ANALYSIS OF OPTIMAL PORTFOLIO PERFORMANCE USING MARKOWITZ MODEL AND SINGLE INDEX MODEL (Case Study on LQ45 Index)

ALDILA, SALSA (2020) ANALYSIS OF OPTIMAL PORTFOLIO PERFORMANCE USING MARKOWITZ MODEL AND SINGLE INDEX MODEL (Case Study on LQ45 Index). S1 thesis, Universitas Mercu Buana Jakarta.

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Abstract

This study aims to analyze performance of Markowitz Model and Single Index Model to construct optimal portfolio. Descriptive analysis method with quantitative approach is used in this study. Construction of optimal portfolio using historical daily data from the first semester of the study and evaluation of optimal portfolio performance using historical daily data form the second semester of the study. This study assumed that investment applied as the optimal portfolio constructed by both models. Therefore, performance evaluation both portfolios conducted on second semester of the study using Sharpe ratio, Treynor ratio, and Jensen’s Alpha. This study shows that there are no significance differences of optimal portfolio performance using Markowitz Model and Single Index Model. Keyword : Optimal Portfolio, Markowitz Model, Single Index Model, Sharpe Ratio, Treynor Ratio, Jensen’s Alpha Penelitian ini bertujuan untuk menganalisa kinerja pembentukan portofolio optimal menggunakan Model Markowitz dan Model Indeks Tunggal. Metode analisis deskriptif dengan pendekatan kuantitatif digunakan dalam penelitian ini. Pembentukan optimal portfolio menggunakan data historis harian pada semester pertama penelitian dan evaluasi kinerja dari portofolio optimal menggunakan data historis harian pada semester kedua penelitian. Penelitian ini mengasumsikan telah melakukan investasi sesuai dengan optimal portfolio yang telah dibentuk dari kedua model. Sehingga evaluasi kinerja dari kedua portfolio dilakukan pada semester kedua penelitian dengan menggunakan Sharpe ratio, Treynor ratio and Jensen’s alpha. Penelitian ini menunjukkan bahwa tidak ada perbedaan yang signifikan pada kinerja portofolio optimal menggunakan Model Markowitz dan Model Indeks Tunggal. Kata Kunci : Portofolio Optimal, Model Markowitz, Model Indeks Tunggal, Rasio Sharpe, Rasio Treynor, dan Alpha Jensen.

Item Type: Thesis (S1)
Call Number CD: FE/MJ. 20 366
Call Number: SE/31/21/306
NIM/NIDN Creators: 43116010248
Uncontrolled Keywords: Portofolio Optimal, Model Markowitz, Model Indeks Tunggal, Rasio Sharpe, Rasio Treynor, dan Alpha Jensen.
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
300 Social Science/Ilmu-ilmu Sosial > 360 Social Problems and Services/Permasalahan dan Kesejahteraan Sosial
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi > 657.7 Accounting for Specific Phases of Business Activity/Akuntansi Khusus yang Berkaitan dengan Bidang Bisnis > 657.76 Capital Accounting/Akuntansi Modal
Divisions: Fakultas Ekonomi dan Bisnis > Manajemen
Depositing User: Putra Arsy Anugrah
Date Deposited: 30 May 2022 13:44
Last Modified: 30 Jun 2022 01:43
URI: http://repository.mercubuana.ac.id/id/eprint/53986

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