Smart beta portfolio investment strategy during the COVID-19 pandemic in Indonesia

Covid-19 has an impact on stock investment, especially in Indonesia, marked by the decline Jakarta Composite Index (JCI) at beginning of pandemic. During era, there was a lot negative information about uncertainty market, which made investors irrational choice stocks portfolio. So this research will have hypothesis that High Volatility group be best portfolio conditions. The sample used is Group largest market capitalization value JCI. Stocks with large caps are chosen because one indicators blue chip stock. divided into three groups, Volatility, Moderate and Low Volatility. results obtained became during period. study prove get positive returns sharpe performance highest positive, compared to moderate volatility low portfolios. This result arises subject price fluctuations situation, can invest these short time frame. short-term process carried out regularly so it accordance investors' expectations for investments