PEMBENTUKAN PORTOFOLIO OPTIMAL PADA INDEKS KOMPAS 100 PERIODE 2013-2014

  • Ardi Sanjaya Hamdani Jurusan Manajemen Fakultas Bisnis dan Ekonomika Universitas Surabaya
  • Werner Ria Murhadi Jurusan Manajemen Fakultas Bisnis dan Ekonomika Universitas Surabaya
  • Bertha Silvia Sutejo Jurusan Manajemen Fakultas Bisnis dan Ekonomika Universitas Surabaya

Abstract

This study aims to establish the optimal portfolio of Kompas 100 index. Optimal portfolio is a portfolio consisting of stocks that can generate the maximum return value to the same risks or generate the same return value with the most minimal risk. This study is a quantitative approach. This study uses the company listed in Indonesia Stock Exchange. Optimal portfolio in this study formed from stocks that are continuously enrolled in the Kompas 100 index in the period August 2009 to July 2014. Optimal portfolio is formed by using a single index model. Then the performance calculation is done using the Sharpe, Treynor, and Jensen ratio. The results of this study showed that from the 100 stocks which include in the Kompas 100 index, only 19 stocks that can form the optimal portfolio. Portfolio return value is 51.10% with the risk portfolio value is 15.47%. Based on the Sharpe ratio, Treynor and Jensen, the optimal portfolio formed by 5.271% value for Sharpe, 3.958% value for Treynor and 1.588% value for Jensen ratio. So, based on that ratio, optimal portfolio has already had a good performance and the stocks included in the portfolio can be said to be eligible to be purchased by investors.

Downloads

Download data is not yet available.

References

Ahmad Rodoni dan Othman Yong, (2002). Analisis Investasi dan Teori Portofolio. Cetakan pertama PT. Raja Grafindo Persada, Jakarta.

Fabozzi FJ, (1995). Investment Management. Englewood cliffs. New Jersey: Prentice Hall International.

Gitman, Lawrence J, (2009). Principles Of Managerial Finance, 12th Edition, Pearson Education, Prentice Hall, United States

Jogiyanto, (1998). Teori Portofolio dan Analisis Investasi: Edisi 1. Yogyakarta BPPE, Yogyakarta

Jogiyanto, (2008). Teori Portofolio dan Analisis Investasi, Salemba Empat. Yogyakarta BPPE, Yogyakarta

Jones, Charles P. (2007). Investments: Analysis and Management. Tenth Edition, John Wiley & Sons, Inc., USA.

Mulia Bunda, (2008). Analisis portofolio optimal saham-saham LQ-45 pada periode Agustus 2005 – Juli 2006 dengan metode single index model di Bursa Efek

Octavianus Daniel, (2011). Analisis Karakteristik Idiosyncratic Risk pada Abnormal Return Saham Berdasarkan Capital Asset Pricing Model.

Prayogo Ardyan, (2013). Pembentukan Portofolio Optimal Pada Perusahaan Keuangan di BEI. Jurnal Riset Manajemen dan Akuntansi Vol. 1, No. 1, Februari 2013

Samsul Mohammad, (2006). Pasar Modal dan Manajemen Portofolio, Erlangga, Jakarta.

Satiti Novita. (2013). Optimalisasi Portofolio Investasi Dana Pensiun Universitas Muhammadiyah Malang. Jurnal Manajemen Bisnis, Volume 3 No. 01, 2013

Septyarini. (2009). Analisis Portofolio Optimal Berdasarkan Model Indeks Tunggal Pada Saham LQ45, Jurnal Akuntansi.

Setiawan Arif dan Mukodim Didin, (2011). Pembentukan Portofolio Saham Dengan Model Indeks Tunggal Pada Perbankan Di Bursa Efek Indonesia. Manajemen Fakultas Ekonomi Universitas Gunadarma.

Sharpe, William F, (1970). Portofolio Theory and Capital Markets, McGraw-Hill Book Company, New York.

Sudiyanto Bambang dan Cahyani Nuswandhari, (2009). Peran Beberapa Indikator Ekonomi dalam Mempengaruhi Risiko Sistematis Perusahaan Manufaktur di Bursa Efek Indonesia Jakarta.
Published
2015-09-01
How to Cite
HAMDANI, Ardi Sanjaya; MURHADI, Werner Ria; SUTEJO, Bertha Silvia. PEMBENTUKAN PORTOFOLIO OPTIMAL PADA INDEKS KOMPAS 100 PERIODE 2013-2014. CALYPTRA, [S.l.], v. 4, n. 2, p. Hal. 1 - 13, sep. 2015. ISSN 2302-8203. Available at: <http://journal.ubaya.ac.id/index.php/jimus/article/view/2126>. Date accessed: 11 nov. 2019.