ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN SINGLE INDEX MODEL DAN CAPM PADA JAKARTA ISLAMIC INDEX 70 (JII 70)
This study uses a quantitative descriptive type with the aim of knowing the combination of stocks that are consistently listed on the Jakarta Islamic Index 70 (JII 70) in the period June 2018 - November 2020 as an optimal portfolio composition. Through the Single Index Model and CAPM, it is continue...
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2022-01-12.
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| Summary: | This study uses a quantitative descriptive type with the aim of knowing the combination of stocks that are consistently listed on the Jakarta Islamic Index 70 (JII 70) in the period June 2018 - November 2020 as an optimal portfolio composition. Through the Single Index Model and CAPM, it is continued by measuring the portfolio performance of the results of the two methods as a comparison. The results of this research analysis are: (1) In the Single Index Model method, 13 forming stocks are obtained with an Expected Return portfolio of 0.0914 or 9.14% with a Portfolio Risk of 0.0393 or 3.93%. (2) The CAPM method produces 27 forming stocks accompanied by an Expected Return Portfolio of 0.0003 or 0.03% with a Portfolio Risk of 0.0373 or 3.73%. (3) Of the two methods that are more optimal in forming the Optimal portfolio, namely the Single Index Model with a risk of 3.93%, the amount is not too far from the CAPM with a risk of 3.73% but the SIM Return is greater, namely 9.14% and is proven by the measurement Portfolio performance with Treynor, Jensen and Sharpe, the Single Index Model value is greater than the CAPM even Jensen's CAPM reaches a value below 0, which is -0.01076. |
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| Item Description: | http://repository.upnvj.ac.id/17369/1/ABSTRAK.pdf http://repository.upnvj.ac.id/17369/2/ARTIKEL%20KI.pdf http://repository.upnvj.ac.id/17369/3/AWAL.pdf http://repository.upnvj.ac.id/17369/4/BAB%20I.pdf http://repository.upnvj.ac.id/17369/5/BAB%20II.pdf http://repository.upnvj.ac.id/17369/6/BAB%20III.pdf http://repository.upnvj.ac.id/17369/7/BAB%20IV.pdf http://repository.upnvj.ac.id/17369/8/BAB%20V.pdf http://repository.upnvj.ac.id/17369/9/DAFTAR%20%20PUSTAKA.pdf http://repository.upnvj.ac.id/17369/12/RIWAYAT%20HIDUP.pdf http://repository.upnvj.ac.id/17369/11/LAMPIRAN.pdf http://repository.upnvj.ac.id/17369/10/HASIL%20PLAGIARISME.pdf http://repository.upnvj.ac.id/17369/13/ARTIKEL%20KI.pdf |