##plugins.themes.bootstrap3.article.main##

This research aims to find out the portfolio comparison that results from Single Index Model and Capital Asset Pricing Model methods, also portfolio performance evaluation results from Sharpe Index, Treynor Index, and Jensen Index on stocks listed in the LQ45 Index from 2017-2019. Samples taken consisted of 17 shares of companies listed on the LQ45 Index successively and it has a positive average return. Analysis using the Single Index Model method produces an optimal portfolio consisting of 6 shares. Whereas the Capital Asset Pricing Model method produces an efficient portfolio consisted of 13 shares. Portfolio performance evaluation created from both methods results from the rank of shares from each portfolio also has a positive average index, that means shares consisted of these portfolios are worth to be invested.

Downloads

Download data is not yet available.

References

  1. Ardi, “Stock Portfolio Performance Analysis with the Sharpe, Jensen and Treynor Method (15 Shares on the Indonesia Stock Exchange for the Period of January-February 2016)”, Journal Research Gate, pp. 6-7, 2016.
     Google Scholar
  2. Rokhmahtussa’dyah, and Suratman, Investment Law and Capital Markets, Jakarta, ID: Sinar Grafika, 2017, pp. 3.
     Google Scholar
  3. Bank Indonesia. (2020). Certificate of Bank Indonesia (SBI) in 2017-2019. Bank Indonesia. [Online]. Available: www.bi.go.id.
     Google Scholar
  4. CNBC Indonesia. (2019). Single Investor Identification. CNBC Indonesia. [Online]. Available: www.cnbcindonesia.com.
     Google Scholar
  5. Tandelilin, Capital Market: Portfolio Management and Investasment, Yogyakarta, ID: PT Kanisius, 2017, pp. 92-164.
     Google Scholar
  6. D. Zein, et. al., Optimizing of ISSI Stock Portfolio using Single Index Models in 2013-2017, Knowledge E Publishing, DOI 10.18502/kss.v3i13.4215, 2019.
     Google Scholar
  7. Yuliansyah, “Comparison of Portfolio Formation Using the Single Index Method and the Capital Asset Pricing Model (CAPM)” S.E. thesis, Maulana Malik Ibrahim State Islamic University Malang, Malang, Indonesia, 2018.
     Google Scholar
  8. Finance Yahoo. (2020). Stock Closing Price in 2017-2019. Yahoo. [Online]. Available: finance.yahoo.com.
     Google Scholar
  9. A.-S. Dewi and D. P. Vijaya, Investment and Indonesia Capital Market, Depok: PT RajaGrafindo Persada, 2018, pp. 2-160.
     Google Scholar
  10. J. Guinan, Investopedia: Easy Ways to Understanding Investment. Jakarta: Hikmah Publisher (PT Mizan Publika), 2010, pp. 273.
     Google Scholar
  11. J. Hartono, Portfolio Theory and Practice with Excel. Jakarta: Salemba Empat, 2014, pp. 221-228.
     Google Scholar
  12. J. Suteja and A. Gunardi. Investment Management and Portfolio. Bandung: PT Refika Aditama, 2016, pp. 2.
     Google Scholar
  13. Kustodian Sentra Efek Indonesia. (December 2019). Innovation For The Convenience Of Transactions In The Capital Market. Kustodian Sentra Efek Indonesia. [Online]. Available: www.ksei.co.id.
     Google Scholar
  14. M. L. Wardiyah, Money Market and Capital Market Management, Bandung: CV Pustaka Setia, 2017, pp. 13.
     Google Scholar
  15. M. Samsul. Capital Markets and Portfolio Management Issue 2. Jakarta: Erlangga Publisher, 2015, pp. 304-351.
     Google Scholar
  16. M. Yunus, “Analysis of the Optimal Portfolio Formation of Shares Using a Single Index Model on the Indonesia Stock Exchange for Investment Decision Making” S.E. thesis, Faculty of Economy, Muhammadiyah University of Yogyakarta, Yogyakarta, Indonesia, 2016.
     Google Scholar
  17. Oktaviani, B. N. and Wijayanto, A., Single Index Model Application in the Formation of Optimal Portfolios of LQ45 Shares and the Jakarta Islamic Index, Journal of Management Analysis 4, vol. 1, 2015, pp. 198.
     Google Scholar
  18. S. Hidayat, “Comparative Analysis of Optimal Portfolio Shares Formation Using the Single Index Model and the Capital Asset Pricing Model” S.E. thesis, Faculty of Business and Economy, Widyatama University, Bandung, Indonesia, 2016.
     Google Scholar
  19. S. Kholishoh, S. Mulyantini, dan M. Miftah. (January 2020). Efficient Portfolio Analysis with CAPM and RVAR Methods as Preference for Investment Decisions on JII Index Stocks for the 2017-2018 Period. Journal of UPNVJ. [Online]. pp. 1240-1241. Available: www.ocs.upnvj.ac.id.
     Google Scholar
  20. S. Narulita, Stock Performance Analysis Using Sharpe, Treynor and Jensen Methods in Telecommunication Companies, Journal UNTAG, vol. 4, 2016, pp. 692.
     Google Scholar
  21. T. R. Anggraeni, Optimizing Financing Sharia Bank Through the Formation of Optimal Portfolio with Single Index Model, International Conference on Islamic Finance Journal, Economics and Business, vol. 2018, 2018, pp. 269-270.
     Google Scholar
  22. Zulfikar, Introduction to the Capital Market with a Statistical Approach, Yogyakarta: Deepublish Publisher, 2016.
     Google Scholar