Taufik, Taufik (2010) ANALISIS KINERJA PORTOFOLIO OPTIMAL PADA SAHAM SAHAM INDEKS LQ45, JII, DAN BISNIS-27 MENGGUNAKAN SINGLE INDEX MODEL PADA TAHUN 2009. S2 thesis, Universitas Mercu Buana Jakarta-Menteng.
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Abstract
Investing, in particular in the stock market is a risky type of investment. In fact, almost all types of investment having risk or uncertainty. One of the characteristics of investments in securities is the ease to set up an investment portfolio so that investors can diversify on different types of stocks in order to maximize returns and reduce risk. In this research, the establishment of the optimal portfolio is approached by a single model index to the object of stocks of LQ45, Jakarta Islamic Index (JII), and Bisnis-27(B27) index in 2009. The formation and observation of the optimal portfolio is set up for every 2 months per period. Then, the performance of the three kind of the optimal portfolio observed are analyzed by Treynor’s, Sharpe’s, and Jensen’s index measuring, and by compare mean test to determine differences statistically. Research shows that the portfolios generated by single index model perform better than market. Analysis of performance measurement using Sharp’s and Treynor’s measure shows that the B27 occupies the first rank, followed by JII and LQ45. Meanwhile, by Jensen’s measure still B27 occupies first rank, followed by LQ45 and JII. Observation results on average return for period of 2 months in 2009 are respectively; JII (16.47%), B27 (14.15%), and LQ45 (12:45%), higher than the market- IHSG (11.01%). However, from the compare mean test results that there are no significant differences between the three kinds of those optimal portfolios.Investasi di pasar modal khususnya saham merupakan jenis investasi yang berisiko. Kenyataannya, hampir semua jenis investasi mengandung risiko atau ketidakpastian Salah satu kharakteristik investasi pada sekuritas adalah kemudahan untuk membentuk portofolio investasi sehingga investor dapat melakukan diversifikasi pada berbagai jenis saham dengan tujuan memaksimalkan return dan menurunkan risiko. Dalam riset ini, pembentukan portofolio optimal dilakukan dengan pendekatan single index model pada objek saham-saham yang termasuk indeks LQ45, Jakarta Islamic Index, dan Bisnis-27 dengan periode pembentukan dan pengamatan portofolio optimal setiap 2 bulan pada tahun 2009. Kinerja ketiga jenis portofolio optimal yang diamati dianalisis dengan pengukuran indeks Treynor, Sharpe, dan Jensen serta uji beda terhadap return rata-rata portofolio. Hasil riset menunjukkan bahwa portofolio yang dibentuk menggunakan single index model ini berkinerja lebih baik dari pasar. Analisis kinerja dengan pengukuran indeks Treynor dan Sharpe menunjukkan bahwa B27 menempati pringkat pertama, dikuti JII dan LQ45. Sedangkan dengan indeks Jensen B27 menempati peringkat pertama, dikuti LQ45 dan JII. Pengamatan return rata-rata per 2 bulan selama 2009 pada ketiga portofolio optimal adalah; JII (16,47%), B27 (14,15%), dan LQ45 (12.45%), lebih tinggi dari pasar (IHSG) 11.01%. Namun, hasil uji beda menunjukkan bahwa tidak terdapat perbedaan signifikan antar ketiga jenis portofolio optimal.
| Item Type: | Thesis (S2) |
|---|---|
| Call Number CD: | CDT-551-10-168 |
| NIM/NIDN Creators: | 55107020007 |
| Uncontrolled Keywords: | MKU, MANAJEMEN KEUANGAN |
| 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 |
| Divisions: | Pascasarjana > Magister Manajemen |
| Depositing User: | UMMI RAHMATUSSYIFA |
| Date Deposited: | 13 May 2022 03:39 |
| Last Modified: | 08 Feb 2023 03:54 |
| URI: | http://repository.mercubuana.ac.id/id/eprint/61110 |
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