Portofolio Optimal Investasi Saham dari 6 Sektor pada Indeks LQ45 Periode 2015-2018
The purpose of this research is to build an optimum investment portfolio of stocks using Single Index Model (SIM) from 31 stocks of 8 sectors LQ45 indices (trade, mining, infrastructure, consumer, industry, agriculture, finance, and properti) during period 2015-2018. Based on the result of research,...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | Indonesian |
| Published: |
Bogor Agricultural University
2020-05-01
|
| Series: | Jurnal Aplikasi Bisnis dan Manajemen |
| Online Access: | https://journal.ipb.ac.id/index.php/jabm/article/view/28370 |
| _version_ | 1819274423234985984 |
|---|---|
| author | Benyamin Verkino Bonar M. Sinaga Trias Andati |
| author_facet | Benyamin Verkino Bonar M. Sinaga Trias Andati |
| author_sort | Benyamin Verkino |
| collection | DOAJ |
| description | The purpose of this research is to build an optimum investment portfolio of stocks using Single Index Model (SIM) from 31 stocks of 8 sectors LQ45 indices (trade, mining, infrastructure, consumer, industry, agriculture, finance, and properti) during period 2015-2018. Based on the result of research, investor can form an investment portfolio that consists of 4 stocks (BBCA, SRIL, PTBA, and WSKT from finance, industry, mining, and property sectors) with portfolio’s expected rate of return of 0.351% per week and portfolio’s variance of 0.039% per week, compared with IHSG’s rate of return and variance for 0.091% and 0.037% per week. Signifcance’s test using one sample t-test shows portfolio’s return is significantly greater compared with market’s return or IHSG. Performance measurement of portfolio by using Sharpe, Treynor, and Jensen’s ratio shows a positive ratio compared to IHSG (Sharpe 0.117, Treynor 0.002, Jensen: 0,002) which means this portfolio will give higher rate of return than what is being offered by IHSG.
Keywords: IHSG, LQ45, portfolio, sector, single index model |
| first_indexed | 2024-12-23T23:08:11Z |
| format | Article |
| id | doaj.art-7faeb6d8bd7a4c6e94638322a1fe7b57 |
| institution | Directory Open Access Journal |
| issn | 2528-5149 2460-7819 |
| language | Indonesian |
| last_indexed | 2024-12-23T23:08:11Z |
| publishDate | 2020-05-01 |
| publisher | Bogor Agricultural University |
| record_format | Article |
| series | Jurnal Aplikasi Bisnis dan Manajemen |
| spelling | doaj.art-7faeb6d8bd7a4c6e94638322a1fe7b572022-12-21T17:26:45ZindBogor Agricultural UniversityJurnal Aplikasi Bisnis dan Manajemen2528-51492460-78192020-05-016238938910.17358/jabm.6.2.38928370Portofolio Optimal Investasi Saham dari 6 Sektor pada Indeks LQ45 Periode 2015-2018Benyamin Verkino0Bonar M. Sinaga1Trias Andati2SB IPBSekolah Bisnis, IPB UniversityPT Adhimix Precast Indonesia Indonesia The purpose of this research is to build an optimum investment portfolio of stocks using Single Index Model (SIM) from 31 stocks of 8 sectors LQ45 indices (trade, mining, infrastructure, consumer, industry, agriculture, finance, and properti) during period 2015-2018. Based on the result of research, investor can form an investment portfolio that consists of 4 stocks (BBCA, SRIL, PTBA, and WSKT from finance, industry, mining, and property sectors) with portfolio’s expected rate of return of 0.351% per week and portfolio’s variance of 0.039% per week, compared with IHSG’s rate of return and variance for 0.091% and 0.037% per week. Signifcance’s test using one sample t-test shows portfolio’s return is significantly greater compared with market’s return or IHSG. Performance measurement of portfolio by using Sharpe, Treynor, and Jensen’s ratio shows a positive ratio compared to IHSG (Sharpe 0.117, Treynor 0.002, Jensen: 0,002) which means this portfolio will give higher rate of return than what is being offered by IHSG. Keywords: IHSG, LQ45, portfolio, sector, single index modelhttps://journal.ipb.ac.id/index.php/jabm/article/view/28370 |
| spellingShingle | Benyamin Verkino Bonar M. Sinaga Trias Andati Portofolio Optimal Investasi Saham dari 6 Sektor pada Indeks LQ45 Periode 2015-2018 Jurnal Aplikasi Bisnis dan Manajemen |
| title | Portofolio Optimal Investasi Saham dari 6 Sektor pada Indeks LQ45 Periode 2015-2018 |
| title_full | Portofolio Optimal Investasi Saham dari 6 Sektor pada Indeks LQ45 Periode 2015-2018 |
| title_fullStr | Portofolio Optimal Investasi Saham dari 6 Sektor pada Indeks LQ45 Periode 2015-2018 |
| title_full_unstemmed | Portofolio Optimal Investasi Saham dari 6 Sektor pada Indeks LQ45 Periode 2015-2018 |
| title_short | Portofolio Optimal Investasi Saham dari 6 Sektor pada Indeks LQ45 Periode 2015-2018 |
| title_sort | portofolio optimal investasi saham dari 6 sektor pada indeks lq45 periode 2015 2018 |
| url | https://journal.ipb.ac.id/index.php/jabm/article/view/28370 |
| work_keys_str_mv | AT benyaminverkino portofoliooptimalinvestasisahamdari6sektorpadaindekslq45periode20152018 AT bonarmsinaga portofoliooptimalinvestasisahamdari6sektorpadaindekslq45periode20152018 AT triasandati portofoliooptimalinvestasisahamdari6sektorpadaindekslq45periode20152018 |