EVALUASI KINERJA PORTOFOLIO RISK-ADJUSTED: PENGUJIAN SINGLE INDEX MODEL DAN INDEKS LQ45

JOURDAN SEPTIANSYAH EFFLAN
041524353042
Dosen Pembimbing
Dr. Fitri Ismiyanti,S.E., M.Si.

ABSTRACT

Rational investors are risk-averse, they want a portfolio that has the best combination of returns and risks called the optimal portfolio. There are several theories to form the optimal portfolios, one of the theory used is the single index models. but there are still many investors involved in stock trading using naive portfolio formation because it is simple and easy to implement. This study aims to determine the composition of the optimal portfolio using a single index model, determine the composition of the LQ45 index portfolio using naive diversification, then perform performance evaluations from portfolio formations using the Sharpe index and compare the results. This research uses daily closing price data of stocks listed in the Indonesia Stock Exchange during the research period of August 2013 to July 2018. The optimal portfolio using single index model consists of 48 shares, while LQ45 index portfolio consists of 15 shares. From portfolio performance evaluations conducted quarterly, the results show that the optimal portfolio formed using the single index model has better portfolio performance than the LQ45 index portfolio formed using naive diversification. This is because the optimal portfolio has value of Sharpe index that is positive and greater than a LQ45 index portfolio.

Keywords : Single Index Model, Naive Diversification, Sharpe Index.

Sumber : http://mm.feb.unair.ac.id/id/kemahasiswaan/artikel/artikel-ilmiah/856-evaluasi-kinerja-portofolio-risk-adjusted-pengujian-single-index-model-dan-indeks-lq45.html