Analisis Perbandingan Kinerja Portofolio Optimal Pada Indeks Saham IDX30 Menggunakan Pendekatan Single Index Model dan Capital Assets Pricing Model

Widyanti, Tasya Mulya (2023) Analisis Perbandingan Kinerja Portofolio Optimal Pada Indeks Saham IDX30 Menggunakan Pendekatan Single Index Model dan Capital Assets Pricing Model. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Berkembangnya era globalisasi menyebabkan masyarakat mulai memahami pentingnya berinvestasi. Saham merupakan golongan investasi yang paling dikenal masyarakat namun memiliki tingkat resiko tinggi, sehingga perlu dilakukan diversifikasi dengan membentuk beberapa portofolio optimal. Salah satu perhitungan untuk membentuk portofolio optimal adalah metode Single Index Model yang merupakan hasil penyederhanaan perhitungan metode Markowitz menjadi komponen yang lebih sistematis dan spesifik. Selain itu metode perhitungan lain yang dapat digunakan adalah Capital Asset Pricing Model (CAPM) yang merupakan metode perhitungan yang dikembangkan berdasarkan perhitungan Markowitz dengan mengestimasi imbal hasil berdasarkan hubungan antara return dengan risiko pasar. Setelah didapatkan portofolio optimal, perlu dilakukan evaluasi kinerja portofolio untuk memastikan portofolio yang terbentuk telah memberikan kinerja yang baik sesuai dengan tujuan investor. Data yang digunakan dalam penelitian ini merupakan data saham yang secara konsisten terdaftar sebagai saham IDX30 sejak Februari 2020 hingga Februari 2022. Portofolio Single Index Model menghasilkan 4 saham penyusun portofolio optimal, yaitu ADRO, KLBF, PTBA, dan TLKM. Portofolio optimal yang terbentuk menghasilkan nilai expected return sebesar 0,018161015 dan tingkat risiko sebesar 0,001494930. Hasil perhitungan kinerja portofolio pada indeks Sharpe sebesar 0,467363959, indeks Treynor sebesar 0,013813551, dan indeks Jensen sebesar 0,017751191. Sedangkan portofolio CAPM menghasilkan 9 saham penyusun portofolio optimal, yaitu ADRO, ANTM, BBCA, CPIN, INKP, KLBF, PTBA, TLKM, dan UNTR. Portofolio optimal yang terbentuk menghasilkan expected return sebesar 0,000444036 dan tingkat risiko sebesar 0,001834612. Hasil perhitungan kinerja portofolio pada indeks Sharpe sebesar 0,242062392, indeks Treynor sebesar 0,000243947, dan indeks Jensen sebesar 0. Berdasarkan hasil yang telah didapatkan dapat disimpulkan bahwa Single Index Model merupakan metode pembentukan portofolio optimal dengan kinerja yang lebih baik dibandingkan metode Capital Assets Pricing Model.
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The development of the era of globalization causes people to begin to understand the importance of investing. Stocks are the most well-known investment class to the public but have a high level of risk, so it is necessary to diversify by forming several optimal portfolios. One of the calculations to form an optimal portfolio is the Single Index Model method which is the result of simplifying the calculations of the Markowitz method into more systematic and specific components. In addition, another calculation method that can be used is the Capital Asset Pricing Model (CAPM), which is a calculation method developed based on Markowitz calculations by estimating returns based on the relationship between returns and market risk. After obtaining the optimal portfolio, it is necessary to evaluate the performance of the portfolio to ensure that the portfolio formed has provided good performance in accordance with the objectives of the investor. The data used in this study is stock data that has consistently been registered as IDX30 shares from February 2020 to February 2022. The Single Index Model Portfolio produces 4 stocks that make up the optimal portfolio, namely ADRO, KLBF, PTBA, and TLKM. The optimal portfolio that is formed produces an expected return value of 0.018161015 and a risk level of 0.001494930. The results of calculating portfolio performance at the Sharpe index are 0.467363959, Treynor index are 0.013813551, and Jensen index are 0.017751191. While the CAPM portfolio produces 9 stocks that make up the optimal portfolio, namely ADRO, ANTM, BBCA, CPIN, INKP, KLBF, PTBA, TLKM, and UNTR. The optimal portfolio formed produces an expected return of 0.000444036 and a risk level of 0.001834612. The results of calculating portfolio performance at the Sharpe index are 0.242062392, the Treynor index are 0.000243947, and the Jensen index are 0. Based on the results obtained, it can be concluded that the Single Index Model is an optimal portfolio formation method with better performance than the Capital Assets method. Pricing Model.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Capital Asset Pricing Model, Indeks IDX30, Kinerja Portofolio, Single Index Model Capital Asset Pricing Model, IDX30 Stock Index, Portfolio Performance, Single Index Model.
Subjects:	H Social Sciences > HG Finance > HG4529.5 Portfolio management Q Science Q Science > Q Science (General) Q Science > QA Mathematics
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Tasya Mulya Widyanti
Date Deposited:	20 Jul 2023 05:44
Last Modified:	20 Jul 2023 05:44
URI:	http://repository.its.ac.id/id/eprint/98692

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