Performance and Risk Comparison Analysis of Optimal Portfolio of Shares LQ-45 Using Single Index Model and Capital Asset Pricing Model August 2017 – January 2020 Period



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Submitted Jan 15, 2021
Published Jan 28, 2021
10.24018/ejbmr.2021.6.1.700

Abstract viewed = 628 times

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The purpose of this research is to determine the differences between performance and risks optimal portfolio of Single Index Model (SIM) and Capital Asset Pricing Model (CAPM) in the period August 2017 - January 2020. This research is a descriptive study with a quantitative approach. The data collection technique used is documentation study. Based on the results of the calculation, it is found that there is a difference return of the SIM portfolio to CAPM, there is no difference risk of the SIM portfolio to CAPM, there is a difference performance of the SIM portfolio that evaluated using the Sharpe, Treynor and Jansen methods and there is no difference performance of the CAPM portfolio that evaluated using the Sharpe, Treynor and Jansen method.

Keywords: LQ45, Optimal Portfolio, Single Index Model, Capital Asset Pricing Model, Optimal Portfolio Performance

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