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 Optimal Portfolio Selection in Ex Ante Stock Price Bubble and Furthermore Bubble Burst Scenario from Dhaka Stock Exchange with Relevance to Sharpe’s Single Index Model

2012 ◽  
Vol 3 (3) ◽  
pp. 29-42
Author(s):  
Javed Bin Kamal
Keyword(s):  
Stock Price ◽  
Stock Exchange ◽  
Rate Of Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Price Bubble ◽  
Ex Ante ◽  
Risk Free Rate ◽  
Free Rate

The paper aims at constructing an optimal portfolio by applying Sharpe’s single index model of capital asset pricing in different scenarios, one is ex ante stock price bubble scenario and stock price bubble and bubble burst is second scenario. Here we considered beginning of year 2010 as rise of stock price bubble in Dhaka Stock Exchange. Hence period from 2005 -2009 is considered as ex ante stock price bubble period. Using DSI (All share price index in Dhaka Stock Exchange) as market index and considering daily indices for the March 2005 to December 2009 period, the proposed method formulates a unique cut off point (cut off rate of return) and selects stocks having excess of their expected return over risk-free rate of return surpassing this cut-off point. Here, risk free rate considered to be 8.5% per annum (Treasury bill rate in 2009). Percentage of an investment in each of the selected stocks is then decided on the basis of respective weights assigned to each stock depending on respective ‘β’ value, stock movement variance representing unsystematic risk, return on stock and risk free return vis-à-vis the cut off rate of return. Interestingly, most of the stocks selected turned out to be bank stocks. Again we went for single index model applied to same stocks those made to the optimum portfolio in ex ante stock price bubble scenario considering data for the period of January 2010 to June 2012. We found that all stocks failed to make the pass Single Index Model criteria i.e. excess return over beta must be higher than the risk free rate. Here for the period of 2010 to 2012, the risk free rate considered to be 11.5 % per annum (Treasury bill rate during 2012).

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 Analysis of the Markowitz Method and the Single Index Method in Determining the Optimal Portfolio

2021 ◽  
Vol 5 (1) ◽  
pp. 126-133
Author(s):  
Dhea Eka Fitriyani
Keyword(s):  
Sampling Method ◽  
Stock Exchange ◽  
T Test ◽  
Optimal Portfolio ◽  
Minimal Risk ◽  
Index Method ◽  
Single Index ◽  
Study Population ◽  
The One ◽  
Stock Portfolio

Investors generally make investments to get the maximum return with minimal risk. The optimal portfolio is a method that can be used to determine the stock portfolio that produces the maximum return with the least risk. The purpose of this study is to determine the accuracy of the Markowitz method and the single index method in determining the optimal portfolio and to determine whether or not there are differences in the results of optimal portfolio calculations using the Markowitz Method and the Single Index Method. The study population includes LQ-45 companies listed on the Indonesia Stock Exchange for the period 2014-2018. The sampling method used in this study was purposive sampling, based on predetermined criteria obtained from 18 sample companies. The method used is the One-Sample t-Test and the Independent Sample t-Test. The results of this study indicate that there is no difference between the Markowitz Method and the Single Index Method in determining the Optimal Portfolio.

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 PEMBENTUKAN PORTOFOLIO OPTIMAL PADA SAHAM LQ-45 PERIODE TAHUN 2015 DENGAN MENGGUNAKAN SINGLE-INDEX MODEL

2019 ◽  
Vol 6 (01) ◽  
Author(s):  
Erma Yuliaty ◽  
Erwin Dyah Astawinetu ◽  
Sri Hadijono
Keyword(s):  
Capital Market ◽  
Optimal Portfolio ◽  
Minimal Risk ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Reduce Risk ◽  
The Capital Market ◽  
Profit Rates

Investors basically pay more attention to risks than returns (profit rates). For this purpose,investors form a portfolio. A trusted portfolio can reduce risk and increase return. In forming aportfolio to reduce risk, it is expected to diversify. Due to rational investors, investors try to getan optimal portfolio, namely a portfolio that will produce the most minimal risk. Whereas ininvesting in the capital market, investors will be faced with many shares. The LQ-45 index is anindex containing 45 stocks with high liquidity and large capitalization. In connection with thismatter, in this study a research is conducted on the formation of an optimal portfolio using LQ45sharesandusingtheSingle-IndexModelapproach.Theresultsofthisstudyindicatethatoutof40LQ-45stocksthatsuccessfullyenteredastheresearchobject,10stockcandidateshavethepotentialto form an optimal portfolio. However, after being tested against Zi, only one stockwas chosen to form the optimal portfolio, namely AKRA shares. Thus AKRA's hundred percentshare becomes the optimal portfolio that generates returns of 0.2531% with a risk of 0.51%. Keywords: LQ-45 Index, Single-Index Model, optimal portfoli

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