scholarly journals The impact of COVID-19 on formation and evaluation of portfolio performance: A case of Indonesia

2021 ◽  
Vol 18 (3) ◽  
pp. 63-73
Author(s):  
Immas Nurhayati ◽  
Endri Endri ◽  
Titing Suharti ◽  
Renea Shinta Aminda ◽  
Leny Muniroh
Keyword(s):  
Risk Factor ◽  
Negative Impact ◽  
Stock Exchange ◽  
Performance Testing ◽  
Expected Returns ◽  
Portfolio Performance ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
The Impact

This paper examines how to build a portfolio and assess the impact of the COVID-19 on portfolio performance using the Sharpe single index model. The research sample consists of ten high market capitalization stocks representing five price fractions of the population listed stocks on the Indonesia Stock Exchange during the COVID-19 outbreak from March 1 to May 31, 2020. The results show that there are four stocks that are included in the portfolio formation, namely CASA with a proportion of 50%, BNLI with a proportion of 26 %, UNVR with a proportion of 15%, and HMSP with a proportion of 9%. Based on portfolio performance testing using the Sharpe single index model, it is known that the portfolio during the COVID-19 has a negative Sharpe ratio, meaning that portfolio performance is underperforming. The findings provide evidence that COVID-19 has had a negative impact on the stock market so that many investors have suffered losses on their portfolios. The implications of findings are that investors must evaluate portfolio performance and restructure the formation of new portfolios by considering the COVID-19 pandemic outbreak as a systematic risk factor that can determine the expected returns.

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 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.

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.

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 ANALISIS PERBANDINGAN RISK&RETURN PORTOFOLIO SAHAM FIRST LINER& SECOND LINER DENGAN METODE INDEKS TUNGGAL (Studi Kasus Pada Saham-Saham Perusahaan Makanan dan Minuman yang Terdaftar di BEI Periode 2012-2014)

2018 ◽  
Vol 2 (1) ◽  
Author(s):  
Erwin dyah Astawinetu ◽  
Ni wayan Soebrati
Keyword(s):  
Stock Price ◽  
Stock Exchange ◽  
Significant Risk ◽  
T Test ◽  
Minimal Risk ◽  
Significance Level ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Significant Return

ABSTRACTInvestors generally will invest their fund in stocks that have high return with minimal risk in the capital market. In order to reduce level of risk then the stocks should be formed into portfolio. The purpose of this research is to analyze the risks & return of stocks of the first & the second liner of food & beverages companies that are listed in Indonesia stock exchange (IDX) from 2012 to 2014. A single index model is used for research method. The data observed based on historical data of the closing stock-price of food & beverages companies listed. Technique of taking sample uses purposive sampling. The sample used in this research is 12 (twelve) stocks of the food & beverages companies from 2012 to 2014 which are listed in Indonesia stock exchange (IDX).Data analysis using T-test (independent sample t-test) with significance level of 5%. The first hypothesis using Independent t-test shows that there is no significant return between first liner and second liner stocks. The second hypothesis using Independent t-test shows that there is no significant risk between the two as well.This research shows that investing in the second liner stocks are more profitable than investing in the first liner stocks because the return of the second liner stocks are higher than the first liners’ while the risks of the second liner stocks are lower than the first liners’.  Keywords : Single Index Model, First Liner Stock, Second Liner Stock   

scholarly journals Return and Risk Comparative Analysis in the Formation of Optimal Share Portfolio with Random Model, Markowitz Model, and Single Index Model

2020 ◽  
Vol 17 (2) ◽  
pp. 184-203
Author(s):  
Abdul Muslim
Keyword(s):  
Stock Price ◽  
Stock Exchange ◽  
Random Model ◽  
Expected Return ◽  
Markowitz Model ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Portfolio Composition ◽  
Stock Portfolio

This research was conducted to determine the composition of the stock portfolio formed by the Random model, the Markowitz model, and the Single Index model and which portfolio composition was optimal from the results of calculations using the Random model, the Markowitz model, and the Single Index model. The method used is a quantitative analysis using stock price data in the LQ45 Index group listed on the Indonesia Stock Exchange (IDX). In the first random process the results of calculating the expected return value for each share and obtained portfolio candidates can produce a total expected return of 0.2726 or 27.26%. The Markowitz method produces 14 shares that have a positive value, which means it enters into portfolio-forming shares, while the Single Index Model obtains diversified investments in the form of a portfolio of 6 shares 

scholarly journals ANALISIS VARIANS MULTIVARIAT TERHADAP RETURN DAN RISIKO PORTOFOLIO YANG DITENTUKAN DENGAN ELTON GRUEBER PADBERG MODEL PADA EMPAT KELOMPOK INDEKS (LQ 45, SRI-KEHATI, JII, DAN ISSI)

2018 ◽  
Vol 4 (1) ◽  
pp. 32-52
Author(s):  
Baiq Nurul Suryawati
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Risk Index ◽  
Risk And Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Significant Difference ◽  
The Difference ◽  
Individual Index

AbstractThis research emphasizes the difference between risk and return on four group of index, which are LQ 45, SRI KEHATI, JII and ISSI. Test of significance conduct by doing Analysis of Varians Multivariate. The Analysis of Varians Multivariate results more accurate than repeatedly t-test among group. EGP Model mostly explained as Single Index Model in various textbook. Thus, Single Index Model only clarified influence of a Single Market Index for Individual Index, EGP Model use Reward to Volatility (RVOL) for measuring excess return to systematic risk.  The results shows that after 15 years from sharia index introduce in Indonesian Stock Exchange, it shows significant difference between sharia index and conventional stock market. However, LQ 45 shows it persistence as high return high risk index consistently. The Analysis VariansMultivariate also shows SRI KEHATI, as an ethic businesses representative in Indonesian Stock Exchange as a weaker index. SRI KEHATI shows that various group portfolio form by EGP Model could not exceed JII performance. Therefore, it concludes that indexes provide by capital market to facilitise the preference of investor whereas,it is tremendously various. To invest in stock market, investor need to clarify their wants and needs. Whether their wants is to gain more return or to accommodate their risk, and their preferrence to invest in various kind of business or  certain business such as business based on ethic or faith.Keywords: Analysis of Varians Multivariate; Risk and Return; EGP Model; Indexes; LQ 45; Sri-Kehati; Jakarta Islamic Index (JII); and Indeks Saham Syariah Indonesia (ISSI)

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.

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