ANALISIS DIVERSIFIKASI INTERNASIONAL : PEMBENTUKAN PORTOFOLIO OPTIMAL INDEKS SAHAM DUNIA (Studi Kasus Pada Indeks Saham Aktif Dunia Versi The Wall Street Journal)

2019 ◽  
Vol 6 (02) ◽  
Author(s):  
Rony Mahendra ◽  
Erwin Dyah Astawinetu
Keyword(s):  
Wall Street Journal ◽  
Optimal Portfolio ◽  
Stock Index ◽  
Wall Street ◽  
Expected Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Stock Indices ◽  
The Wall Street Journal

The research objective is to establish an optimal portfolio and know the difference between risk and return stock index portfolio candidates and non-candidates. Method used in the preparation of this research portfolio is the single index model, while the samples of this study are active world stock indices version of The Wall Street Journal during the period August 2012 - August 2016 and The Global Dow is used as the benchmark stock index. In establishing the optimal portfolio is used two perspectives: the Rupiah perspective and the U.S. Dollar perspective. The results showed there were three stock indices from the perspective of Rupiah and 8 share index menurutperspektif U.S. Dollar that make up the optimal portfolio, with the cut-of-pointsebesar 0,01393menurut Rupiah perspective and the perspective of 0.0078 US Dollars Based on the perspective of return expectations Rupiah obtained by 0.0258 with a risk of 0.06512. Berdarkan perspective of US Dollars, obtained return expectations at 0.0154 with a risk of 0.0292. From the test results showed that the hypothesis, the return on both perspectives there are significant differences between the index of the candidate, with a non-candidate. Then the risk of stock index, among the candidates, with a non-candidate, the Rupiah perspective there is no difference, but in the perspective of US Dollars, there are significant differences.Keywords: Single Index Model, candidate portfolio, optimal portfolio, expected return, excess return to beta, cut-off-point

scholarly journals ANALISIS DIVERSIFIKASI INTERNASIONAL : PEMBENTUKAN PORTOFOLIO OPTIMAL INDEKS SAHAM DUNIA (Studi Kasus Pada Indeks Saham Aktif Dunia Versi The Wall Street Journal)

2019 ◽  
Vol 6 (02) ◽  
Author(s):  
Rony Mahendra ◽  
Erwin Dyah Astawinetu
Keyword(s):  
Wall Street Journal ◽  
Optimal Portfolio ◽  
Stock Index ◽  
Wall Street ◽  
Expected Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Stock Indices ◽  
The Wall Street Journal

The research objective is to establish an optimal portfolio and know the difference between risk and return stock index portfolio candidates and non-candidates. Method used in the preparation of this research portfolio is the single index model, while the samples of this study are active world stock indices version of The Wall Street Journal during the period August 2012 - August 2016 and The Global Dow is used as the benchmark stock index. In establishing the optimal portfolio is used two perspectives: the Rupiah perspective and the U.S. Dollar perspective. The results showed there were three stock indices from the perspective of Rupiah and 8 share index menurutperspektif U.S. Dollar that make up the optimal portfolio, with the cut-of-pointsebesar 0,01393menurut Rupiah perspective and the perspective of 0.0078 US Dollars Based on the perspective of return expectations Rupiah obtained by 0.0258 with a risk of 0.06512. Berdarkan perspective of US Dollars, obtained return expectations at 0.0154 with a risk of 0.0292. From the test results showed that the hypothesis, the return on both perspectives there are significant differences between the index of the candidate, with a non-candidate. Then the risk of stock index, among the candidates, with a non-candidate, the Rupiah perspective there is no difference, but in the perspective of US Dollars, there are significant differences.Keywords: Single Index Model, candidate portfolio, optimal portfolio, expected return, excess return to beta, cut-off-point

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 DENGAN MENGGUNAKAN SINGLE INDEX MODEL PADA EMITEN YANG TERMASUK KE DALAM INDEKS LQ-45 PERIODE 2011- 2016”

2017 ◽  
Vol 2 (1) ◽  
pp. 17
Author(s):  
Hana Tamara Putri ◽  
Santi Dwi Lestari
Keyword(s):  
Data Analysis ◽  
Secondary Data ◽  
Optimal Portfolio ◽  
Expected Return ◽  
Know How ◽  
Single Index ◽  
Index Model ◽  
Single Index Model

Research portfolio optimal aims to understand return and risks portfolio, and know how much teh proportion of funds invested. The period used in this reseach was februari 2011-januari 2016. Population to research there are stock companies joined in LQ-45 index. The sample of the research are 21 sample. The data collected is secondary data. Tekhnik data analysis used in research this is the kind of index singular to know shares from portrfolio optimal. Shares who was a candidate portfolio optimal are stocks having the value ERB greater than or equal to cut off-rate. Portfolio optimal formed by the shares having value ERB more of the value of cut of rate that is 0.0031. Based on the research done showed 10 stock who was a candidat portfolio optimal from 21 sample. The propotion of funds drom 10 company is: UNVR of 31.18%, ICBP of 20.40%, GGRM of 5.84%, BBCA of 14.83%, CPIN of 5.05%, JSMR of 10.08%, LPKR of 4.82%, BBRI of 6.01%, INTP of 1.16%, dan BMRI of 0.63%. Expected return portfolio receive is 1.73% monthly with the risk 0.2%. the conclusion that obtained was that investors rational to invest the funds to into the optimal portfolio of 10 shares formed.Keyword : investation, optimal stock

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 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 ANALISIS SAHAM-SAHAM LQ45 UNUK MEMBENTUK PORTOFOLIO YANG OPTIMAL DENGAN MENGGUNAKAN SINGLE INDEX MODEL

2016 ◽  
Vol 2 (1) ◽  
pp. 77-84
Author(s):  
Zul Azhar
Keyword(s):  
Standard Deviation ◽  
Optimal Portfolio ◽  
Expected Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Single Index Models ◽  
Blue Chip

The purpose of this research is to determine the 45 blue chip stocks which are included in the optimal portfolio with a single index models and determine the value of expected return and standard deviation of the optimal portfolio by using a single index models. The data in this study performed statistically descriptive. The conclusion of this study is to assist in investing should do anallisis with a single index models.Keywords : Investment, Investor, portofolio, risk. Single index model

scholarly journals Apakah Kinerja Saham Syariah Lebih Baik Dibandingkan Saham Non-Syariah pada Tahun 2018-2019?

Telaah Bisnis ◽  
2021 ◽  
Vol 21 (1) ◽  
pp. 57
Author(s):  
Eka Maya Sari ◽  
Tri Gunarsih
Keyword(s):  
Capital Market ◽  
Optimal Portfolio ◽  
Stock Index ◽  
Portfolio Investment ◽  
Index Model ◽  
Stock Portfolios ◽  
Single Index Model ◽  
Stock Indices ◽  
Significant Difference ◽  
Stock Portfolio

There are two considerations that investors need to notice if they want to invest in the capital market, namely, return and risk. An investor needs to diversify to gain benefits and minimize risk by forming the optimal stock portfolios. This research analyzes the differences between Islamic stock (based on JII) and non-Islamic stock (based on LQ45) stock portfolio investment using the single index model. The samples were consistently listed on the JII and LQ45 stock indices in January 2018-December 2019. There are 35 stocks for the LQ45 stock index and 25 stocks on the JII stock index. Sharia stocks' optimal portfolio comprises three stocks, while the optimal portfolio of non-Islamic stocks shall consist of four stocks. The Independent Sample T-Test was implemented to analyze the differences between the Islamic (JII) and non-Islamic (LQ45) optimal stock portfolios based on the Sharpe Ratio, Jensen Ratio, and Treynor Ratio. The results show that there is no significant difference between Islamic and non-Islamic stocks.

scholarly journals COMPARISON OF OPTIMAL PORTFOLIO PERFORMANCE BETWEEN SINGLE INDEX MODELS AND MARKOWITZ MODELS (CASE STUDY OF DAILY RETURN IMPLEMENTATION OF OJK RULES REGARDING INVESTMENTS OF STATE VALUES FOR NON-BANK FINANCIAL INSTITUTIONS 2016-2017)

2019 ◽  
Vol 19 (1) ◽  
pp. 43
Author(s):  
Kaolina Savitri Setyantho ◽  
Sasmito Hadi Wibowo
Keyword(s):  
Financial Institutions ◽  
Optimal Portfolio ◽  
Portfolio Performance ◽  
Financial Service Authority ◽  
Expected Return ◽  
Risk Levels ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Stock Investment

<p><em>The problem of this research is the implementation of optimal portfolio of Government Security investment by Non-Bank Financial institutions. Otoritas Jasa Keuangan (OJK) provides rules for it.</em><em> </em><em>This study utilizes several financial indexes to find the optimal portfolio. Some portfolios are developed and tested by comparing risk levels through single index model and Markowitz Models. Furthermore, the returns of standard deviation and coefficient of variance are used to identify this optimal model.</em><em> </em><em>The result shows that developing optimal portfolio through Single Index Model yields higher expected return than that of Markowitz Model. Choosing Kompas 100 Index as the reference index may help higher expected return. Due to the nature of the Indonesia Health Care Agency, is suggested that agency is excluded from the Financial Service Authority rules regarding obligation and stock investment.</em><em> </em><em>The limitation of this research is as follows: it focuses on two approaches, analyses on investment obligations and stocks, and the healthcare agency only.</em><em></em></p>

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%

scholarly journals The Analysis of Optimal Portfolio Using Single Index Model, The Case of Stocks Listed In Jakarta Islamic Index 2010-2013

2018 ◽  
Vol 1 (1) ◽  
Author(s):  
Doddi Prastuti ◽  
Erti Septina
Keyword(s):  
Stock Price ◽  
Data Use ◽  
Composite Index ◽  
Secondary Data ◽  
Optimal Portfolio ◽  
Expected Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Data Analysis Methods

The purpose of this study is to apply the single index model in order to make an optimal portfolio for stocks listed in Jakarta Islamic Index (JII). The model is used in order to analyze what stocks to be chosen as components of a portfolio stock and how much proportion to be invested in each stock. This research use stocks that are listed in Jakarta Islamic Index. The reason for choosing stocks listed in JII is because many Indonesians, mostly Muslims, still not familiar with the stock that is accordance with the requirement of Sharia. The data use in this study is secondary data, among others: quarterly stock price data during period of 2010-2013, composite index, interest rate. Sample in this study are 28 companies’ stocks listed in the Jakarta Islamic Index, two companies’ stock did not meet the criteria of the sample because the companies start listed in the index in 2012. Data analysis methods use in this study are: stocks’ return and expected return, stocks’ risk, market’s return and risk, beta and alpha, variance of residual error, rate of excess return to beta, determine the cut off rate, proportion of fund invested in optimal portfolio, and risk of optimal portfolio. Result of this study showed that there are 10 stocks that meet the criteria of optimal portfolio formation. Those stocks and their proportion are: 24,852% stock of JMSR, 16,587% stock of ASRI, 14,721% stock of INDF, 15,398% stock of AKRA, 11,835% stock of LPKR, 5,684% EXCL, 5,184% MAPI, 3,143% CPIN, 1,511% SMGR and 1,086% stock of KLBF. Based on the calculation, the portfolio’s expected return is 10,33% and the risk is 2,74%.

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