PEMBENTUKAN PORTOFOLIO OPTIMAL SAHAM JAKARTA ISLAMIC DENGAN MODEL INDEKS TUNGGAL UNTUK PENGAMBILAN KEPUTUSAN INVESTASI SAHAM

SETYO, TRI AGUS (2020) PEMBENTUKAN PORTOFOLIO OPTIMAL SAHAM JAKARTA ISLAMIC DENGAN MODEL INDEKS TUNGGAL UNTUK PENGAMBILAN KEPUTUSAN INVESTASI SAHAM. S2 thesis, Universitas Mercu Buana Jakarta.

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Abstract

This study aims to determine and analyze the optimal portfolio forming stocks using the Single Index Model, determine the optimal portfolio risk and return expectations, then compare the optimal portfolio risk and return expectations with market return expectations, then analyze the optimal portfolio performance using the Treynor model. The research was conducted on the Jakarta Islamic Index stocks. Population of 48 issuers, which meet the sample criteria of 14 issuers. Using monthly data for the period December 2014-November 2019, it was found that 2 stocks entered the optimal portfolio, namely (with a proportion of funds) ICBP (91.46%) and TLKM (8.54%). The value of E (Rp) 0.0128 is greater than the value of E(RM) 0.0003 and the value of the risk free rate is 0.0048. The value of σp 0.0438 is greater than the value of σ2 M 0.0364. The portfolio performance value with the Treynor index of 0.0091 is greater than the market Treynor index value of -0.0045. Keywords : JII Index, Optimal Portfolio, Single Index Model, Treynor Penelitian ini bertujuan untuk mengetahui dan menganalisis saham pembentuk portofolio optimal menggunakan Model Indeks Tunggal, mengetahui ekspektasi return dan risiko portofolio optimal, kemudian membandingkan ekspektasi return serta risiko portofolio optimal dengan ekspektasi return pasar, lalu menganalisis kinerja portofolio optimal dengan menggunakan model Treynor. Penelitian dilakukan terhadap saham Jakarta Islamic Index. Populasi sebanyak 48 emiten, yang memenuhi kriteria sampel sebanyak 14 emiten. Menggunakan data bulanan periode Desember 2014-November 2019, ditemukan 2 saham yang masuk portofolio optimal yaitu (dengan bobot investasi) ICBP (91,46%) and TLKM (8,54%). Nilai E(Rp) 0,0128 lebih besar dari nilai E(RM) 0,0003 dan nilai risk free rate 0,0048. Nilai σp 0,0438 lebih besar dari nilai σ2 M 0,0364. Nilai kinerja portofolio dengan indeks Treynor sebesar 0,0091 lebih besar dari nilai indeks Treynor pasar sebesar -0,0045 . Kata kunci : JII Index, Model Index Tunggal, Portofolio Optimal, Treynor

Item Type:	Thesis (S2)
Call Number CD:	CD/551. 20 054
Call Number:	TM/51/21/078
NIM/NIDN Creators:	55118120008
Uncontrolled Keywords:	JII Index, Model Index Tunggal, Portofolio Optimal, Treynor
Subjects:	300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 332 Financial Economics, Finance/Ekonomi Keuangan dan Finansial, Ekonomi Biaya dan Pembiayaan 300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 332 Financial Economics, Finance/Ekonomi Keuangan dan Finansial, Ekonomi Biaya dan Pembiayaan > 332.6 Investment/Investasi 500 Natural Science and Mathematics/Ilmu-ilmu Alam dan Matematika > 510 Mathematics/Matematika > 511 General Principles of Mathematics 500 Natural Science and Mathematics/Ilmu-ilmu Alam dan Matematika > 510 Mathematics/Matematika > 511 General Principles of Mathematics > 511.8 Mathematical Models, Mathematical Simulation/Matematika Model, Simulasi Matematika
Divisions:	Pascasarjana > Magister Manajemen
Depositing User:	Dede Muksin Lubis
Date Deposited:	15 Dec 2021 04:23
Last Modified:	25 Apr 2022 01:54
URI:	http://repository.mercubuana.ac.id/id/eprint/52207

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