ANALISIS PEMBENTUKAN DAN PENILAIAN KINERJA PORTOFOLIO OPTIMAL DENGAN MENGGUNAKAN MODEL SINGLE INDEKS DAN RASIO TREYNOR (Studi Kasus: Saham Jakarta Islamic Index dan Kompas100 pada Kondisi Pasar Bullish dan Bearish Tahun 2008 dan 2013)

SANTOSO, SINGGIH HARI (2019) ANALISIS PEMBENTUKAN DAN PENILAIAN KINERJA PORTOFOLIO OPTIMAL DENGAN MENGGUNAKAN MODEL SINGLE INDEKS DAN RASIO TREYNOR (Studi Kasus: Saham Jakarta Islamic Index dan Kompas100 pada Kondisi Pasar Bullish dan Bearish Tahun 2008 dan 2013). S2-Magister thesis, Universitas Mercu Buana Jakarta.

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Abstract

The research purpose is to find best performance of JII/JKKM portfolios in the 4 markets in 2008 and 2013 year, to perform of independent difference test between 4 best portfolios and to find best performance portfolio from simulation in 2018 year. Portofolio is formed by Single Index Model and performance is evaluated by Treynor Index. Research result show that best performance portfolios are JII in bullish 2008, JII in bullish 2013, JKKM in bearish 2013 and JII in bearish 2008. There are significant performance difference portfolios in the market of bullish 2008 & bearish 2008; bearish 2008 & bearish 2013; bullish 2008 & bullish 2013 and bearish 2008 & bullish 2013. There are no significant performance difference portfolios in the market of bullish 2013 & bearish 2013 and bullish 2008 & bearish 2013. Portfolio performance of JII (sharia stock) is better than JKKM (non sharia stock) in 2008, 2013 and 2018 year. Best portfolio performance simulation (JIIbearish 2008-1 month) is better than 3 others portfolio with 3 others duration, also than best market performance simulation (JJKM-bearish 2013-6 months). When investor will invest in unknown market condition, it is suggested to invest on portfolio which formed in bearish market condition. Keywords: bullish-bearish market, optimal portfolio, portfolio perfomance, difference test, portfololio simulationThe research purpose is to find best performance of JII/JKKM portfolios in the 4 markets in 2008 and 2013 year, to perform of independent difference test between 4 best portfolios and to find best performance portfolio from simulation in 2018 year. Portofolio is formed by Single Index Model and performance is evaluated by Treynor Index. Research result show that best performance portfolios are JII in bullish 2008, JII in bullish 2013, JKKM in bearish 2013 and JII in bearish 2008. There are significant performance difference portfolios in the market of bullish 2008 & bearish 2008; bearish 2008 & bearish 2013; bullish 2008 & bullish 2013 and bearish 2008 & bullish 2013. There are no significant performance difference portfolios in the market of bullish 2013 & bearish 2013 and bullish 2008 & bearish 2013. Portfolio performance of JII (sharia stock) is better than JKKM (non sharia stock) in 2008, 2013 and 2018 year. Best portfolio performance simulation (JIIbearish 2008-1 month) is better than 3 others portfolio with 3 others duration, also than best market performance simulation (JJKM-bearish 2013-6 months). When investor will invest in unknown market condition, it is suggested to invest on portfolio which formed in bearish market condition. Keywords: bullish-bearish market, optimal portfolio, portfolio perfomance, difference test, portfololio simulation Tujuan penelitian ini untuk menemukan kinerja portofolio terbaik dari JII/JKKM pada 4 kondisi pasar tahun 2008 dan 2013, untuk menguji perbedaan kinerja 4 portofolio kinerja terbaik dan untuk menemukan kinerja portofolio terbaik hasil simulasi 4 portofolio terbaik pada 4 durasi tahun 2018. Portofolio dibentuk dengan Model Indeks Tunggal dan kinerja dievaluasi dengan Indeks Treynor. Kinerja portofolio terbaik tiap pasar: JII pada bullish 2008, JII pada bullish 2013, JKKM pada bearish 2013 dan JII pada bearish 2008. Kinerja portofolio dari JII (saham syariah) lebih baik daripada JKKM (saham non syariah) pasa tahun krisis 2008, 2013 dan simulasi 2018. Ada perbedaan signifikan kinerja antara portofolio pada pasar: bullish 2008 & bearish 2008, bearish 2008 & bearish 2013, bullish 2008 & bullish 2013 serta bearish 2008 & bullish 2013. Tidak ada perbedaan signifikan kinerja antara portofolio pada pasar: bullish 2013 & bearish 2013 serta bullish 2008 & bearish 2013. Simulasi portofolio kinerja terbaik (JII pada bearish 2008 1 bulan simulasi) lebih baik dibandingkan 3 portofolio lain dengan 3 durasi simulasi lain, juga terhadap simulasi kinerja pasar terbaik (JKKM pada bearish 2013 6 bulan simulasi). Ketika investor akan investasi pada kondisi pasar tidak diketahui, disarankan investasi pada portofolio yang dibentuk pada kondisi pasar bearish. Kata kunci: pasar bullish-bearish, portofolio optimal, kinerja portofolio, uji perbedaan, simulasi portofoli

Item Type: Thesis (S2-Magister)
NIM: 55117110178
Uncontrolled Keywords: pasar bullish-bearish, portofolio optimal, kinerja portofolio, uji perbedaan, simulasi portofoli
Subjects: 600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum > 658.3 Personnel Management/Manajemen Personalia, Manajemen Sumber Daya Manusia, Manajemen SDM
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum > 658.5 Management of Production/Manajemen Produksi
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum > 658.6 Quality Management/Manajemen Kualitas
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum > 658.7 Management of Supplies/Manajemen Persediaan
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum > 658.8 Marketing, Management of Distribution/Marketing, Manajemen Distribusi
Divisions: Pascasarjana > Magister Manajemen
Depositing User: Dede Muksin Lubis
Date Deposited: 07 Jan 2021 05:38
Last Modified: 01 Mar 2021 16:00
URI: http://repository.mercubuana.ac.id/id/eprint/58924

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