Arianti, Natasya Septina (2023) Analisa Kinerja Keuangan Perusahaan Sektor Keuangan Untuk Pembentukan Portofolio Optimal Menggunakan Metode Fuzzy C-Means, Fuzzy Gustafson Kessel dan Markowitz. Diploma thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Seorang investor dunia bernama Grant Cardone mengatakan, “Investing makes money work. The only reason to save money is to invest it” kalimat itu bermakna bahwa selain dapat membuat uang bekerja investasi juga dapat melindungi dari inflasi yang menyebabkan turunnya Otoritas Jasa Keuangan (OJK) menyarankan pada masyarakat khususnya generasi muda seperti mahasiswa untuk melakukan investasi karena keuntungan yang diperoleh dari investasi ini sangat menjanjikan. Berdasarkan data Kustodian Sentral Efek Indonesia (KSEI), jumlah investor pada pasar modal sepanjang tahun 2022 tercatat sebanyak 10.31 juta orang, angka tersebut meningkat 37.68% dibandingkan periode 2021 yang sebesar 7.49 juta dan melonjak 536.42% dalam lima tahun terakhir sejak tahun 2018. Sebanyak 4.43 juta dari 10.31 juta merupakan investor pada pasar saham, pasar saham masih memiliki peminat yang tinggi. Saham memiliki kaitan yang erat dengan prinsip high risk high return. Investor pada instrumen ini perlu strategi dan langkah yang tepat agar mendapatkan keuntungan maksimal. Salah satu strategi yang dapat digunakan untuk mengurangi risiko investasi adalah dengan cara pembentukan portofolio. Pada penelitian ini dilakukann pengelompokkan perusahaan berdasarkan rasio keuangan setiap perusahaan menggunakan metode Fuzzy C-Means dan Fuzzy Gustafson Kessel, selanjutnya dilakukan pembentukan portofolio pada perusahaan sektor keuangan. Hasil penelitian ini yaitu terpilihnya metode Fuzzy C-Means 2 kluster sebagai metode terbaik dan diperoleh return optimal sebesar 17,50% dengan tingkat risiko 18,97%. Portofolio perusahaan sektor keuangan memiliki kinerja yang baik dengan nilai sharpe rasio sebesar 71,17%.
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A world-renowned investor named Grant Cardone once stated, "Investing makes money work. The only reason to save money is to invest it." This statement implies that besides making money work for you, investing can also protect against inflation, which leads to a decrease in the purchasing power. The Financial Services Authority (OJK) recommends that the public, especially the younger generation like students, engage in investments due to the promising returns. According to data from the Indonesia Central Securities Depository (KSEI), the number of investors in the capital market throughout 2022 reached 10.31 million people, marking a 37.68% increase compared to the 2021 figure of 7.49 million and a staggering 536.42% increase in the last five years since 2018. Out of the 10.31 million, 4.43 million were investors in the stock market, indicating a high interest in stocks. Stocks are closely related to the principle of high risk, high return. Investors in this instrument need appropriate strategies and steps to maximize profits. One strategy to reduce investment risk is portfolio formation. In this study, companies were grouped based on their financial ratios using the Fuzzy C-Means and Fuzzy Gustafson Kessel methods. Subsequently, portfolio formation was carried out for companies in the financial sector. The research results indicate that the Fuzzy C-Means method with 2 clusters was selected as the best method, yielding an optimal return of 17.50% with a risk level of 18.97%. The portfolio of financial sector companies demonstrated good performance with a Sharpe ratio of 71.17%.
| Item Type: | Thesis (Diploma) |
|---|---|
| Uncontrolled Keywords: | Fuzzy C-Means, Fuzzy Gustafson Kessel, Markowitz, Saham, Portofolio, Stocks, Portfolio |
| Subjects: | H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4529.5 Portfolio management H Social Sciences > HG Finance > HG4910 Investments H Social Sciences > HG Finance > HG4915 Stocks--Prices Q Science > QA Mathematics > QA278.55 Cluster analysis Q Science > QA Mathematics > QA9.64 Fuzzy logic Q Science > QA Mathematics > QA248_Fuzzy Sets Q Science > QA Mathematics > QA278 Cluster Analysis. Multivariate analysis. Correspondence analysis (Statistics) |
| Divisions: | Faculty of Vocational > 49501-Business Statistics |
| Depositing User: | Natasya Septina Arianti |
| Date Deposited: | 07 Feb 2024 06:41 |
| Last Modified: | 07 Feb 2024 06:41 |
| URI: | http://repository.its.ac.id/id/eprint/106393 |
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