PEMBENTUKAN DAN PENGUKURAN KINERJA PORTOFOLIO SAHAM LQ45

SALAM, ABD. MUHNI (2021) PEMBENTUKAN DAN PENGUKURAN KINERJA PORTOFOLIO SAHAM LQ45. S2 thesis, Universitas Mercu Buana Jakarta.

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Abstract

The purpose of this study is to analyze LQ45 stocks, returns, risks, and optimal portfolio performance formed by a single index model in the period August 2017- January 2020. This research is a descriptive study with a quantitative approach. The data collection technique used is documentation study. Based on the results of the calculation, it is found that out of 33 stocks, there are 3 stocks that are used to compile an optimal portfolio. BRPT, ICBP, and BBCA had expected returns of 5.50%, 1.34%, and 2.02%, respectively, while the risk was 12.87%, 4.75%, and 4.08%. The optimal portfolio formed has expected return 2.60% and risk 4.05%. After measuring performance with Sharpe 0,5354, Treynor 0,0267, and Jensen 0,0243, it was found that the performance of the portfolios that was formed proved to be better than market performance. Keywords: optimal portfolio performance, LQ45, single index model, optimal portfolio. Tujuan penelitian ini adalah untuk menganalisis saham LQ45, pengembalian, risiko, dan kinerja portofolio optimal yang terbentuk dengan model indeks tunggal pada periode Agustus 2017-Januari 2020. Penelitian ini merupakan penelitian desktiptif dengan pendekatan kuantitatif. Teknik pengumpulan data yang digunakan yaitu studi dokumentasi. Berdasarkan hasil perhitungan ditemukan bahwa dari 33 saham, terdapat 3 saham yang digunakan untuk menyusun portofolio optimal. Saham BRPT, ICBP, dan BBCA memiliki pengembalian ekspektasian berturut-turut sebesar 5,50%, 1,34%, dan 2,02%, sedangkan risiko sebesar 12,87%, 4,75%, dan 4,08%. Portofolio optimal yang terbentuk memiliki pengembalian ekspektasian sebesar 2,60% dan risikonya 4,05%. Setelah melakukan pengukuran kinerja dengan Sharpe sebesar 0,5354, Treynor sebesar 0,0267, dan Jensen sebesar 0,0243 dapat diketahui bahwa kinerja portofolio yang terbentuk terbukti lebih baik dari kinerja pasar. Kata kunci: kinerja portofolio optimal, LQ45, model indeks tunggal, portofolio optimal.

Item Type: Thesis (S2)
NIM/NIDN Creators: 55118120129
Uncontrolled Keywords: kinerja portofolio optimal, LQ45, model indeks tunggal, portofolio optimal.
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 > 657.3 Financial Reporting (Financial Statements)/Laporan Keuangan
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi > 657.3 Financial Reporting (Financial Statements)/Laporan Keuangan > 657.32 Preparing Financial Statements/Menyiapkan Laporan Keuangan
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 > 657.452 Audit Reports/Laporan 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
Divisions: Pascasarjana > Magister Manajemen
Depositing User: Dede Muksin Lubis
Date Deposited: 22 Nov 2021 04:30
Last Modified: 22 Nov 2021 04:30
URI: http://repository.mercubuana.ac.id/id/eprint/47554

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