Optimalisasi Portofolio Nilai Saham: Studi Komparasi Kinerja Saham Syariah dan Nonsyariah

Abstract

<p class="IAbstrakIsi">The objective of this research is to analyze the comparison of sharia and nonsharia stock performance. The sample is a company listed on the Indonesia Stock Exchange, listing from 2013-2017. The sample consists of nonsharia stock (LQ45) and sharia stock (Jakarta Islamic Index). Sampling method used purposive sampling technique. Data analysis technique used Risk-Adjusted Return Measurement and analyzed by using paired sample T-Test. Based on analysis and discussion, there is no significant differences between portfolio performance of LQ45 and JII, either using Sharpe, Treynor, and Jensen alpha Index. Based on annual data, the performance of JII’s portfolio is better than LQ45 when macroeconomic is depression, while LQ45 portfolio performance is better when macroeconomic is booming. Thus, JII portfolios are more effective used when the economy is depressed, while LQ45 is more effective when the economy is booming.</p>

The Formulation of a Dynamic Portfolio between Gold and Stocks on the Indonesia Stock Exchange during the COVID-19 Pandemic

“…It has also been reported that an investor needs an analytical method of calculating the amount of profit and level of risk from an investment (Hariyanto, 2018), and the dynamic portfolio measurement is considered necessary due to the everchanging stock market conditions (Robiyanto, 2018). Meanwhile, it is possible to generally measure portfolios using a single index, Markowitz, Sharpe, Treynor, and several other methods (Mubarok, Darmawan, and Luailiyah, 2017;Oktaviani and Wijayanto, 2015).…”

“…The performance is, however, currently measured using different methods such as the Sharpe Index, Sortino Ratio, Jensen Index, Treynor Index, and Omega Ratio. The Sharpe Index has the ability to measure market performance by considering the standard deviation of returns with the risks observed through return on total risk (Mubarok et al, 2017).…”

“…The Treynor Index evaluates the portfolio performance using a volatility ratio based on systematic risk and assumes the portfolio is well-diversified, therefore, the systematic risk (beta) is relevant (Mubarok et al, 2017). Moreover, the Omega Ratio is the cumulative probability ratio above or below a predetermined threshold and this method helps investors in ranking funds in order to compare prices with the performance which are later readjusted to existing risks (Rambo and Vuuren, 2017).…”

Comparative Analysis of Conventional and Sharia Food and Beverages Company’s Stocks Performance Companies Towards IHSG

“…This measurement is based on risk adjusted performance with three types of measurement, Sharpe, Treynor and Jensen Index. When compared based on annual data, the performance of the JII portfolio is more resilient to unstable macroeconomic conditions [6].…”

Student Investor’s Attentiveness In Islamic Stocks

“…principles in which all of these companies' mechanisms and production do not conflict with Islamic law. Jakarta Islamic Index (JII) is one of the Islamic stock indexes in Indonesia (Mubarok, Darmawan, & Luailiyah, 2017). Based on Figure 1, the Islamic stocks are increasing in number from 2013 to 2019.…”