The Comparison of Optimal Portfolio Formation Analysis with Single Index Model and Capital Asset Pricing Model in Making Investment Decision

This research aims to find out the portfolio comparison that results from Single Index Model and Capital Asset Pricing Model methods, also portfolio performance evaluation results from Sharpe Index, Treynor Index, and Jensen Index on stocks listed in the LQ45 Index from 2017-2019. Samples taken consisted of 17 shares of companies listed on the LQ45 Index successively and it has a positive average return. Analysis using the Single Index Model method produces an optimal portfolio consisting of 6 shares. Whereas the Capital Asset Pricing Model method produces an efficient portfolio consisted of 13 shares. Portfolio performance evaluation created from both methods results from the rank of shares from each portfolio also has a positive average index, that means shares consisted of these portfolios are worth to be invested.

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Performance and Risk Comparison Analysis of Optimal Portfolio of Shares LQ-45 Using Single Index Model and Capital Asset Pricing Model August 2017 – January 2020 Period

European Journal of Business Management and Research ◽

10.24018/ejbmr.2021.6.1.700 ◽

2021 ◽

Vol 6 (1) ◽

pp. 102-105

Author(s):

Dikri Cakrawala Uno ◽

Andam Dewi Syarif

Keyword(s):

Asset Pricing ◽

Optimal Portfolio ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Pricing Model ◽

Capital Asset ◽

Asset Pricing Model ◽

Single Index ◽

Index Model ◽

Single Index Model

The purpose of this research is to determine the differences between performance and risks optimal portfolio of Single Index Model (SIM) and Capital Asset Pricing Model (CAPM) 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 there is a difference return of the SIM portfolio to CAPM, there is no difference risk of the SIM portfolio to CAPM, there is a difference performance of the SIM portfolio that evaluated using the Sharpe, Treynor and Jansen methods and there is no difference performance of the CAPM portfolio that evaluated using the Sharpe, Treynor and Jansen method.

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HOW PERFORMANCE OF JAKARTA ISLAMIC INDEX (JII) STOCKS RELATIVE TO OTHER STOCKS?

Jurnal Dinamika Manajemen ◽

10.15294/jdm.v6i2.4303 ◽

2015 ◽

Vol 6 (2) ◽

Cited By ~ 1

Author(s):

Erna Listyaningsih ◽

Chandrasekhar Krishnamurti

Keyword(s):

Asset Pricing ◽

Capital Asset Pricing ◽

Pricing Model ◽

Capital Asset ◽

Asset Pricing Model ◽

Index Model ◽

Industry Sector ◽

Single Index Model ◽

Fama And French ◽

Main Model

This study was conducted to assess the performance of Jakarta Islamic Index (JII) stocks and also investigate whether there was an ethical effect (JII selection restriction) and compare it with non-Sharia stocks. The main model used in this study was the Capital Asset Pricing Model (CAPM) single index model extended to the Fama and French three factors. This study employs elaborate matching data. The data used in this study was split into two periods: the 2005-2007 periods which consists of two groups: JII and non-JII and the 2008-2012 periods which consists of three groups: JII, Sharia and non-Sharia based on industry sector. This study found that basically there was no difference on performance between JII and non-JII stocks. Therefore, this result supports the previous studies in which there were no significant differences between Sharia and conventional investment.

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CAPM, INDEKS TUNGGAL DAN TREYNOR SEBAGAI ANALISIS PORTOFOLIO PADA SAHAM SYARIAH

KEUNIS ◽

10.32497/keunis.v9i1.2222 ◽

2021 ◽

Vol 9 (1) ◽

pp. 63

Author(s):

Ery Indah Setyowati ◽

Husnurrosyidah Husnurrosyidah

Keyword(s):

Asset Pricing ◽

Investment Decisions ◽

Optimal Portfolio ◽

Capital Asset Pricing Model ◽

Stock Index ◽

Capital Asset Pricing ◽

Portfolio Performance ◽

Pricing Model ◽

Capital Asset ◽

Asset Pricing Model

This study aims to analyze the optimal portfolio of stocks using a single index model and the Capital Asset Pricing Model (CAPM) in making investment decisions as well as the expected profit and risk of the optimal portfolio formed on Islamic stocks in the Indonesian Sharia Stock Index (ISSI) on the Indonesia Stock Exchange. 2016-2020 period. This research design is descriptive quantitative research. The study population was all stocks that were consistently included in the Indonesian Sharia Stock Index (ISSI), amounting to 207 stocks. The number of samples of this study was 136 stocks using the Slovin method. The results show that there are 54 stocks that meet the criteria for optimal portfolio formation. The optimal portfolio of ISSI index stocks has a portfolio return rate of 21.95% and a portfolio risk of 10.49%. The portfolio performance based on the Treynor index shows that the best of the 54 stocks is PTSP shares amounting to 32.73% of the trading sector. While the results in determining investment decisions using the Capital Asset Pricing Model (CAPM) method and 136 company shares, there are 65 undervalued stocks, and 71 stocks are overvalued.

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