Pembentukan Portofolio Optimal Indeks Bisnis-27 Menggunakan K-Means Clustering, Single Index Model, dan Constant Correlation Model

Salsabila, Azka Nadia (2024) Pembentukan Portofolio Optimal Indeks Bisnis-27 Menggunakan K-Means Clustering, Single Index Model, dan Constant Correlation Model. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Meningkatnya aktivitas pasar modal pada tahun 2022 mencerminkan minat investor yang tumbuh positif untuk berinvestasi dalam mendorong pertumbuhan ekonomi Indonesia. Namun, hal tersebut sejalan dengan banyaknya investor baru yang mengalami kerugian karena kurangnya literasi keuangan terutama dalam berinvestasi. Dalam melakukan investasi, investor perlu mengacu pada indeks saham dan melakukan analisis terhadap instrumen investasi yang akan dipilih. Bursa Efek Indonesia (BEI) memiliki salah satu indeks saham yang didasarkan pada indikator pemilihan kinerja fundamental, teknikal, dan akuntabilitas yaitu Indeks Bisnis-27. Indeks Bisnis-27 memiliki prospek pertumbuhan dan kondisi keuangan yang baik karena memiliki pergerakan positif dan cenderung mengalami peningkatan setiap tahunnya. Investor dapat melakukan diversifikasi portofolio dengan menentukan saham-saham yang terlibat terlebih dahulu dalam pembentukan portofolio optimal menggunakan analisis klaster K-Means. Analisis klaster K-Means akan mengelompokkan saham yang homogen berdasarkan karakteristik tertentu. Selanjutnya, dilakukan pembentukan portofolio optimal pada saham-saham terpilih menggunakan Single Index Model dan Constant Correlation Model. Untuk mengukur kinerja portofolio, penelitian ini menggunakan Indeks Sharpe, Treynor, dan Jensen terkait pertimbangan expected return dan risk portofolio yang akan diperoleh. Hasil penelitian menunjukkan bahwa klaster 1 memiliki karakteristik rasio profitabilitas tinggi, sehingga saham-saham anggota klaster 1 terlibat dalam pembentukan portofolio optimal. Pembentukan portofolio optimal menggunakan Constant Correlation Model yang terdiri dari 3 saham penyusun yaitu ADRO, BBCA, dan BMRI menghasilkan expected return portofolio yang maksimal dengan risiko portofolio lebih rendah daripada Single Index Model. Hal ini diperkuat dengan hasil pengukuran kinerja portofolio optimal Indeks Sharpe dan Indeks Treynor yang dihasilkan pada Constant Correlation Model lebih besar daripada Single Index Model.
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The increase in capital market activity in 2022 reflects the growing positive interest of investors to invest in driving economic growth. However, this is in line with the large number of investors who have experienced losses due to a lack of financial literacy, especially in investing. In investing, investors need to refer to the stock index and conduct an analysis of the investment instruments to be chosen. The Indonesia Stock Exchange (IDX) has a stock index based on fundamental, technical and accountability performance selection indicators, namely the Bisnis-27 Index. The Bisnis-27 Index has good growth prospects and financial conditions because it has a positive movement and tends to increase every year. Investors can diversify their portfolios by first determining the stocks involved in forming an optimal portfolio using K-Means cluster analysis. K-Means cluster analysis will classify homogeneous stocks based on certain characteristics. Furthermore, the formation of optimal portfolios is carried out on selected stocks using the Single Index Model and Constant Correlation Model. To measure the performance of the portfolio, this study uses the Sharpe, Treynor, and Jensen indices regarding the consideration of the expected return and risk of the portfolio to be obtained. The research results indicate that cluster 1 has characteristics of high profitability ratios, hence the stocks of cluster 1 members are involved in the formation of an optimal portfolio. The formation of an optimal portfolio using the Constant Correlation Model consisting of 3 constituent stocks, namely ADRO, BBCA, and BMRI, yields a maximum expected return for the portfolio with lower portfolio risk compared to the Single Index Model. This is reinforced by the performance measurement results of the optimal portfolio using the Sharpe Index and Treynor Index, which are greater in the Constant Correlation Model than in the Single Index Model.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Analisis Klaster K-Means, Indeks Bisnis 27, Model Indeks Tunggal, Model Korelasi Konstan, Portofolio Optimal, K-Means Cluster Analysis, Bisnis 27 Index, Single Index Model, Constant Correlation Model, Optimal Portfolio
Subjects:	H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4529.5 Portfolio management
Divisions:	Faculty of Vocational > 49501-Business Statistics
Depositing User:	Azka Nadia Salsabila
Date Deposited:	18 Mar 2024 02:10
Last Modified:	18 Mar 2024 02:10
URI:	http://repository.its.ac.id/id/eprint/107822

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