scholarly journals 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)

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.

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 Analisis Pembentukan Portofolio Optimal dan Penentuan Nilai Risiko pada Saham Syariah

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.

ANALISIS PORTOFOLIO OPTIMAL DENGAN MENGGUNAKAN MODEL INDEKS TUNGGAL PADA SAHAM IDX BUMN20 DI BURSA EFEK INDONESIA JANUARI 2018-JANUARI 2019

2019 ◽  
Vol 4 (2) ◽  
Author(s):  
Mochamad Andik Firmansyah
Keyword(s):  
Stock Exchange ◽  
Optimal Portfolio ◽  
Rate Of Return ◽  
Portfolio Risk ◽  
Expected Return ◽  
Purposive Sampling ◽  
Single Index ◽  
Index Model ◽  
Market Return ◽  
Single Index Model

Penelitian ini bertujuan untuk menentukan level of expected return dan the best risk of optimal portfolio  formation dengan menggunakan Single Index Model pada saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dari bulan Januari 2018 sampai January 2019. Saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dengan populasi sebanyak 20 perusahaan. Dengan menggunakan populasi sebesar 20 perusahaan maka peneliti menggunakan purposive sampling, dan ternyata hanya 18 perusahaan saja yang ditemukan memenuhi kriteria penelitian ini. Penelitian ini juga menggunakan metode Kuantitatif Deskriptif. Analisa data pada penelitian ini untuk menentukan saham-saham mana saja yang termasuk the optimal portfolio, dan juga the level of proportion of 1 funds yang termasuk juga dalam kategori the optimal portfolio dan the level of expected return serta the best risk of the optimal portfolio yang terbentuk dengan menggunakan Single Index Model. Hasil dari penelitian ini menunjukan bahwa terdapat 5 perusahaan dengan kategori the optimal portfolio dari 18 sampel perusahaan pada saham IDX BUMN 20 dengan tingkat tertinggi dari level of proportion of 1 funds ditemukan pada PTBA share sat 1.89333 or 189,333%, di lain pihak dengan tingkat terendah adalah pada TLKM shares at -2.13488 or -213.488% yang berarti bahwa saham TLKM adalah negatif dan harus dijual dalam jangka waktu pendek sebesar 213,488% dari dana yang dimiliki oleh para inventor dan menghasilkan rate of return yang diharapkan dari formasi optimal portfolio sebesar 0.17583 or 17.583% lebih tinggi dari yang diharapkan oleh market return sebesar 0.00264 or 0.264% dan memiliki tingkat portfolio risk borne sebesar 0.10384 or 10,384%, lebih kecil dari the risk of market sebesar 0.03367 or 3,367% dan beta market sebesar 1.Kata Kunci : Portfolio, Optimal Portfolio, Single Index Model.

ANALISIS DIVERSIFIKASI INTERNASIONAL : PEMBENTUKAN PORTOFOLIO OPTIMAL INDEKS SAHAM DUNIA (Studi Kasus Pada Indeks Saham Aktif Dunia Versi The Wall Street Journal)

2019 ◽  
Vol 6 (02) ◽  
Author(s):  
Rony Mahendra ◽  
Erwin Dyah Astawinetu
Keyword(s):  
Wall Street Journal ◽  
Optimal Portfolio ◽  
Stock Index ◽  
Wall Street ◽  
Expected Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Stock Indices ◽  
The Wall Street Journal

The research objective is to establish an optimal portfolio and know the difference between risk and return stock index portfolio candidates and non-candidates. Method used in the preparation of this research portfolio is the single index model, while the samples of this study are active world stock indices version of The Wall Street Journal during the period August 2012 - August 2016 and The Global Dow is used as the benchmark stock index. In establishing the optimal portfolio is used two perspectives: the Rupiah perspective and the U.S. Dollar perspective. The results showed there were three stock indices from the perspective of Rupiah and 8 share index menurutperspektif U.S. Dollar that make up the optimal portfolio, with the cut-of-pointsebesar 0,01393menurut Rupiah perspective and the perspective of 0.0078 US Dollars Based on the perspective of return expectations Rupiah obtained by 0.0258 with a risk of 0.06512. Berdarkan perspective of US Dollars, obtained return expectations at 0.0154 with a risk of 0.0292. From the test results showed that the hypothesis, the return on both perspectives there are significant differences between the index of the candidate, with a non-candidate. Then the risk of stock index, among the candidates, with a non-candidate, the Rupiah perspective there is no difference, but in the perspective of US Dollars, there are significant differences.Keywords: Single Index Model, candidate portfolio, optimal portfolio, expected return, excess return to beta, cut-off-point

scholarly journals Perbandingan Kinerja Portofolio yang Dibentuk dengan Single Index Model pada Saham-Saham yang Terdaftar dalam Indeks LQ45 dan Kompas 100 Tahun 2018

2020 ◽  
Vol 12 (1) ◽  
pp. 73-83
Author(s):  
Dini Iskandar ◽  
Martalena Martalena ◽  
Natasha Desiree Julianto
Keyword(s):  
High Risk ◽  
Optimal Portfolio ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
High Return ◽  
Better Than

Stocks as an investment instrument that categorized as a high risk dan high return instrument. Therefore, investors should distributed their invesment funds in a number of shares by forming an optimal portfolio where the highest return is obtain at a certain risk or the lowest risk at certain return. On this study the portfolio forming used the Single Index Model. Portfolio formed from stocks at LQ 45 Index and Kompas 100 Index by aim to get the comparison of their performance.The result of this study indicate that LQ 45 portfolio that containing PTBA, ICBP, BBCA, PGAS and ANTM has a lower return than Kompas 100 portfolio that containing KREN,CPIN, PTBA and JFPA. The performance of both portfolio that analyze by Sharpe Index, Treynor Index and Jensen Index indicate that portfolio of Kompas 100 better than portfolio of LQ 45 , however both of them showed the good performance because their result are positif that mean better than market. Keywords: Portfolio, Single Index Model, Sharpe Index, Treynor Index, Jensen Index.

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 PENGGUNAAN MODEL INDEKS TUNGGAL DALAM MENILAI RESIKO DAN RETURN SAHAM UNTUK PILIHAN BERINVESTASI

2018 ◽  
Vol 1 (1) ◽  
pp. 1
Author(s):  
Anny Widiasmara ◽  
Putri Widyasari
Keyword(s):  
Optimal Portfolio ◽  
Quantitative Approach ◽  
Minimal Risk ◽  
Portfolio Investment ◽  
Risk And Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Portfolio Return

<p><strong>ABSTRACT</strong></p><p><strong></strong><br />The purpose of this study was to assess the risk and return stock that could be an option to invest by using single index model Compass 100 on the IDX in 2010-2014. This type of research used in this research is descriptive quantitative approach. Samples taken as many as 44 companies of the index Compass 100. The results showed that of the 44 samples selected companies, there were 13 companies that have an optimal return and minimal risk to the proportion of each stock: UNVR of 0.2372039%, ANTM of 0.0057649% , BMTR of 0.14997799%, GGRM of 0.1226567%, MNCN of 0.1571756%, JSMR of 0.2749157%, KLBF of 0.0493033%, CPIN at 98.771899%, CTRA of 0.1009368%, GJTL of 0.0607808%, MEDC of 0.0209188%, KIJA of 0.0253161%, LPKR 0.0231518%. Based on the portfolio has been formed on the calculation of portfolio return of 4.74% and the risk of a portfolio of 0.0019683%.</p><p><br /><strong>Keywords : Singe Index Model, Optimal Portfolio, Investment Options</strong></p>

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