scholarly journals THE EFFECT OF SYSTEMATIC RISK AND UNSYSTEMATIC RISK ON EXPECTED RETURN OF OPTIMAL PORTFOLIO

2020 ◽  
Vol 5 (2) ◽  
pp. 181
Author(s):  
Denisa Rizky Sukrianingrum ◽  
Gusganda Suria Manda
Keyword(s):  
Linear Regression ◽  
Positive Impact ◽  
Systematic Risk ◽  
Optimal Portfolio ◽  
Descriptive Statistics ◽  
Stock Index ◽  
Coefficient Of Determination ◽  
Expected Return ◽  
Risk Variable ◽  
Variable Probability

The purpose of this research is to search out empirical proof that the expected return of shares portfolio is influenced by the presence of systematic and unsystematic risk. The population in this study was a combination of shares portfolio of non-financial companies listed in the LQ45 stock index during the period 2015 - 2019. The technique for sampling in this research using the technique of purposive sampling with a sample of 7 companies combined into 120 samples. The results of the study were obtained from data that had been analyzed using a test of descriptive statistics, a test of classical assumption, determinant coefficients test, and analysis of multiple linear regression through the help of the SPSS application. The results of the research on the F-test showed that the simultaneous systematic risk (X1) and unsystematic risk (X2) have a significant and positive impact on the expected return of portfolio (Y). The results of the t-test showed that partially the systematic risk variable (X1) has a negative and significant impact on the optimal portfolio expected return (Y), and partially the unsystematic risk variable (X2) has a significant and positive impact on the expected return of optimal portfolio (Y). The variable probability of systematic and unsystematic risk has an impact of 53.5% on the expected return on the basis of the effects of the coefficient of determination in this analysis, while the remaining 46.5% is determined by other factors that are not tested.

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 PERHITUNGAN PORTOFOLIO OPTIMAL DENGAN METODE MEAN-SEMIVARIANCE DAN MEAN ABSOLUTE DEVIATION

2021 ◽  
Vol 10 (2) ◽  
pp. 65
Author(s):  
NI KADEK NITA SILVANA SUYASA ◽  
KOMANG DHARMAWAN ◽  
KARTIKA SARI
Keyword(s):  
Optimal Portfolio ◽  
Stock Index ◽  
Mean Absolute Deviation ◽  
Portfolio Risk ◽  
Investment Portfolio ◽  
Expected Return ◽  
Absolute Deviation ◽  
Index Data ◽  
The Mean ◽  
Deviation Method

Knowing and managing investment portfolio risk is the most important factor in growing and preserving capital. The purpose of this study is to determine the optimal portfolio using Mean-Semivariance and Mean Absolute Deviation methods. The Mean-Semivariance method is a method that uses semivariance-semicovariance as a measure of risk while the Mean Absolute Deviation method uses the absolute deviation between realized return and expected return as a measure of risk. This study uses stock index data of LQ45 period February 2017-July 2019. The results of this study are that the Mean Absolute Deviation method gives higher return and risk than the Mean-Semivariance method.

scholarly journals PEMBENTUKAN PORTOFOLIO OPTIMAL TIGA SAHAM LQ45 DAN PERBANDINGAN TERHADAP KINERJA REKSA DANA SAHAM PADA OKTOBER 2016

2017 ◽  
Vol 1 (1) ◽  
pp. 89
Author(s):  
Erick Saputra Hidayat
Keyword(s):  
Mutual Fund ◽  
Sharpe Ratio ◽  
Optimal Portfolio ◽  
Stock Index ◽  
Research Use ◽  
Portfolio Investment ◽  
Expected Return ◽  
Holding Period ◽  
Investment Manager ◽  
Better Than

This study attempts to form an optimal portfolio of three stocks derived from LQ45 stock index and compared with the best stock mutual fund made by investment manager according to realized return from September 2015 to September 2016 with monthly holding period. Optimal portfolio is a portfolio that provides the highest level of expected return for a given level of risk or the lowest risk for a given level of expected return in compare to other portfolios. The method used in this research is sharpe ratio.This research use a software named PORTO which is designed for portfolio investment and created by Edwin J. Elton, Martin J. Gruber, and Christopher R. Blake in 1995. The results of this research showed that the optimal portfolio of three stocks is better than stock mutual fund. The optimal portfolio of three stocks consist of 73.391% stock TLKM, 17.993% stock ADRO, and 8.616% stock LSIP. These combinations are expected to give 54.70% of expected return and 29.50% of risk with 1.654237 of sharpe ratio. The stock mutual fund is Treasure Fund Super Maxxi. This mutual fund are expected to give 40.52% of expected return and 75.85% of risk with 0.456417 of sharpe ratio.Keywords: optimal portfolio, mutual fund, sharpe ratio, PORTO, LQ45

scholarly journals Optimal portfolio analysis of manufacturing entities in the Indonesia Sharia Stock Index

2022 ◽  
Vol 10 (8) ◽  
pp. 188-199
Author(s):  
Yunan Najamuddin ◽  
Neni Meidawati ◽  
Nahar Savira Putri ◽  
Yuni Nustini ◽  
Muamar Nur Kholid
Keyword(s):  
Model Test ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Portfolio Analysis ◽  
Optimal Portfolio ◽  
Stock Index ◽  
Expected Return ◽  
Purposive Sampling ◽  
Index Model ◽  
Single Index Model

The purpose of this research is to determine the optimal portfolio for manufacturing entities listed on the Indonesian Sharia Stock Index based on a single index model test. The population of this research is manufacturing entities that have been listed in the Indonesian Sharia Stock Index on the Indonesia Stock Exchange for the Period 2019-2020. This study uses a purposive sampling technique using several criteria. Based on this technique, 31 entities meet the criteria. The results showed that the expected return was 5.65%, and the possible risk was 0.22% for 15 (fifteen) stocks included in the optimal portfolio category.  

scholarly journals 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 PENGUNGKAPAN ISLAMIC SOCIAL REPORTING PADA INDEKS SAHAM SYARIAH INDONESIA

2017 ◽  
Vol 13 (2) ◽  
Author(s):  
Ardiani Ika Sulistyawati ◽  
Yuliani Indah
Keyword(s):  
Data Analysis ◽  
Linear Regression ◽  
Social Responsibility ◽  
Financial Institutions ◽  
Firm Size ◽  
Positive Impact ◽  
T Test ◽  
Coefficient Of Determination ◽  
Islamic Banking ◽  
Islamic Financial Institutions

Islamic Social Responsibility (ISR) is a measure of social responsibility implementation of Islamic banking which contains a compilation of items of CSR standards set by the Accounting and Auditing Organization for Islamic Financial Institutions (AAOIFI). This study aims to examine empirically and analyze the effect of firm size, profitability, leverage and board size to disclosure of Islamic social reporting.The research sample using purposive sampling where the sampling is based on certain criteria, obtained a sample 39 companies. Methods of data analysis used in this study using linear regression, t test, F test, classic assumption and the coefficient of determination. The results showed that the Board of Independent Commissioners significant and positive impact on the ISR Size. Other results show thay Profitability and Leverage no significant effect on ISR.

scholarly journals The effect of knowledge sharing toward employee performance with teamwork as the moderator at PT Telkom Indonesia division of regional II Jabodetabek

2020 ◽  
Vol 20 (1) ◽  
pp. 1-12
Author(s):  
Putri Ananda Nadilla
Keyword(s):  
Regression Analysis ◽  
Linear Regression ◽  
Knowledge Sharing ◽  
Multiple Linear Regression ◽  
Positive Impact ◽  
Employee Performance ◽  
Linear Regression Analysis ◽  
Sampling Technique ◽  
Multiple Linear Regression Analysis ◽  
Coefficient Of Determination

PT Telkom Indonesia is one of the best SOE companies in Indonesia. One of the efforts made by Telkom is to always become a good corporate that they have experienced and knowledgeable human resource. This research aimed to determine the effects of knowledge sharing on employee performance with teamwork as a moderator in PT Telkom Indonesia division of regional II Jabodetabek. The research method used in this research was quantitative with multiple linear regression analysis. The basic theory used in this research is the basis theory of knowledge sharing and teamwork. The population in this study was Regional II employees of PT Telkom Indonesia that have 95 respondents as the total of respondent in this research. The sampling technique type used non-probability sampling with using convenience sampling. In this research the method was using multiple linear regression analysis methods and hypothesis testing (T test, F test, and coefficient of determination) using application called SPSS 20 for windows. The research results in this study revealed that there is a positive impact and significant relationship between knowledge sharing on employee performance partially; while from simultaneously of knowledge sharing on employee performance with teamwork as a moderator also has a positive relationship and significant effect. Conclusion from this study showed that teamwork variable moderates the relationship between knowledge sharing on employee performance in Regional II PT Telkom Indonesia.

scholarly journals Servicescape dan Pengaruhnya Terhadap Kepuasan Pelanggan: Studi Pada Konsumen Eduplex Bandung

2019 ◽  
Vol 5 (2) ◽  
pp. 21
Author(s):  
Azmi Mutia Ainun ◽  
Maya Setiawardani
Keyword(s):  
Linear Regression ◽  
Customer Satisfaction ◽  
Fast Food ◽  
Descriptive Statistics ◽  
Coefficient Of Determination ◽  
Fast Food Restaurant ◽  
Simple Linear Regression ◽  
The City

Lifestyle communities are growing, have an impact on people's lives in fulfilling his needs.One of them, namely the need for food. To meet the needs of the food, people are more likely to go to a fast-food restaurant or Cafe. Specifically for the cafe, at this time many cafes are there in the city of Bandung stand not only to put forward products are sold, but also very attentive to the comfort of a given place.The purpose of this research is to know the servicescape and its effect on customer satisfaction at the Eduplex in Bandung.The sample in this study i.e. as many as 117 people respondents with the method of analysis used a classic assumption test, i.e. an analysis of descriptive statistics, correlation and simple linear regression, simple, the coefficient of determination and test hypotheses.

scholarly journals PENGARUH EFEKTIVITAS PENERAPAN TEKNOLOGI INFORMASI TERHADAP KUALITAS LAPORAN KEUANGAN PEMERINTAH DAERAH

2013 ◽  
Vol 1 (1) ◽  
pp. 1 ◽  
Author(s):  
Agus Widarsono
Keyword(s):  
Information Technology ◽  
Linear Regression ◽  
Positive Impact ◽  
Coefficient Of Determination ◽  
Simple Linear Regression ◽  
Financial Report ◽  
Know How ◽  
Governance Effectiveness ◽  
The Impact

This research has purposes to know how the impact of the effectiveness of the technology information application to the quality of financial report in the regency area governance. This methods used into this research is verification descriptive. The data collected by spreading questioners that use semantic defferensial scale on its scoring. To assess the impact of effectiveness of the application of information technology (X) to the quality of financial report (Y), then used simple linear regression. Where as to know how much the impact that is given to the variable of independence, then use coefficient of determination. The result of the analysis shows that the applied of effectiveness information technology has positive impact to the quality of financial report in regency governance. Effectiveness of the application of information technology give impact 53,0% to the quality of financial report of the official regency governance, the agency and office in the environment of Sukabumi regency. While the rest 47,0% is the impact of another factors outside effectiveness of the application of information technology.

scholarly journals Servicescape dan Pengaruhnya Terhadap Kepuasan Pelanggan: Studi Pada Konsumen Eduplex Bandung

2019 ◽  
Vol 5 (2) ◽  
pp. 16-27
Author(s):  
Azmi Mutia Ainun ◽  
Maya Setiawardani
Keyword(s):  
Linear Regression ◽  
Customer Satisfaction ◽  
Fast Food ◽  
Descriptive Statistics ◽  
Coefficient Of Determination ◽  
Fast Food Restaurant ◽  
Simple Linear Regression ◽  
The City

Lifestyle communities are growing, have an impact on people's lives in fulfilling his needs.One of them, namely the need for food. To meet the needs of the food, people are more likely to go to a fast-food restaurant or Cafe. Specifically for the cafe, at this time many cafes are there in the city of Bandung stand not only to put forward products are sold, but also very attentive to the comfort of a given place.The purpose of this research is to know the servicescape and its effect on customer satisfaction at the Eduplex in Bandung.The sample in this study i.e. as many as 117 people respondents with the method of analysis used a classic assumption test, i.e. an analysis of descriptive statistics, correlation and simple linear regression, simple, the coefficient of determination and test hypotheses.

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