ANALISIS PERBANDINGAN PORTOFOLIO OPTIMAL MENGGUNAKAN GRAHAM SELECTION DENGAN PORTOFOLIO OPTIMAL SINGLE INDEX MODEL TERHADAP SAHAM-SAHAM LQ 45 PERIODE 2000-2010
This study is an empirical study that aims to analyze the performance of optimal portfolio which are formed by the method of Graham compared to the performance of optimal portfolio which are formed by the Single Index Model (SIM) and measured by using Sharpe Index, Treynor Index, Jensen Index and RD...
| Main Authors: | , |
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| Format: | Thesis |
| Published: |
[Yogyakarta] : Universitas Gadjah Mada
2012
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| Subjects: |
| _version_ | 1797032374863659008 |
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| author | , Luthfia Rahmani , Dr. Mamduh Hanafi, MBA. |
| author_facet | , Luthfia Rahmani , Dr. Mamduh Hanafi, MBA. |
| author_sort | , Luthfia Rahmani |
| collection | UGM |
| description | This study is an empirical study that aims to analyze the performance of
optimal portfolio which are formed by the method of Graham compared to the
performance of optimal portfolio which are formed by the Single Index Model
(SIM) and measured by using Sharpe Index, Treynor Index, Jensen Index and
RDIV. The sample was selected by purposive sampling method with filtering a
list of stocks LQ 45 used is the period of August 2010 till January 2011, while the
period of time to capture the required data starting in 2000 till 2010.
The analysis showed that the method of Single Index Model is able to
provide return of portfolio better than the methods of Benjamin Graham. Optimal
portfolio which are formed by the method of Benjamin Graham obtained an
average of portfolio expected return of 0.2% with the varian (risk) portfolio of
0.07%.While the SIM portfolio expected return obtained by 0.36% with the varian
(risk) portfolio of 0.05%. Similarly, results of the assessment of portfolio
performance that is using risk adjusted return index including Sharpe, Treynor,
Jensen Index and viewed from the ability to diversify risks by using
measurements of Reward to Diversification (RDIV), shows that the portfolio
Single Index Model superior to Graham. |
| first_indexed | 2024-03-13T22:37:27Z |
| format | Thesis |
| id | oai:generic.eprints.org:98882 |
| institution | Universiti Gadjah Mada |
| last_indexed | 2024-03-13T22:37:27Z |
| publishDate | 2012 |
| publisher | [Yogyakarta] : Universitas Gadjah Mada |
| record_format | dspace |
| spelling | oai:generic.eprints.org:988822016-03-04T08:47:32Z https://repository.ugm.ac.id/98882/ ANALISIS PERBANDINGAN PORTOFOLIO OPTIMAL MENGGUNAKAN GRAHAM SELECTION DENGAN PORTOFOLIO OPTIMAL SINGLE INDEX MODEL TERHADAP SAHAM-SAHAM LQ 45 PERIODE 2000-2010 , Luthfia Rahmani , Dr. Mamduh Hanafi, MBA. ETD This study is an empirical study that aims to analyze the performance of optimal portfolio which are formed by the method of Graham compared to the performance of optimal portfolio which are formed by the Single Index Model (SIM) and measured by using Sharpe Index, Treynor Index, Jensen Index and RDIV. The sample was selected by purposive sampling method with filtering a list of stocks LQ 45 used is the period of August 2010 till January 2011, while the period of time to capture the required data starting in 2000 till 2010. The analysis showed that the method of Single Index Model is able to provide return of portfolio better than the methods of Benjamin Graham. Optimal portfolio which are formed by the method of Benjamin Graham obtained an average of portfolio expected return of 0.2% with the varian (risk) portfolio of 0.07%.While the SIM portfolio expected return obtained by 0.36% with the varian (risk) portfolio of 0.05%. Similarly, results of the assessment of portfolio performance that is using risk adjusted return index including Sharpe, Treynor, Jensen Index and viewed from the ability to diversify risks by using measurements of Reward to Diversification (RDIV), shows that the portfolio Single Index Model superior to Graham. [Yogyakarta] : Universitas Gadjah Mada 2012 Thesis NonPeerReviewed , Luthfia Rahmani and , Dr. Mamduh Hanafi, MBA. (2012) ANALISIS PERBANDINGAN PORTOFOLIO OPTIMAL MENGGUNAKAN GRAHAM SELECTION DENGAN PORTOFOLIO OPTIMAL SINGLE INDEX MODEL TERHADAP SAHAM-SAHAM LQ 45 PERIODE 2000-2010. UNSPECIFIED thesis, UNSPECIFIED. http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=55008 |
| spellingShingle | ETD , Luthfia Rahmani , Dr. Mamduh Hanafi, MBA. ANALISIS PERBANDINGAN PORTOFOLIO OPTIMAL MENGGUNAKAN GRAHAM SELECTION DENGAN PORTOFOLIO OPTIMAL SINGLE INDEX MODEL TERHADAP SAHAM-SAHAM LQ 45 PERIODE 2000-2010 |
| title | ANALISIS PERBANDINGAN PORTOFOLIO OPTIMAL MENGGUNAKAN GRAHAM SELECTION DENGAN PORTOFOLIO OPTIMAL SINGLE INDEX MODEL TERHADAP SAHAM-SAHAM LQ 45 PERIODE 2000-2010 |
| title_full | ANALISIS PERBANDINGAN PORTOFOLIO OPTIMAL MENGGUNAKAN GRAHAM SELECTION DENGAN PORTOFOLIO OPTIMAL SINGLE INDEX MODEL TERHADAP SAHAM-SAHAM LQ 45 PERIODE 2000-2010 |
| title_fullStr | ANALISIS PERBANDINGAN PORTOFOLIO OPTIMAL MENGGUNAKAN GRAHAM SELECTION DENGAN PORTOFOLIO OPTIMAL SINGLE INDEX MODEL TERHADAP SAHAM-SAHAM LQ 45 PERIODE 2000-2010 |
| title_full_unstemmed | ANALISIS PERBANDINGAN PORTOFOLIO OPTIMAL MENGGUNAKAN GRAHAM SELECTION DENGAN PORTOFOLIO OPTIMAL SINGLE INDEX MODEL TERHADAP SAHAM-SAHAM LQ 45 PERIODE 2000-2010 |
| title_short | ANALISIS PERBANDINGAN PORTOFOLIO OPTIMAL MENGGUNAKAN GRAHAM SELECTION DENGAN PORTOFOLIO OPTIMAL SINGLE INDEX MODEL TERHADAP SAHAM-SAHAM LQ 45 PERIODE 2000-2010 |
| title_sort | analisis perbandingan portofolio optimal menggunakan graham selection dengan portofolio optimal single index model terhadap saham saham lq 45 periode 2000 2010 |
| topic | ETD |
| work_keys_str_mv | AT luthfiarahmani analisisperbandinganportofoliooptimalmenggunakangrahamselectiondenganportofoliooptimalsingleindexmodelterhadapsahamsahamlq45periode20002010 AT drmamduhhanafimba analisisperbandinganportofoliooptimalmenggunakangrahamselectiondenganportofoliooptimalsingleindexmodelterhadapsahamsahamlq45periode20002010 |