scholarly journals ANALISIS PORTOFOLIO SEBAGAI DASAR PENGAMBILAN KEPUTUSAN INVESTASI SAHAM YANG TERDAFTAR PADA BURSA EFEK INDONESIA (BEI) (Studi pengunaan Model Indeks Tunggal pada saham yang terdaftar di LQ45 Periode Februari 2014 s.d Juni 2015 )

2018 ◽  
Vol 2 (2) ◽  
Author(s):  
Erwin dyah Astawinetu ◽  
Lailatul Fitriyah
Keyword(s):  
Stock Exchange ◽  
Sampling Technique ◽  
Optimal Portfolio ◽  
Rate Of Return ◽  
Model Risk ◽  
Purposive Sampling ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Risk Rate

ABSTRACTThis study aims to determine the optimal shares listed on the Indonesia Stock Exchange  (IDX)  contained  in  LQ45  using the  method  of  single  index model.  This  research  is  a  descriptive  study,  the  method  used  is  quantitative method.  Samples were  taken at thirty-six  shares of the company from  LQ45 period February 2014 to June 2015. The samples were taken using purposive sampling technique. Results from this research that showed that out of thirty-six stock companies only two shares optimal namely PT. Gudang Garam Tbk. (GGRM) and PT. AKR Corporindo Tbk. (AKRA). With the proportion of funds PT. Gudang Garam Tbk. (GGRM) of 0.6624, while PT PT. AKR Corporindo Tbk. (AKRA)  of  0.3376.  In  addition  the  rate  of  return  from  the  formation  of  the portfolio is equal to 0.0084 at the risk of the portfolio amounted to 0.000017 smaller   than   market   risk   amounted   to   0.001404.   This   proves   that   the establishment of a portfolio would gain optimal benefit with certain risk. Keywords: Optimal Portfolio, Single Index Model, risk, rate of return.  

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 Optimal portfolio analysis of manufacturing entities in the Indonesia Sharia Stock Index

2022 ◽  
Vol 10 (8) ◽  
pp. 188-199
Author(s):  
Yunan Najamuddin ◽  
Neni Meidawati ◽  
Nahar Savira Putri ◽  
Yuni Nustini ◽  
Muamar Nur Kholid
Keyword(s):  
Model Test ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Portfolio Analysis ◽  
Optimal Portfolio ◽  
Stock Index ◽  
Expected Return ◽  
Purposive Sampling ◽  
Index Model ◽  
Single Index Model

The purpose of this research is to determine the optimal portfolio for manufacturing entities listed on the Indonesian Sharia Stock Index based on a single index model test. The population of this research is manufacturing entities that have been listed in the Indonesian Sharia Stock Index on the Indonesia Stock Exchange for the Period 2019-2020. This study uses a purposive sampling technique using several criteria. Based on this technique, 31 entities meet the criteria. The results showed that the expected return was 5.65%, and the possible risk was 0.22% for 15 (fifteen) stocks included in the optimal portfolio category.  

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.

scholarly journals Optimal Portfolio Construction: Application of Sharpe's Single-Index Model on Dhaka Stock Exchange

2019 ◽  
Vol 16 (1) ◽  
pp. 60
Author(s):  
Imroz Mahmud
Keyword(s):  
Stock Exchange ◽  
Sampling Technique ◽  
Optimal Portfolio ◽  
Portfolio Construction ◽  
Efficient Manner ◽  
Great Opportunity ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Industrial Sectors

This study aims to find whether Sharpe's single-index model of portfolio construction offers better investment alternatives to the investors of the Dhaka Stock Exchange (DSE). For this purpose, month-ended closing price data of 178 companies listed on the DSE, the prime bourse of Bangladesh, and the month-ended index value of DSEX have been used for the period starting from January 2013 to February 2018. The stocks selected for this study belong to 16 industrial sectors, and purposive sampling technique has been used to select these sectors. Sharpe's model formulates a unique cut-off rate and selects the stocks having an excess return-to-beta ratio above that rate. In this study, 54 stocks qualified to be a part of the optimal portfolio. Hence, the proportion of investment to be made on each of the stock is calculated according to the model. The study reveals that three industries occupy a hefty chunk (65.78%) of the proposed investment portfolio. The constructed portfolio offers a monthly return of 2.1489% and carries 1.9516% risk as measured by standard deviation. The beta of the optimal portfolio is only 0.124003. The constructed portfolio outperforms every individual stock as well as the market index in terms of offering the optimal risk-return combinations. Therefore, this five-and-a-half-decade-old model offers a great opportunity for Bangladeshi investors to optimize return and diversify risk in an efficient manner.

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 Penentuan Portofolio yang Optimal dengan Menggunakan Single Index Model pada Perusahaan Manufaktur yang Terdaftar di BEI

2018 ◽  
Vol 5 (1) ◽  
pp. 1
Author(s):  
Mira Dwiastuti ◽  
Evaliati Amaniyah ◽  
Echsan Gani
Keyword(s):  
Sampling Method ◽  
Optimal Portfolio ◽  
Expected Return ◽  
Purposive Sampling ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Manufacturing Company ◽  
Descriptive Method

The purpose of study is to determinan optimal portofolio by using Single Index Model at manufacturing company in BEI. The method used in this study is descriptive method. By using purposive sampling method is obtained 11 sample of the manufacturing company. The result of this study  is only three company that make up the optimal portfolio from 11 company because they  have ERB more than cut off point (0,086198) and These companies are PT. Gudang Garam, TBk, PT Astra outopart Tbk dan PT. Unilever Indonesia Tbk.  The proportion of stock in the portfolio are 19.68% PT Gudang garam Tbk, 72.83%  PT Astra outopart Tbk and 7.49% PT. Unilever Indonesia Tbk.  The expected return portfolio is. 10.11% greater  than expected return risk free (SBI) that only 0.534%, risk portfolio 0.2261 smaller than some risk individual stock and beta portfolio 0.9342

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.

scholarly journals ANALISIS PORTOFOLIO OPTIMAL SAHAM-SAHAM LQ-45 PADA PERIODE AGUTUS 2005- JULI 2006 DENGAN METODE SINGLE INDEX MODEL DI BURSA EFEK JAKARTA

2017 ◽  
Vol 4 (1) ◽  
Author(s):  
Robby Iskandar
Keyword(s):  
Capital Market ◽  
Investment Decision ◽  
Optimum Combination ◽  
Capital Gain ◽  
Rate Of Return ◽  
Investment Portfolio ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Risk Rate

<p class="Pendahuluan"> </p><p class="Pendahuluan">When we choose to invest our asset in capital market, we will expect the return, such as dividend and capital gain. Rational investor must be expecting the highest return from the investment they’ve done. Risk possibility and return deviate from expectation are the possibilities should face by investment as a part of investment decision which made by investor.</p><p class="Pendahuluan">The purpose of this research is to find the most optimum combination to create portfolio in LQ-45 index stocks in August 2005 till July 2006 in Bursa Efek Jakarta (BEJ). From stocks population in LQ-45 index, from 43 stocks listed in August 2005 till July 2006, we choose 7 stocks which fulfill the criteria to build an optimum portfolio. Optimum portfolio will periode 8,98714% rate of return in a month, and 5,1516% risk rate in a month.</p><p class="Pendahuluan"> </p><p class="Pendahuluan">Keywords : Investment, Portfolio, LQ-45, Rate of Return.</p>

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 Analisis Investasi dan Pemilihan Portofolio Optimal pada Indeks Saham Kompas-100 dengan Menggunakan Single Index Model

2018 ◽  
Vol 4 (1) ◽  
pp. 77
Author(s):  
SHALAHUDIN AL AYUBI ◽  
NADIA ASANDIMITRA
Keyword(s):  
Portfolio Allocation ◽  
Excess Return ◽  
Optimal Portfolio ◽  
Rate Of Return ◽  
Model Population ◽  
Research Results ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Stock Investment

AbstractA stock investment is one of alternatives that have a bright prospect in the futures. However, it is necessary to manage the risks, which is an important of choosing share intended. Up to now a relevan classic says “Don’t put all of your eggs in one basket”. Therefore the share diversification is necessary as an investment choise to form a portfolio. The main purpose of this research are the ascertain the optimal portfolio by using single index model. Population to be chosen in the study is firms listed on Kompas-100. However, the simple included are only 33 firms that present continuously simultan on Kompas-100. This research results showed that there were ten stocks of portfolio candidates from thirty-three stocks researched with the cut-off-point (C*) of 0,016495. And ten of stocks which have the biggest excess return to beta (ERB) make up the optimal portfolio. Allocation of these funds comprises 1,1365% for Astra Agro Lestari Inc stock (AALI), 14,3439% for Astra International Inc stock (ASII), 5,072% for Cahroen Pokphand Indonesia Inc Stock (CPIN), 14,9259% for Gudang Garam Inc stock (GGRM), 10,1117% for Gajah Tunggal Inc stock (GJTL), 6,0152% for Indofood Sukses Makmur Inc stock (INDF), 7,7498%  for Indocement Tunggal Perkasa Inc (INTP), 4,5907% for Kalbe Farma Inc stock  (KLBF), 11,8773% for United Tractor Inc stock (UNTR), 24,177% for Unilever Indonesia Inc stock (UNVR). The portfolio  rate of return of 3,62999% and risk of 9,45729%. The conclusion of this study is that rational investor will invest their funds in optimal portfolio comprises stocks candidates portfolio.

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