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 The Optimal Portfolio of JII Shares Listed on the Indonesian Stock Exchange: The Single Index Model Approach

2020 ◽  
Vol 5 (6) ◽  
Author(s):  
Tri Agus Setyo ◽  
Augustina Kurniasih
Keyword(s):  
Stock Exchange ◽  
Optimal Portfolio ◽  
Portfolio Performance ◽  
Portfolio Risk ◽  
Risk And Return ◽  
Monthly Data ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Risk Free Rate

This study aims to determine and analyze the optimal portfolio forming stocks using the Single Index Model, determine the optimal portfolio risk and return expectations, then compare the optimal portfolio risk and return expectations with market return expectations, then analyze the optimal portfolio performance using the Treynor model. The research was conducted on the Jakarta Islamic Index stocks. Population of 48 issuers, which meet the sample criteria of 14 issuers. Using monthly data for the period December 2014-November 2019, it was found that 2 stocks entered the optimal portfolio, is (with a proportion of funds) ICBP (91.46%) and TLKM (8.54%). The value of E(Rp) 0.0128 is greater than the value of E(RM) 0.0003 and the value of the risk free rate is 0.0048. The value of σp 0.0438 is greater than the value of σ2M 0.0364. The portfolio performance value with the Treynor index of 0.0091 is greater when compared to the market of -0.0045.

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 Kinerja Portofolio Optimal Pada Saham Syariah

2017 ◽  
Vol 4 (12) ◽  
pp. 994
Author(s):  
Mutmainah Mutmainah ◽  
Imron Mawardi
Keyword(s):  
Secondary Data ◽  
Optimal Portfolio ◽  
Portfolio Performance ◽  
Single Index ◽  
Index Model ◽  
Descriptive Research ◽  
Single Index Model ◽  
Quantitative Descriptive

This study wants to describe whether an optimal portfolio which was formed in 2013-2015 it was good in 2016 compared to the performance of Jakarta Islamic Index and described as it is. The formation of the portfolio using single index model and the performance is measured by using the Sharpe index. This research is quantitative descriptive research. This research uses secondary data, carried out on the stock consistently at the Jakarta Islamic Index in January 2013-July 2016. Based on data, there were 18 shares actively and four stocks forming optimal portfolio composed of AKRA, TLKM, ICBP, and UNVR. Optimal portfolio performance in 2016 was 0,720 while the performance of the market was 0,676. With the results showed that it formed a good portfolio because the result was higher than the market. So investors or investment managers can make this portfolio as investment considerations.

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 Portfolio Analysis Using the Single Index Method in the COVID-19 Pandemic Period

2021 ◽  
Vol 8 (6) ◽  
pp. 215-225
Author(s):  
Sulistyo Adi Nugroho ◽  
Tony Irawan SE MappEc ◽  
Ir Aruddy, Msi
Keyword(s):  
Capital Market ◽  
Economic Activity ◽  
Optimal Portfolio ◽  
Share Price ◽  
Portfolio Performance ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
The Impact ◽  
Rotation Strategy

The COVID-19 outbreak that occurred in early 2020 put pressure on economic activity in many countries, including Indonesia. The pressure on economic activity can be seen from the index movement in the capital market. The JCI as a composite index that reflects transaction activity in the Indonesian capital market has weakened due to the impact of the COVID-19 outbreak in a number of business sectors. The decline in the index is a warning for investors to rearrange the composition of assets in their portfolios so that returns can remain optimal during a pandemic. The single index model (SIM) can be used by investors to make investment decisions, including to rearrange their investment portfolios. The share price data analyzed covers the period from 2 September 2019 to 7 December 2020, where the government confirmed the first positive case of COVID-19 in Indonesia on 3 March 2020. The Single Index Model is used to select assets to form an optimal portfolio. Portfolio performance is measured using the Sharpe, Treynor and Jensen index. The sector rotation strategy results in five selected sectors whose assets will be selected to form an optimal portfolio, namely the consumption sector (JKCONS), the basic and chemical industry sector (JKBIND), the infrastructure sector (JKINFA), the mining sector (JKMING) and the financial sector (JKFINA). The listed companies for analysis were 25 out of 184 issuers in the five sectors. The Single Index Model selects 3 issuers for the pre-COVID period and 10 issuers for the COVID period. The allocation of portfolio funds for the pre-COVID period showed BTPS of 44.94%; CPIN 47.61% and BYAN 7.46%. 2.8% allocation of portfolio funds during the COVID period to BTPS issuers; PBID 22.57%; TKIM 15.96%; BYAN 5.86%; ITMG 17.89%; MYOH 1.56%; PTBA 1.76%; ADRO 12.54% and PPRE 19.05%. The portfolio's expected return is positive, which means that the portfolio formed has the potential to generate profits. The Sharpe, Treynor and Jensen indexes are positive, which means that portfolios formed using a single index model have the potential to have good performance. Keywords: investors, IHSG, portfolio performance, single index model, optimal portfolio.

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 OPTIMALISASI PORTOFOLIO SAHAM MENGGUNAKAN METODE MEAN ABSOLUTE DEVIATION DAN SINGLE INDEX MODEL PADA SAHAM INDEKS LQ-45

2018 ◽  
Vol 7 (2) ◽  
pp. 119-131
Author(s):  
Diah Wulandari ◽  
Dwi Ispriyanti ◽  
Abdul Hoyyi
Keyword(s):  
Sharpe Ratio ◽  
Optimal Portfolio ◽  
Portfolio Performance ◽  
Mean Absolute Deviation ◽  
Absolute Deviation ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Stock Investment ◽  
Stock Investments

Stock investment is the planting of money in a securities that indicates the ownership of a company in order to provide benefits in the future. In obtaining optimal results from stock investments, investors are expected to create a series of portfolios. The portfolio will help investors in allocating some funds in different types of investments in order to achieve optimal profitability. For selection of optimal stocks representing LQ-45 Index, used 2 methods of Mean Absolute Deviation (MAD) method and Single Index Model (SIM) method. In MAD method, 5 best stocks are BBCA with weight 23%, INDF 8%, KLBF 23%, TLKM 23%, and UNVR 23%. While the SIM method of candidate portfolio obtained is AKRA with weight 15,459%, BBCA 48,193%, BBNI 5,028%,KLBF 0,258% and TLKM 31,062%. Portfolio performance meter is used by sharpe ratio. The value of sharpe ratio is 0,36754 for optimal portfolio using MAD method and 0,40782 for optimal portfolio using SIM method, this means that optimal portfolio using SIM method has better performance than MAD. Keywords: Investment, Portfolio, Index LQ-45, Mean Absolute Deviation, Single Index Model, Sharpe Ratio

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 impact of COVID-19 on formation and evaluation of portfolio performance: A case of Indonesia

2021 ◽  
Vol 18 (3) ◽  
pp. 63-73
Author(s):  
Immas Nurhayati ◽  
Endri Endri ◽  
Titing Suharti ◽  
Renea Shinta Aminda ◽  
Leny Muniroh
Keyword(s):  
Risk Factor ◽  
Negative Impact ◽  
Stock Exchange ◽  
Performance Testing ◽  
Expected Returns ◽  
Portfolio Performance ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
The Impact

This paper examines how to build a portfolio and assess the impact of the COVID-19 on portfolio performance using the Sharpe single index model. The research sample consists of ten high market capitalization stocks representing five price fractions of the population listed stocks on the Indonesia Stock Exchange during the COVID-19 outbreak from March 1 to May 31, 2020. The results show that there are four stocks that are included in the portfolio formation, namely CASA with a proportion of 50%, BNLI with a proportion of 26 %, UNVR with a proportion of 15%, and HMSP with a proportion of 9%. Based on portfolio performance testing using the Sharpe single index model, it is known that the portfolio during the COVID-19 has a negative Sharpe ratio, meaning that portfolio performance is underperforming. The findings provide evidence that COVID-19 has had a negative impact on the stock market so that many investors have suffered losses on their portfolios. The implications of findings are that investors must evaluate portfolio performance and restructure the formation of new portfolios by considering the COVID-19 pandemic outbreak as a systematic risk factor that can determine the expected returns.

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