The Optimal Portfolio of JII Shares Listed on the Indonesian Stock Exchange: The Single Index Model Approach

Setyo, Tri Agus; Kurniasih, Augustina

doi:10.24018/ejbmr.2020.5.6.629

Cited by 3 publications

(2 citation statements)

References 3 publications

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“…Diversifikasi dengan membentuk portofolio optimal menggunakan Single Index Model ini terbukti meminimalkan risiko dari pada berinvestasi pada saham individual (Firdaus dkk., 2018;Yunita, 2018b;Rout & Panda, 2020). Tingkat pengembalian yang dihasilkan oleh portofolio optimal pun lebih tinggi dari berinvestasi pada saham individual (Verkino dkk., 2020;Setyo & Kurniasih, 2020;Utami dkk., 2021). Single Index Model menghasilkan portofolio optimal yang memiliki kinerja lebih baik jika dibandingkan dengan portofolio optimal yang terbentuk dengan model Markowitz (Devianto dkk., 2018;Putra & Dana, 2020).…”

Section: Pendahuluanunclassified

Formasi Portofolio Optimal Saham Idx30 Pada Masa Pandemi Covid-19

Krisna

2022

JIM EMOR

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Tujuan penelitian ini adalah untuk membentuk formasi saham-saham menjadi portofolio optimal beserta proporsi dananya, dan mengetahui tingkat pengembalian serta risiko portofolio di masa resesi Indonesia akibat COVID-19 pada indeks IDX30 di Bursa Efek Indonesia dengan Single Index Model. Sampel penelitian terdiri dari 23 saham yang bertahan dalam indeks IDX30 selama periode Maret 2020-Juli 2021. Metode penelitian yang digunakan dalam penelitian ini adalah analisis deskriptif dengan pendekatan kuantitatif. Hasil yang diperoleh dari penelitian ini adalah formasi 7 saham pembentuk portofolio optimal yaitu ANTM (46,33%), UNTR (12,72%), ADRO (14,98%), INKP (15,04%), KLBF (4,50%), CPIN (5,84%), dan BBRI (0,60%). Expected return mingguan portofolio sebesar 1,366%. Nilai ini lebih tinggi dari return berinvestasi pada mayoritas saham dalam portofolio. Risiko portofolio yang dihasilkan portofolio sebesar 0,752%. Nilai ini lebih rendah dari risiko berinvestasi pada mayoritas saham dalam portofolio. Hasil penelitian menunjukkan bahwa menentukan formasi portofolio optimal di masa resesi di Indonesia akibat COVID-19 dapat memberikan kombinasi yang terbaik antara return dan risiko.

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Section: Pendahuluanunclassified

Formasi Portofolio Optimal Saham Idx30 Pada Masa Pandemi Covid-19

Krisna

2022

JIM EMOR

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“…In research conducted by research from Setyo and Kurniasih (2020) which states that using a single index model, it was found that 2 stocks that entered the optimal portfolio of the JII index for the 2014-2019 period, namely ICBP and TLKM, were able to outperform market performance. Another study conducted by Mustika and Zulfikar (2021) revealed that there was no significant difference using the Single Index Model with an active strategy with a passive strategy using an indexing strategy.…”

Section: Introductionmentioning

confidence: 99%

Analysis of Stock Portfolio Performance Using Passive Strategy and Active Strategy with Single Index Model

Ricki,

H. Mustafa

2023

International Journal of Economy and Business

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This study aims to determine and analyze the differences in return and risk performance results of passive and active strategies using the Single Index Model. Then measure the return performance using the Sharpe Index, Treynor, and Jensen's Alpha. This research was conducted on Sri-Kehati index stocks for the period November 2019 to November 2021. Based on passive portfolio strategy research, there are three stocks that form the optimal portfolio, namely BBCA, BBRI, SIDO. While based on active portfolio strategy research, in the first year there were three stocks that formed the optimal portfolio, then in the second year there were seven stocks forming the optimal portfolio, namely BBCA, BBRI, DSNG, INCO, SIDO, SMGR, WIKA. Based on performance measurement using Sharpe, Treynor and Jensen's Alpha indices, the Active Portfolio Strategy is better than the Passive Portfolio Strategy. Meanwhile, based on the difference test using the Mann Whitney U test method, it can be concluded that there is no significant difference in return performance between passive and active portfolio strategies.

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Ortalama-Varyans ve Tek Endeks Yöntemlerinin Portföy Modellenmesine Uygulanması: BİST 30 Üzerine Bir Çalışma

CHARKASOV

Hepşen

2021

Finans Ekonomi Ve Sosyal Araştırmalar Dergisi

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ÖzPortföy optimizasyon problemlerinde Harry Markowitz'in önermiş olduğu Ortalama-Varyans modeli ile William Sharpe'ın geliştirdiği Tek Endeks modeli yaygın olarak kullanılmaktadır. Söz konusu modeller yardımıyla borsalarda işlem gören hisse senetleri çeşitlendirilerek optimal portföyler elde edilebilmektedir. Bu makale Borsa İstanbul'da işlem gören BIST 30 endeksi hisseleri ile oluşturulacak olan portföylerin optimizasyonunda hangi modelin daha başarılı sonuç vereceğini araştırmaktadır. Bu araştırma, portföylerin hesaplanan risk, getiri ve temel performans ölçütleri karşılaştırılarak sonuca ulaştırılmıştır. Elde edilen sonuçlar, Ortalama-Varyans modelinin Tek Endeks modeline göre daha iyi performansa sahip portföyleri ortaya çıkardığını göstermektedir.

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The Optimal Portfolio of JII Shares Listed on the Indonesian Stock Exchange: The Single Index Model Approach

Cited by 3 publications

References 3 publications

Formasi Portofolio Optimal Saham Idx30 Pada Masa Pandemi Covid-19

Formasi Portofolio Optimal Saham Idx30 Pada Masa Pandemi Covid-19

Analysis of Stock Portfolio Performance Using Passive Strategy and Active Strategy with Single Index Model

Ortalama-Varyans ve Tek Endeks Yöntemlerinin Portföy Modellenmesine Uygulanması: BİST 30 Üzerine Bir Çalışma

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