scholarly journals The single index model & the construction of optimal portfolio: A case of banks listed on NSE India.

2014 ◽  
Vol 4 (2) ◽  
pp. 110-115 ◽  
Author(s):  
Saurabh Singh ◽  
Jayant Gautam
Keyword(s):  
Empirical Analysis ◽  
Price Index ◽  
Stock Exchange ◽  
Investment Decisions ◽  
Optimal Portfolio ◽  
Risk And Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
The Empirical Analysis

Risk and return plays an important role in making any investment decisions. Decisions that range from ‘Should the investment be done?’ and if yes, then ‘which security should comprise portfolio?’ In the present study 10 companies listed at National Stock Exchange (NSE) and CNX Bank Price Index was selected taking Jan 2009 to Dec 2013 as period of study. The monthly closing prices of the selected securities were used for the above mentioned period. Application of Single Index Model for the empirical analysis identified a portfolio of two companies based on the cut-off point.

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.

scholarly journals Analisis Strategi Optimalisasi Portofolio Saham LQ 45 (pada Bursa Efek Indonesia Tahun 2009-2011)

2016 ◽  
Vol 4 (2) ◽  
pp. 163
Author(s):  
Dwi Larasati ◽  
Abdul Kohar Irwanto ◽  
Yusrina Permanasari
Keyword(s):  
Capital Market ◽  
Stock Exchange ◽  
Excess Return ◽  
Optimal Portfolio ◽  
Minimal Risk ◽  
Expected Return ◽  
Risk And Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model

<p><em>Capital market </em><em>is</em><em> a </em><em>meeting </em><em>place for pe</em><em>ople</em><em> who h</em><em>ave</em><em> excess money </em><em>and those</em><em> who </em><em>need money</em><em> </em><em>for </em><em> transaction of security. Every investor need</em><em>s </em><em>optimal profits with minimal risk. Portfolio is basically related to how one allocates a number of stocks into various investment types that results </em><em>i</em><em>n optimal profits. By making diversification, investor</em><em>s</em><em> may reduce the rate of risk and at the sametime optimize the rate of expected return. Based on this case this research raises the problem of how to design an optimal portfolio simulation. i.e. a combination of liquid shares LQ 45 list ini Indonesia</em><em>n</em><em> Stock Exchange in the period of 2009-2011 by using two method</em><em>s</em><em>, using Single Index Model and Indexing. Single index Model is a model of portfolio analysis using the account of Excess Return to Beta (ERB) ratio and value of C* to gain optimal shares  on portfolio. The procedure of indexing is </em><em>to </em><em>make </em><em>one’s</em><em> own group i.e liquid LQ 45 calculat</em><em>ing</em><em> the risk and return then compare the result with Single Index Model, the procedure </em><em>of</em><em> all securities are ranked by ERB instead of Excess Return to Risk</em><em> (ERR)</em><em>. After securities </em><em>were</em><em> ranked using the above ratio, securities with greater Excess return to standart deviation and cut off point (C*) </em><em>we</em><em>re included into the optimal portfolio. The conclu</em><em>sion</em><em> of this research </em><em>is that it is </em><em>better to choose Single Index Model as the methode  result</em><em>ing i</em><em>n optimal profits.  </em><em></em></p><em>Keyword: Optimum portfolio, LQ 45, single index, indexing</em>

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 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>

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.

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.

Heuristic Optimization of Portfolio Considering Sharpe's Single Index Model

2019 ◽  
pp. 179-197
Author(s):  
Soma Panja
Keyword(s):  
Empirical Analysis ◽  
Risk Taking ◽  
Linear Solution ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Optimum Solution ◽  
City Block Distance ◽  
The City ◽  
The Empirical Analysis

Selection of weights of the selected securities in the portfolio is a cumbersome job for any investor. The famous nonlinear Sharpe's single index model has been simplified with a linear solution and the risk-taking propensity of the investors have been taken into consideration in the simplified formulation. The coefficient of optimism is included to observe the effect of risk-taking propensity in the portfolio selection. After the empirical analysis it is found that heuristically an investor can reach near to the optimum solution. For empirical analysis 126 months data have been considered of NSE Bank Index. To reduce the volatility of the data the whole period again has been divided into two parts each of 63 months duration, and separately the data pertaining to the three periods have been considered for calculation. The city block distance is used to calculate the nearness between the optimum solutions and the heuristic solutions.

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 Single Index Model Analysis for Optimum Portfolio in Pharmaceutical Companies Registered in Indonesia Stock Exchange

2021 ◽  
Vol 4 (2) ◽  
pp. 172-181
Author(s):  
Agus Parhan Saepul Anwar ◽  
Ana Yuliana Jazuni ◽  
Andy Juniarso
Keyword(s):  
Consumer Goods ◽  
Stock Exchange ◽  
Virus Disease ◽  
Optimal Portfolio ◽  
Pharmaceutical Companies ◽  
Expected Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Consumer Goods Industry

Investment is an interesting thing to analyze during the Corona Virus Disease (COVID-19) pandemic because at this time the economy is experiencing a decline so specifically for investors, they must consider the level of risk in their shares. The purpose of this study is to determine the condition of Consumer Goods Industry stocks with a concentration of pharmaceutical companies that can form an optimal portfolio and to determine the proportion of each selected stock and the level of return and risk of the resulting portfolio. The method that used is Single Index Model approach. The results of the analysis show that using the Single Index Model, Consumer Goods Industry stocks with a concentration of pharmaceutical companies from December 2016 to November 2020 can form an optimal portfolio consisting of SIDO with a proportion of 26.10%, PYFA with a proportion of 23 , 02%, DVLA with a proportion of 50.89% and a portfolio expected return of 5.79% and a risk of 6.95%

Sign in / Sign up

Export Citation Format

Share Document