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

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

scholarly journals 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)

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

<p><em>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.</em><em> </em><em>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.</em><em> </em><em>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.</em><em> </em><em>The limitation of this research is as follows: it focuses on two approaches, analyses on investment obligations and stocks, and the healthcare agency only.</em><em></em></p>

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

2021 ◽  
Vol 10 (2) ◽  
pp. 269-278
Author(s):  
Eis Kartika Dewi ◽  
Dwi Ispriyanti ◽  
Agus Rusgiyono
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Market Price ◽  
Expected Shortfall ◽  
Optimal Portfolio ◽  
Share Price ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Stock Investment

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.

scholarly journals Kinerja Portofolio Optimal Pada Saham Syariah

2017 ◽  
Vol 4 (12) ◽  
pp. 994
Author(s):  
Mutmainah Mutmainah ◽  
Imron Mawardi
Keyword(s):  
Secondary Data ◽  
Optimal Portfolio ◽  
Portfolio Performance ◽  
Single Index ◽  
Index Model ◽  
Descriptive Research ◽  
Single Index Model ◽  
Quantitative Descriptive

This study wants to describe whether an optimal portfolio which was formed in 2013-2015 it was good in 2016 compared to the performance of Jakarta Islamic Index and described as it is. The formation of the portfolio using single index model and the performance is measured by using the Sharpe index. This research is quantitative descriptive research. This research uses secondary data, carried out on the stock consistently at the Jakarta Islamic Index in January 2013-July 2016. Based on data, there were 18 shares actively and four stocks forming optimal portfolio composed of AKRA, TLKM, ICBP, and UNVR. Optimal portfolio performance in 2016 was 0,720 while the performance of the market was 0,676. With the results showed that it formed a good portfolio because the result was higher than the market. So investors or investment managers can make this portfolio as investment considerations.

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

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.

Evaluasi Kinerja Portofolio Dengan Indeks Treynor Pada Portofolio Optimal Dan Portofolio Acak Di Bursa Efek Indonesia

2019 ◽  
Vol 21 (2) ◽  
pp. 116-124
Author(s):  
Jourdan Septiansyah Efflan
Keyword(s):  
Stock Exchange ◽  
Optimal Portfolio ◽  
Portfolio Performance ◽  
Single Index ◽  
Index Model ◽  
Model Method ◽  
Single Index Model ◽  
Closing Price ◽  
Naïve Diversification ◽  
Research Period

This study aims to determine the composition of the optimal portfolio using a single index model, determine the composition of the random portfolio using naive diversification, then evaluate the performance of the portfolio formed using the Treynor index. This study uses monthly stock closing price data listed on the Indonesia Stock Exchange during the research period of August 2016 to July 2018. The optimal portfolio formed using a single index model consists of 40 shares, while a random portfolio consists of 10 shares. The results of the Treynor portfolio performance evaluation show that the optimal portfolio formed by the single index model method has better portfolio performance than the random portfolio.

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

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.

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

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

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

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.

scholarly journals Optimal Portfolio of Liquid 45 Stocks: Single Index Model Approach

2021 ◽  
Vol 3 (3) ◽  
pp. 69-84
Author(s):  
Abd Muhni Salam ◽  
Augustina Kurniasih
Keyword(s):  
Optimal Portfolio ◽  
Expected Returns ◽  
Portfolio Performance ◽  
Expected Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Data Collection Technique ◽  
Better Than ◽  
Model Approach

The purpose of this study is to analyze the return, risk, and optimal portfolio performance of LQ45 stocks formed by a single index model in the period August 2017-January 2020. This research is a descriptive study with a quantitative approach. The data collection technique used is documentation study. Based on the results of the calculation, it is found that out of 33 stocks that met the sample criteria, 3 stocks were selected to compile the optimal portfolio, namely BRPT, ICBP, and BBCA stocks. The stock had expected returns of 5.50%, 1.34%, and 2.02%, respectively, whit a risk of 12.87%, 4.75%, and 4.08%, respectively. The optimal portfolio formed has expected return of 2.60% and risk of 4.05%. After measuring performance with the Sharpe, Treynor, & Jensen approach, it is found that the performance of the portfolios that is formed is better than market performance.

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

2020 ◽  
Vol 5 (6) ◽  
Author(s):  
Tri Agus Setyo ◽  
Augustina Kurniasih
Keyword(s):  
Stock Exchange ◽  
Optimal Portfolio ◽  
Portfolio Performance ◽  
Portfolio Risk ◽  
Risk And Return ◽  
Monthly Data ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Risk Free Rate

This study aims to determine and analyze the optimal portfolio forming stocks using the Single Index Model, determine the optimal portfolio risk and return expectations, then compare the optimal portfolio risk and return expectations with market return expectations, then analyze the optimal portfolio performance using the Treynor model. The research was conducted on the Jakarta Islamic Index stocks. Population of 48 issuers, which meet the sample criteria of 14 issuers. Using monthly data for the period December 2014-November 2019, it was found that 2 stocks entered the optimal portfolio, is (with a proportion of funds) ICBP (91.46%) and TLKM (8.54%). The value of E(Rp) 0.0128 is greater than the value of E(RM) 0.0003 and the value of the risk free rate is 0.0048. The value of σp 0.0438 is greater than the value of σ2M 0.0364. The portfolio performance value with the Treynor index of 0.0091 is greater when compared to the market of -0.0045.

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