PERBANDINGAN PORTOFOLIO OPTIMAL SAHAM LQ45 DAN JII

ASWAN, ASWAN (2018) PERBANDINGAN PORTOFOLIO OPTIMAL SAHAM LQ45 DAN JII. S2 thesis, Universitas Mercu Buana Jakarta.

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Abstract

An efficient portfolio is a portfolio that has a maximum return with a certain risk level or that has a minimum risk with a certain rate of return. To decide an investment action in a stock market, investors should understand the methods used to select stocks and build their investment portfolio. An alternatife to select which shares are included in the portfolio using a single-index model. The objective of this research is to form an optimal portfolio of LQ45 and JII stocks with singleindex model, measuring portfolio performance that has been formed using Sharpe method, Treynor method and Jensen Alpha method and compare portfolio performance that has been in form. The data used are LQ45 stock list period August 2016 until July 2017, JII stock list period June 2016 until May 2017, BI rate data and IHSG. The period of formation and portfolio observation follows the LQ45 index calculation period from August 2016 to July 2017. The result of the portfolio performance normality test using One-Sample Kolmogorov-Smirnov test shows that the data used is normally distributed so that the hypothesis testing uses paired samples test. The result of research stated that there is no difference of optimal portfolio performance of LQ45 stock and optimal portfolio of JII shares evaluated using Sharpe method, Treynor method and Jensen Alpha method. Keywords: LQ45, JII, single-index model, Sharpe method, Treynor method, Jensen Alpha method Portofolio efisien merupakan portofolio yang memiliki return maksimum dengan tingkat risiko tertentu atau yang memiliki risiko minimum dengan tingkat return tertentu. Untuk memutuskan suatu tindakan investasi dibursa saham sebaiknya sebagai investor memahami metode yang digunakan untuk memilih saham dan membangun portofolio investasinya. Sebuah alternatife utuk memilih saham mana yang masuk dalam portofolio dengan menggunakan single-index model. Tujuan penelitian ini adalah membentuk portofolio optimal saham LQ45 dan JII dengan single-index model, mengukur kinerja portofolio yang telah dibentuk dengan menggunakan metode Sharpe, metode Treynor dan metode Jensen Alpha serta membandingkan kinerja portofolio yang telah di bentuk. Data yang digunakan yaitu list saham LQ45 periode Agustus 2016 sampai dengan Juli 2017, list saham JII periode Juni 2016 sampai dengan Mei 2017, data BI rate dan IHSG. Periode pembentukan dan pengamatan portofolio mengikuti periode perhitungan indeks LQ45 yaitu Agustus 2016 sampai dengan Juli 2017. Hasil uji normalitas kinerja portofolio menggunakan One-Sample Kolmogorov-Smirnov test menunjukka bahwa data yang digunakan terdistribusi secara normal sehingga pengujian hipotesa menggunakan paired samples test. Hasil penelitian menyatakan tidak ada perbedaan kinerja portofolio optimal saham LQ45 dan portofolio optimal saham JII yang dievaluasi menggunakan metode Sharpe, metode Treynor dan metode Jensen Alpha. Kata kunci: LQ45, JII, single-index model, metode Sharpe, metode Treynor, metode Jensen Alpha

Item Type: Thesis (S2)
NIM: 55114120112
Uncontrolled Keywords: LQ45, JII, single-index model, metode Sharpe, metode Treynor, metode Jensen Alpha
Subjects: 600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi > 657.4 Specific Fields of Accounting/Bidang Akuntansi Tertentu
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi > 657.4 Specific Fields of Accounting/Bidang Akuntansi Tertentu > 657.45 Auditing/Audit
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi > 657.4 Specific Fields of Accounting/Bidang Akuntansi Tertentu > 657.45 Auditing/Audit > 657.453 Auditing of Computer-Processed Accounts/Mengaudit Laporan yang Diproses Komputer
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi > 657.4 Specific Fields of Accounting/Bidang Akuntansi Tertentu > 657.45 Auditing/Audit > 657.458 Internal Auditing/Audit Internal
Divisions: Pascasarjana > Magister Manajemen
Depositing User: Dede Muksin Lubis
Date Deposited: 07 Jul 2018 01:28
Last Modified: 07 Jul 2018 01:28
URI: http://repository.mercubuana.ac.id/id/eprint/43554

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