Evaluasi Kinerja Portofolio Data Envelopment Analysis (DEA): Perbandingan dengan Indeks Kompas 100 dan IHSG
A portfolio is comprised of a number of securities selected using particular provisions to be investment targets aimed at reducing risks by diversifying its assets. This study aims to shape a good or efficient stock portfolio and to prove the superiority of the portfolio formation method used, the D...
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| Format: | Thesis |
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[Yogyakarta] : Universitas Gadjah Mada
2013
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| author | , Putu Dicka Witrayana , Dr. Mamduh Mahmadah Hanafi, MBA. |
| author_facet | , Putu Dicka Witrayana , Dr. Mamduh Mahmadah Hanafi, MBA. |
| author_sort | , Putu Dicka Witrayana |
| collection | UGM |
| description | A portfolio is comprised of a number of securities selected using particular
provisions to be investment targets aimed at reducing risks by diversifying its
assets. This study aims to shape a good or efficient stock portfolio and to prove
the superiority of the portfolio formation method used, the Data Envelopment
Analysis (DEA) method . This method is the commonly used method in
operational area to estimate the limits of production or efficiency.
This study uses secondary data obtained from the annual financial
statements during the period 2009 to 2011 used as variables in the study. The
input variables use total assets, total equity and debt to equity ratio, while the
output variables use net sales, net profit, PBV, ROI, and ROE. In the
measurement, JCI and Kompas 100 are the benchmarks to determine the
performance of the portfolio, where the Sharpe index, Treynor index and the
Alpha's Jensen index were used as measurement of portfolio performance.
The results showed that the techniques or methods of DEA efficiency
testing can be utilized in the selection of stocks to form portfolios, because based
on the abslolute number of portfolio measurement, that is the Sharpe, Treynor and
Alpha's Jensen indices, DEA portofolio either CRS model or VRS model can beat
the stock market index (beat the market), both the composite stock price index
(JCI) and Kompas 100 index. However, the results of the statistical test Mann
Whitney U-test concluded that the performance of the portfolio formed by DEA
was unable or failed to outperform the market because there was no significant
difference in the value of portfolio performance. |
| first_indexed | 2024-03-13T22:52:54Z |
| format | Thesis |
| id | oai:generic.eprints.org:120456 |
| institution | Universiti Gadjah Mada |
| last_indexed | 2024-03-13T22:52:54Z |
| publishDate | 2013 |
| publisher | [Yogyakarta] : Universitas Gadjah Mada |
| record_format | dspace |
| spelling | oai:generic.eprints.org:1204562016-03-04T08:41:59Z https://repository.ugm.ac.id/120456/ Evaluasi Kinerja Portofolio Data Envelopment Analysis (DEA): Perbandingan dengan Indeks Kompas 100 dan IHSG , Putu Dicka Witrayana , Dr. Mamduh Mahmadah Hanafi, MBA. ETD A portfolio is comprised of a number of securities selected using particular provisions to be investment targets aimed at reducing risks by diversifying its assets. This study aims to shape a good or efficient stock portfolio and to prove the superiority of the portfolio formation method used, the Data Envelopment Analysis (DEA) method . This method is the commonly used method in operational area to estimate the limits of production or efficiency. This study uses secondary data obtained from the annual financial statements during the period 2009 to 2011 used as variables in the study. The input variables use total assets, total equity and debt to equity ratio, while the output variables use net sales, net profit, PBV, ROI, and ROE. In the measurement, JCI and Kompas 100 are the benchmarks to determine the performance of the portfolio, where the Sharpe index, Treynor index and the Alpha's Jensen index were used as measurement of portfolio performance. The results showed that the techniques or methods of DEA efficiency testing can be utilized in the selection of stocks to form portfolios, because based on the abslolute number of portfolio measurement, that is the Sharpe, Treynor and Alpha's Jensen indices, DEA portofolio either CRS model or VRS model can beat the stock market index (beat the market), both the composite stock price index (JCI) and Kompas 100 index. However, the results of the statistical test Mann Whitney U-test concluded that the performance of the portfolio formed by DEA was unable or failed to outperform the market because there was no significant difference in the value of portfolio performance. [Yogyakarta] : Universitas Gadjah Mada 2013 Thesis NonPeerReviewed , Putu Dicka Witrayana and , Dr. Mamduh Mahmadah Hanafi, MBA. (2013) Evaluasi Kinerja Portofolio Data Envelopment Analysis (DEA): Perbandingan dengan Indeks Kompas 100 dan IHSG. UNSPECIFIED thesis, UNSPECIFIED. http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=60487 |
| spellingShingle | ETD , Putu Dicka Witrayana , Dr. Mamduh Mahmadah Hanafi, MBA. Evaluasi Kinerja Portofolio Data Envelopment Analysis (DEA): Perbandingan dengan Indeks Kompas 100 dan IHSG |
| title | Evaluasi Kinerja Portofolio Data Envelopment Analysis (DEA): Perbandingan dengan Indeks Kompas 100 dan IHSG |
| title_full | Evaluasi Kinerja Portofolio Data Envelopment Analysis (DEA): Perbandingan dengan Indeks Kompas 100 dan IHSG |
| title_fullStr | Evaluasi Kinerja Portofolio Data Envelopment Analysis (DEA): Perbandingan dengan Indeks Kompas 100 dan IHSG |
| title_full_unstemmed | Evaluasi Kinerja Portofolio Data Envelopment Analysis (DEA): Perbandingan dengan Indeks Kompas 100 dan IHSG |
| title_short | Evaluasi Kinerja Portofolio Data Envelopment Analysis (DEA): Perbandingan dengan Indeks Kompas 100 dan IHSG |
| title_sort | evaluasi kinerja portofolio data envelopment analysis dea perbandingan dengan indeks kompas 100 dan ihsg |
| topic | ETD |
| work_keys_str_mv | AT putudickawitrayana evaluasikinerjaportofoliodataenvelopmentanalysisdeaperbandingandenganindekskompas100danihsg AT drmamduhmahmadahhanafimba evaluasikinerjaportofoliodataenvelopmentanalysisdeaperbandingandenganindekskompas100danihsg |