EXPECTED SHORTFALL  PADA PORTOFOLIO OPTIMAL DENGAN METODE SINGLE INDEX MODEL (Studi Kasus pada Saham IDX30)

Stock investment is a commitment to a number of funds in marketable securities which shows proof of ownership of a company with the aim of obtaining profits in the future. For obtaining optimal returns from stock investments, investors are expected to form optimal portfolios. The optimal portfolio formation using the Single Index Model is based on the observation that a stock fluctuates in the direction of the market price. It shows that most stocks tend to experience price increases if the market share price rises, and vice versa. Selection of optimal portfolio-forming stocks on IDX30 using the Single Index Model method produces 4 stocks, that are BRPT (Barito Pacific Tbk.) with weight 31.134%, ICBP (Indofood CBP Sukses Makmur Tbk.) 17.138%, BBCA (Bank Central Asia Tbk.) 51.331% and SMGR (Semen Indonesia (Persero) Tbk.) 0.397%. Every investment must have a risk, for that investors need to calculate the possible risks that occur before investing. To calculate risk, Expected Shortfall (ES) is used as a measure of risk that is better than Value at Risk (VaR) because ES fulfill the subadditivity. At the 95% confidence level, the ES value is 23.063% while the VaR value is 10.829%. This means that the biggest possible risk that an optimal portfolio investor will receive using the Single Index Model for the next five weeks is 23.063%.Keywords : Portfolio, Single Index Model, Expected Shortfall, Value at Risk.

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Analisis Pembentukan Portofolio Optimal dan Penentuan Nilai Risiko pada Saham Syariah

Journal of Applied Islamic Economics and Finance ◽

10.35313/jaief.v1i2.2480 ◽

2021 ◽

Vol 1 (2) ◽

pp. 487-498

Author(s):

Ajeng Defi Aprilia ◽

Ade Ali Nurdin ◽

Muhamad Umar Mai

Keyword(s):

At Risk ◽

Value At Risk ◽

Stock Exchange ◽

Moving Average ◽

Optimal Portfolio ◽

Single Model ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Weighted Moving Average

The purpose of this research is to determine the optimal portfolio formation in Islamic stocks on the Jakarta Islamic Index (JII) which is listed on the Indonesia Stock Exchange with a single model. Then measure the risk value that may occur and be accepted by investors using the Value at Risk (VaR) method with the Exponentially Weighted Moving Average (EWMA) approach. By using the Single Index Model, 5 stocks are selected and form an optimal portfolio, namely ASII, ICBP, TLKM, UNTR and UNVR.

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HISTORICAL SIMULATION UNTUK MENGHITUNG VALUE AT RISK PADA PORTOFOLIO OPTIMAL BERDASARKAN SINGLE INDEX MODEL MENGGUNAKAN GUI MATLAB (Studi Kasus: Kelompok Saham JII Periode Juni - November 2017)

Jurnal Gaussian ◽

10.14710/j.gauss.v7i4.28869 ◽

2018 ◽

Vol 7 (4) ◽

pp. 408-418

Author(s):

Tresno Sayekti Nuryanto ◽

Alan Prahutama ◽

Abdul Hoyyi

Keyword(s):

At Risk ◽

Value At Risk ◽

Research Result ◽

Simulation Method ◽

Optimal Portfolio ◽

Historical Simulation ◽

Single Index ◽

Holding Period ◽

Index Model ◽

Single Index Model

The essence of investment is a placement of a number of funds at one time in hope of gaining profits in the future. One of the most traded forms of investment is stocks. When investing in stocks, investors often run the risk of loss. This loss risk can be overcome by forming a portfolio consisting of several shares. To form an optimal portfolio, investors must first determine an efficient portfolio that produces a certain level of profit with the lowest risk, or a certain level of risk with the highest level of profit. One method for determining the optimal portfolio is to use the Single Index Model method. Whereas to calculate Value at Risk (VaR) using the Historical Simulation method. In this study, researcher used data from the daily closing price of shares incorporated in the Jakarta Islamic Index (JII) stock group in the period of June - November 2017. The shares which will be used were 9 shares in the JII stock group. According to the research result, there are three stocks that go into an optimal portfolio that is SMGR, UNTR, and KLBF with the value of each of its shares respectively by 48,54%, 46,18%, and 5,28%. While the value of the Value at Risk with initial capital of Rp100.000.000, 1 day holding period and a trust level of 95% for optimal portfolio and each stock that goes into optimal portfolio amounted Rp2.090.283, Rp2.258.600, Rp3.403.000, and Rp2.564.200. Keywords: Share, Portofolio, Single Index Model, Value at Risk, Historical Simulation, JII.

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Stock Investment Portfolio Analysis with Single Index Model

Indonesian Journal Of Business And Economics ◽

10.25134/ijbe.v3i2.3717 ◽

2020 ◽

Vol 3 (2) ◽

Author(s):

Yasir Maulana

Keyword(s):

Interest Rates ◽

Portfolio Analysis ◽

Optimal Portfolio ◽

Share Price ◽

Residual Variance ◽

Share Prices ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Stock Investment

In order to evaluate an optimal portfolio, an important step that investors or investment managers is portfolio analysis. In stock portfolio analysis, methods that can be used include the Markowitz approach and the Single Index Model. This study aims to apply the Single Index Model in finding the beta value of an efficient portfolio line, so that investors can determine the stocks and the proportion of funds needed to form an optimal portfolio. In this study, the data sources used were 1) market share price index that represents market factor or market data, 2) SBI interest rates that represents risk free (rf) and 3) The share prices of PT Ace Hardware Indonesia Tbk, PT Indocement Tunggal Perkasa Tbk and PT Matahari Putra Prima Tbk. The weight of each share in the active portfolio (Wi0) at Active Pf A 1.0000 is ACES of 0.1729, INTP of 0.0460 and MPPA of 0.7811. Then the alpha of the ACES active portfolio is 0.0051, INTP is 0.0002 and the MPPA is 0.0184. Then the calculation results show the residual variance in the active ACES portfolio is 0.0041, INTP is 0.0001 and MPPA is 0.0147. The variance of the Optimal Risky Portfolio of the variance index portfolio and the residual variance of the active portfolio is 0.1054.

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Portfolio Analysis Using the Single Index Method in the COVID-19 Pandemic Period

International Journal of Research and Review ◽

10.52403/ijrr.20210626 ◽

2021 ◽

Vol 8 (6) ◽

pp. 215-225

Author(s):

Sulistyo Adi Nugroho ◽

Tony Irawan SE MappEc ◽

Ir Aruddy, Msi

Keyword(s):

Capital Market ◽

Economic Activity ◽

Optimal Portfolio ◽

Share Price ◽

Portfolio Performance ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

The Impact ◽

Rotation Strategy

The COVID-19 outbreak that occurred in early 2020 put pressure on economic activity in many countries, including Indonesia. The pressure on economic activity can be seen from the index movement in the capital market. The JCI as a composite index that reflects transaction activity in the Indonesian capital market has weakened due to the impact of the COVID-19 outbreak in a number of business sectors. The decline in the index is a warning for investors to rearrange the composition of assets in their portfolios so that returns can remain optimal during a pandemic. The single index model (SIM) can be used by investors to make investment decisions, including to rearrange their investment portfolios. The share price data analyzed covers the period from 2 September 2019 to 7 December 2020, where the government confirmed the first positive case of COVID-19 in Indonesia on 3 March 2020. The Single Index Model is used to select assets to form an optimal portfolio. Portfolio performance is measured using the Sharpe, Treynor and Jensen index. The sector rotation strategy results in five selected sectors whose assets will be selected to form an optimal portfolio, namely the consumption sector (JKCONS), the basic and chemical industry sector (JKBIND), the infrastructure sector (JKINFA), the mining sector (JKMING) and the financial sector (JKFINA). The listed companies for analysis were 25 out of 184 issuers in the five sectors. The Single Index Model selects 3 issuers for the pre-COVID period and 10 issuers for the COVID period. The allocation of portfolio funds for the pre-COVID period showed BTPS of 44.94%; CPIN 47.61% and BYAN 7.46%. 2.8% allocation of portfolio funds during the COVID period to BTPS issuers; PBID 22.57%; TKIM 15.96%; BYAN 5.86%; ITMG 17.89%; MYOH 1.56%; PTBA 1.76%; ADRO 12.54% and PPRE 19.05%. The portfolio's expected return is positive, which means that the portfolio formed has the potential to generate profits. The Sharpe, Treynor and Jensen indexes are positive, which means that portfolios formed using a single index model have the potential to have good performance. Keywords: investors, IHSG, portfolio performance, single index model, optimal portfolio.

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OPTIMALISASI PORTOFOLIO SAHAM MENGGUNAKAN METODE MEAN ABSOLUTE DEVIATION DAN SINGLE INDEX MODEL PADA SAHAM INDEKS LQ-45

Jurnal Gaussian ◽

10.14710/j.gauss.v7i2.26643 ◽

2018 ◽

Vol 7 (2) ◽

pp. 119-131

Author(s):

Diah Wulandari ◽

Dwi Ispriyanti ◽

Abdul Hoyyi

Keyword(s):

Sharpe Ratio ◽

Optimal Portfolio ◽

Portfolio Performance ◽

Mean Absolute Deviation ◽

Absolute Deviation ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Stock Investment ◽

Stock Investments

Stock investment is the planting of money in a securities that indicates the ownership of a company in order to provide benefits in the future. In obtaining optimal results from stock investments, investors are expected to create a series of portfolios. The portfolio will help investors in allocating some funds in different types of investments in order to achieve optimal profitability. For selection of optimal stocks representing LQ-45 Index, used 2 methods of Mean Absolute Deviation (MAD) method and Single Index Model (SIM) method. In MAD method, 5 best stocks are BBCA with weight 23%, INDF 8%, KLBF 23%, TLKM 23%, and UNVR 23%. While the SIM method of candidate portfolio obtained is AKRA with weight 15,459%, BBCA 48,193%, BBNI 5,028%,KLBF 0,258% and TLKM 31,062%. Portfolio performance meter is used by sharpe ratio. The value of sharpe ratio is 0,36754 for optimal portfolio using MAD method and 0,40782 for optimal portfolio using SIM method, this means that optimal portfolio using SIM method has better performance than MAD. Keywords: Investment, Portfolio, Index LQ-45, Mean Absolute Deviation, Single Index Model, Sharpe Ratio

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Analisis Investasi dan Pemilihan Portofolio Optimal pada Indeks Saham Kompas-100 dengan Menggunakan Single Index Model

BISMA (Bisnis dan Manajemen) ◽

10.26740/bisma.v4n1.p77-90 ◽

2018 ◽

Vol 4 (1) ◽

pp. 77

Author(s):

SHALAHUDIN AL AYUBI ◽

NADIA ASANDIMITRA

Keyword(s):

Portfolio Allocation ◽

Excess Return ◽

Optimal Portfolio ◽

Rate Of Return ◽

Model Population ◽

Research Results ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Stock Investment

AbstractA stock investment is one of alternatives that have a bright prospect in the futures. However, it is necessary to manage the risks, which is an important of choosing share intended. Up to now a relevan classic says “Don’t put all of your eggs in one basket”. Therefore the share diversification is necessary as an investment choise to form a portfolio. The main purpose of this research are the ascertain the optimal portfolio by using single index model. Population to be chosen in the study is firms listed on Kompas-100. However, the simple included are only 33 firms that present continuously simultan on Kompas-100. This research results showed that there were ten stocks of portfolio candidates from thirty-three stocks researched with the cut-off-point (C*) of 0,016495. And ten of stocks which have the biggest excess return to beta (ERB) make up the optimal portfolio. Allocation of these funds comprises 1,1365% for Astra Agro Lestari Inc stock (AALI), 14,3439% for Astra International Inc stock (ASII), 5,072% for Cahroen Pokphand Indonesia Inc Stock (CPIN), 14,9259% for Gudang Garam Inc stock (GGRM), 10,1117% for Gajah Tunggal Inc stock (GJTL), 6,0152% for Indofood Sukses Makmur Inc stock (INDF), 7,7498% for Indocement Tunggal Perkasa Inc (INTP), 4,5907% for Kalbe Farma Inc stock (KLBF), 11,8773% for United Tractor Inc stock (UNTR), 24,177% for Unilever Indonesia Inc stock (UNVR). The portfolio rate of return of 3,62999% and risk of 9,45729%. The conclusion of this study is that rational investor will invest their funds in optimal portfolio comprises stocks candidates portfolio.

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COMPARISON OF OPTIMAL PORTFOLIO PERFORMANCE BETWEEN SINGLE INDEX MODELS AND MARKOWITZ MODELS (CASE STUDY OF DAILY RETURN IMPLEMENTATION OF OJK RULES REGARDING INVESTMENTS OF STATE VALUES FOR NON-BANK FINANCIAL INSTITUTIONS 2016-2017)

Business and Entrepreneurial Review ◽

10.25105/ber.v19i1.5349 ◽

2019 ◽

Vol 19 (1) ◽

pp. 43

Author(s):

Kaolina Savitri Setyantho ◽

Sasmito Hadi Wibowo

Keyword(s):

Financial Institutions ◽

Optimal Portfolio ◽

Portfolio Performance ◽

Financial Service Authority ◽

Expected Return ◽

Risk Levels ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Stock Investment

The problem of this research is the implementation of optimal portfolio of Government Security investment by Non-Bank Financial institutions. Otoritas Jasa Keuangan (OJK) provides rules for it. This study utilizes several financial indexes to find the optimal portfolio. Some portfolios are developed and tested by comparing risk levels through single index model and Markowitz Models. Furthermore, the returns of standard deviation and coefficient of variance are used to identify this optimal model. The result shows that developing optimal portfolio through Single Index Model yields higher expected return than that of Markowitz Model. Choosing Kompas 100 Index as the reference index may help higher expected return. Due to the nature of the Indonesia Health Care Agency, is suggested that agency is excluded from the Financial Service Authority rules regarding obligation and stock investment. The limitation of this research is as follows: it focuses on two approaches, analyses on investment obligations and stocks, and the healthcare agency only.

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PEMBENTUKAN PORTOFOLIO OPTIMAL BERDASARKAN MODEL INDEKS TUNGGAL PADA SAHAM INDEKS IDX30 DI BEI

E-Jurnal Manajemen Universitas Udayana ◽

10.24843/ejmunud.2019.v08.i06.p19 ◽

2019 ◽

Vol 8 (6) ◽

pp. 3814

Author(s):

Nyoman Candra Tri Wahyuni ◽

Ni Putu Ayu Darmayanti

Keyword(s):

Optimal Portfolio ◽

Risk Level ◽

Portfolio Risk ◽

Expected Return ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Stock Investment ◽

Portfolio Return

Stocks are included in determination of the optimal portfolio along with the proportion of each stock and to know how much portfolio return and risk investors will get in the future. The study was conducted on the IDX30 Index on the IDX for the period August 2016 - January 2018. The population of this study used shares that were incorporated in IDX30 Index with sample used was 25 IDX30 Index stocks during the study period. The study uses the optimal portfolio model, namely the Single Index Model The results of the study show that from 25 stocks there are 8 stocks that can form an optimal portfolio with their respective proportions, consisting shares of ADRO, BBC, BBNI, BBRI, BMRI, GGRM, PWON, and UNTR. These shares provide a portfolio expected return of 3.25 percent with a portfolio risk level of 0.07 percent. Keywords: Stock Investment, Return, Risk, Optimal Portfolio, Single Index Model

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Aplikasi Single Index Model dalam Pembentukan Portofolio Optimal Saham LQ45 pada Bursa Efek Indonesia

FINANSIA: Jurnal Akuntansi dan Perbankan Syariah ◽

10.32332/finansia.v2i01.1502 ◽

2019 ◽

Vol 2 (01) ◽

pp. 47

Author(s):

Atika Lusi Tania

Keyword(s):

Stock Exchange ◽

Optimal Portfolio ◽

Market Prices ◽

Single Index ◽

Index Model ◽

Stock Portfolios ◽

Single Index Model ◽

Market Index ◽

Stock Investment ◽

Stock Portfolio

Single Index Model is a stock return model that divides the effect on returns into a systematic factor (as measured by yields on the market index) and company-specific factors. The shares used in the formation of the portfolio of the Single Index Model are stocks included in the LQ45 Index in the Indonesia Stock Exchange because this Index has always increased from year to year. However, not all shares in the LQ45 Index can be used, there must be a determination to get the most suitable shares to be used as a portfolio. Therefore, the author uses the Single Index Model Application in the Formation of the LQ45 Optimal Stock Portfolio on the Indonesia Stock Exchange so that investors know how to form an optimal portfolio using a simpler model of the single index model. This study aims to apply the application of a single index model in the formation of a stock portfolio registered in LQ45, determine the proportion of stock investment in the number of lots based on the proportion of stock portfolios, and determine the funds needed for stock investment based on the number of lots. Based on the results of data analysis using the Single Index Model Optimal Portfolio, the results show that out of 45 stocks in LQ45, 13 optimal stocks will be purchased by investors. Thirteen shares and market prices include LPPF Rp.3,400, INTP Rp20,025, LPKR Rp274, INCO Rp3,030, PTPP Rp.2,180, SCMA Rp1,615, TBIG Rp.3,850, AALI Rp.10,350, CTRA Rp1. 070, PWON Rp725, TAXI Rp50, WIKA Rp2,340, and WSKT Rp1,970. The proportion of shares is 9% LPPF, 7% INTP, 5% LPKR, 13% INCO, 19% PTPP, 12% SCMA, 9% TBIG, 7% AALI, 4% CTRA, 6% PWON, 3% TAXI, 4% WIKA , WSKT 2%. The funds to be invested are IDR 1,000,000, the total number of shares to be purchased is 1,271 sheets, or if in the lot lot there are around 12 lots.

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Single-Index Expectile Models for Estimating Conditional Value at Risk and Expected Shortfall*

Journal of Financial Econometrics ◽

10.1093/jjfinec/nbaa016 ◽

2020 ◽

Author(s):

Rong Jiang ◽

Xueping Hu ◽

Keming Yu

Keyword(s):

At Risk ◽

Value At Risk ◽

Real Data ◽

Expected Shortfall ◽

Conditional Value At Risk ◽

Finite Sample ◽

Single Index ◽

Index Model ◽

Index Approach ◽

The One

Abstract This article develops a single-index approach for modeling the expectile-based value at risk (EVaR). EVaR has an advantage over the conventional quantile-based VaR (QVaR) of being more sensitive to the magnitude of extreme losses. EVaR can also be used for calculating QVaR and expected shortfall (ES) by exploiting the one-to-one mapping from expectiles to quantiles and the relationship between VaR and ES. We develop an asymmetric least squares technique for estimating the unknown regression parameter and link function in a single-index model, and establish the asymptotic normality of the resultant estimators. Simulation studies and real data applications are conducted to illustrate the finite sample performance of the proposed methods.

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