies listed in Bursa Efek Indonesia within 30 months periode from Januari 2006 to June 2008. The result shows that the return mean of stock portfolio using NCAV strategy is bigger than the IHSG return in the above mentioned period. The positive ß shows that the return of IHSG has significantly influenced towards the NCAV. The use of Capital Asset Pricing Model (CAPM) also shows that the IHSG return subtracted by return risk free influences the stock portfolio return subtracted by risk free asset. In this NCAV calculation, the stock portfolio was categorized by size, namely large cap, midcap, smallcap, and microcap, which are commonly called as size adjusted return. |