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 Aplikasi Single Index Model dalam Pembentukan Portofolio Optimal Saham LQ45 pada Bursa Efek Indonesia

2019 ◽  
Vol 2 (01) ◽  
pp. 47
Author(s):  
Atika Lusi Tania
Keyword(s):  
Stock Exchange ◽  
Optimal Portfolio ◽  
Market Prices ◽  
Single Index ◽  
Index Model ◽  
Stock Portfolios ◽  
Single Index Model ◽  
Market Index ◽  
Stock Investment ◽  
Stock Portfolio

Single Index Model is a stock return model that divides the effect on returns into a systematic factor (as measured by yields on the market index) and company-specific factors. The shares used in the formation of the portfolio of the Single Index Model are stocks included in the LQ45 Index in the Indonesia Stock Exchange because this Index has always increased from year to year. However, not all shares in the LQ45 Index can be used, there must be a determination to get the most suitable shares to be used as a portfolio. Therefore, the author uses the Single Index Model Application in the Formation of the LQ45 Optimal Stock Portfolio on the Indonesia Stock Exchange so that investors know how to form an optimal portfolio using a simpler model of the single index model. This study aims to apply the application of a single index model in the formation of a stock portfolio registered in LQ45, determine the proportion of stock investment in the number of lots based on the proportion of stock portfolios, and determine the funds needed for stock investment based on the number of lots. Based on the results of data analysis using the Single Index Model Optimal Portfolio, the results show that out of 45 stocks in LQ45, 13 optimal stocks will be purchased by investors. Thirteen shares and market prices include LPPF Rp.3,400, INTP Rp20,025, LPKR Rp274, INCO Rp3,030, PTPP Rp.2,180, SCMA Rp1,615, TBIG Rp.3,850, AALI Rp.10,350, CTRA Rp1. 070, PWON Rp725, TAXI Rp50, WIKA Rp2,340, and WSKT Rp1,970. The proportion of shares is 9% LPPF, 7% INTP, 5% LPKR, 13% INCO, 19% PTPP, 12% SCMA, 9% TBIG, 7% AALI, 4% CTRA, 6% PWON, 3% TAXI, 4% WIKA , WSKT 2%. The funds to be invested are IDR 1,000,000, the total number of shares to be purchased is 1,271 sheets, or if in the lot lot there are around 12 lots.

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 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.

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%

Pembentukan Portofolio Optimal Saham-Saham Di Bursa Efek Indonesia (Bei)

2019 ◽  
Vol 14 (2) ◽  
Author(s):  
Hendrato Setiabudi Nugroho ◽  
Seto Satriyo Bayu Aji
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Optimal Portfolio ◽  
Research Needs ◽  
Portfolio Risk ◽  
Expected Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Dynamic Movement

This research was conducted with the aim of compiling an optimum portfolio of stocks listed on the Indonesia Stock Exchange (IDX) using a single index model. The subjects of this study are stocks that consistently entered into LQ45 during the 2014-2018 period. This period was chosen because at that time the stock transactions on the Indonesia Stock Exchange was bad, as evidenced by the weak and tendency of the index (IHSG) trend. The single-index model is used because it is a simple model and is widely used in optimum portfolio formation. This model can be used to calculate expected return and portfolio risk making it possible to form an optimum portfolio. Even though similar studies have often been carried out, the very dynamic movement of stock prices on the stock exchange causes changes in the optimal portfolio each year. So that research needs to be done that continuously uses different periods of the year. The results of this study indicate that of the 24 listed issuers that were sampled, only 18 shares formed the optimal portfolio. These shares were BBCA 17.21%, PWON 16.35%, WIKA 12.95%, KLBF 7.45%, GGRM 6.51%, BBNI 5.68%, UNVR 5.35%, UNTR 4, 92%, ICBP 4.65%, ADRO 3.81%, JSMR 3.21%, ASII 3.00%, SMGR 2.78%, TLKM 2.08%, PTBA 2.07%, INDF 1.90% , BMRI 0.06%, and INTP 0.02%.

scholarly journals Studi Komparatif Pembentukan Portofolio Optimal Dengan Stochastic Dominance dan Single Index Model

2019 ◽  
Vol 1 (1) ◽  
pp. 1-12
Author(s):  
Yuni Utami
Keyword(s):  
Stochastic Model ◽  
Stochastic Dominance ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Optimal Portfolio ◽  
Index Method ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Portfolio Return

Purpose- The study aims to see whether there is a difference between the stochastic dominance method and the single index method in forming an optimal portfolio. and seeing which method is more optimal. Methods- The sample used in the study was a real estate and property company listed on jakarta stock exchange for five years period (2013 - 2017). sampling technique in research using purposive sampling and analysis sampling techniques using average difference test (t-test). after being tested with each method both the stochastic model and the single index model, Finding- The results show that there is a difference in return from the formation of an optimal portfolio with the results of the test which results in 0.048 below the significant level of 0.05. and the results of the calculation of portfolio return formed by the stochastic method is 0.0079 smaller than the portfolio return formed by the single index method of 0.0173 which means that the single index method is more optimal than the stochastic model.

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