Construction of Optimal Portfolio Using Sharpe’s Single Index Model and Markowitz Model: An Empirical Study on Nifty50 Stocks

2017 ◽  
Author(s):  
Ajay Kumar Patel ◽  
Subhodeep Chakraborty
Keyword(s):  
Empirical Study ◽  
Optimal Portfolio ◽  
Markowitz Model ◽  
Single Index ◽  
Index Model ◽  
Single Index Model

scholarly journals PENGARUH PEMILIHAN INDEKS PASAR DALAM PEMBENTUKAN PORTOFOLIO MODEL INDEKS TUNGGAL

2020 ◽  
Vol 8 (1) ◽  
pp. 1
Author(s):  
Ezra Putranda Setiawan
Keyword(s):  
Empirical Study ◽  
Standard Error ◽  
Stock Exchange ◽  
Optimization Method ◽  
Optimal Portfolio ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Market Index ◽  
Index Value

Portfolio is a type of investment consists of several assets, such as stocks. Single index model is a portfolio optimization method that uses the market index value to calculate beta as a measure of asset’s performance. However, there are several market index available in Indonesia Stock Exchange. In this study, we examine and compare the performance of several market index to the portfolio’s performance that calculated using Single-Index Model. We choose several stocks that used in several market index, obtain the return data, and obtain the beta using several market index. The calculation of the optimal portfolio were repeated using 15 sets of data to obtain consistency. Based on the empirical study, we obtain that the way to choose the market index could affect the estimated beta as well as its standard error. However, it has a very small effect on the weight and the performance of the optimal portfolio.

scholarly journals Metode Penentuan Portofolio Optimal Menggunakan Model Indeks Tunggal Sharpe Saham-Saham LQ45 Tahun 2019

2020 ◽  
Vol 1 (2) ◽  
pp. 68
Author(s):  
Wibisono Hardjopranoto
Keyword(s):  
Portfolio Management ◽  
Economic Value ◽  
Portfolio Analysis ◽  
Optimal Portfolio ◽  
Characteristic Line ◽  
Markowitz Model ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Risk Characteristic

Abstrak--Konstruksi portofolio optimal menjadi fokus perhatian dan semakin menantang bagi manajemen investasi karena pada umumnya investor bermotif untuk memaksimalkan economic value-nya dengan memainkan peran dua variabel utamanya, imbal hasil (return) dan risiko (risk). Single Index Model(SIM) William Sharpe (1963) merupakan model yang sederhana terutama jika dibandingkan dengan model Markowitz (1952), terutama karena pertimbangan jumlah variabel masukannya. Model Markowitz dikatakan memiliki keterbatasan praktis serius; model Sharpe menyederhanakannya (http://www.economicsdiscussion.net/portfolio-management/theories-portfolio-management/sharpe-theory-of-portfolio-management-financial-economics/29763 [r. 07/05/20]).Penelitian ini bermaksud menggambarkan portofolio optimal seperti apa yang dapat dibentuk dari saham-saham LQ45 tahun 2019 menggunakan SIM tersebut. Hasilnya memperlihatkan 27 saham LQ45 terpilih dari 45 saham yang pantas menjadi anggota portofolio optimal dalam pembobotan mulai dari bobot yang tertinggi ke bobot terendah. Dengan tetap menyadari sepenuhnya bahwa SIM hanya menggunakan indeks (pasar) sebagai satu-satunya faktor pembentuk risiko berinvestasi,penerapan model ini memberikan pembelajaran yang amat berharga justru karena kesederhanannya sehingga mampu memberikan gambaran yang jelas dan dengan demikian tetap perlu dipelajari sebagai pengetahuan dasar dalam Mengelola Portofolio/ Investasi. Kata kunci: Sharpe’s Single Index Model, Portfolio Analysis, Optimal Portfolio Con-struction, Risk Characteristic Line. Abstract--Optimal portfolio construction is the focus of attention and is increasingly challenging for investment management because in general investors are motivated to maximize their economic value by playing the role of two main variable, return and risk. William Sharpe’s (1963) Single Index Model (SIM) is a simple model especially when compared to the Markowitz model (1952), mainly because of the consideration of the number of input variables. The Markowitz model is said to have serious practical limitations; the Sharpe model simplifies it (http://www.economicsdiscussion.net/portfolio-management/ theories-portfolio-management/sharpe-theory-of-portfolio-management-financial-econo-mics/29763 [r. 07/05/20]). This study intends to describe what optimal portfolio can be formed from LQ45 shares in 2019 using the SIM. The results show 27 selected LQ45 shares from 45 shares that deserve to be members of the optimal portfolio in weighting starting form the highest weight to the lowest weight. By being fully aware that SIM uses only the index (market) as the sole factor for investment risk, the application of this model provides valuable learning precisely because of its simplicity so as to provides a clear picture and thus need to be learned as basic knowledge in Managing Portfolio/ Investments. Keywords: Sharpe’s Single Index Model, Portfolio Analysis, Optimal Portfolio Con-struction, Risk Characteristic Line.  

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

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.

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