PUSPITA, SELVI EKA (2019) ANALISIS KINERJA PORTOFOLIO OPTIMAL PADA SAHAM-SAHAM KONVENSIONAL DAN SYARIAH (STUDI KOMPARASI SAHAM-SAHAM DI LQ45 DAN JII PERIODE JULI 2012 – JUNI 2017). S2 thesis, Universitas Mercu Buana Jakarta.
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Abstract
Investing in stocks is one of the investments in the financial sector that is mostly done in the modern economy. The Indonesian capital market in recent years has become a concern and growing, where this development can be seen from the increasing number of companies listed on the Indonesia Stock Exchange (IDX), increasing market capitalization, and increasing investment. Research is conducted by focusing on the formation of optimal portfolio using Single Index Model (SIM) measurements, as well as comparing the optimal portfolio performance of stocks in the LQ45 Index and Jakarta Islamic Index (JII) in July 2012 - June 2017 period using Risk Adjusted Measures of Performance (Sharpe, Treynor, and Jensen). With the results there are four stocks formed in the optimal LQ45 portfolio, and two stocks formed in JII optimal portfolio. The optimal portfolio formed using the SIM method on the JII Index provides better investment results than the optimal portfolio formed in LQ45. The optimal portfolio performance of JII shares is provides better performance than the optimal portfolio performance of LQ45 shares. Keywords: Jensen, JII, LQ45, Optimal Portfolio, Optimal Portfolio Performance, Single Index Model, Sharpe, Treynor Berinvestasi dalam saham adalah salah satu investasi di sektor keuangan yang banyak dilakukan di ekonomi modern. Pasar modal Indonesia dalam beberapa tahun terakhir telah menjadi perhatian dan berkembang, dimana perkembangan ini dapat dilihat dari semakin banyaknya perusahaan yang terdaftar di Bursa Efek Indonesia (BEI), peningkatan kapitalisasi pasar, dan peningkatan investasi. Penelitian dilakukan dengan memfokuskan pada pembentukan portofolio optimal menggunakan pengukuran Model Indeks Tunggal, serta membandingkan kinerja portofolio optimal saham dalam Indeks LQ45 dan Jakarta Islamic Index (JII) pada periode Juli 2012 - Juni 2017 menggunakan Risk Adjusted Measures of Performance (Sharpe, Treynor, dan Jensen). Hasil dari penelitian ini adalah empat saham yang terbentuk dalam portofolio optimal Indeks LQ45, dan dua saham yang terbentuk dalam portofolio optimal JII. Portofolio optimal yang dibentuk menggunakan pengukuran Model Indeks Tunggal pada Indeks JII memberikan hasil investasi yang lebih baik daripada portofolio optimal yang terbentuk di Indeks LQ45. Kinerja portofolio optimal saham JII memberikan kinerja yang lebih baik daripada kinerja portofolio optimal saham LQ45. Kata Kunci: Jensen, JII, Kinerja Portofolio Optimal, LQ45, Model Indeks Tunggal, Portofolio Optimal, Sharpe, Treynor
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