ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL SAHAM BERDASARKAN METODE SINGLE INDEX MODEL (SIM) DAN CAPITAL ASSET PRICING MODEL (CAPM) DALAM PENGAMBILAN KEPUTUSAN INVESTASI
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Institusion
Universitas Pembangunan Nasional Veteran Jakarta
Author
Nurul Avriyanti Sholehah, .
Subject
HG Finance
Datestamp
2021-08-18 08:29:37
Abstract :
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 result 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 LQ45 Index successively and it has positive average return. Analysis using the Single Index Model (SIM) method produce an optimal portfolio consisting of 6 shares. Whereas the Capital Asset Pricing Model (CAPM) method produce an efficient portfolio consisted of 13 shares. Portfolio performance evaluation created from both methods results the rank of shares from each portfolio also has positive average index, that means shares consisted from these portfolio are worth to be invested.
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 result 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 LQ45 Index successively and it has positive average return. Analysis using the Single Index Model (SIM) method produce an optimal portfolio consisting of 6 shares. Whereas the Capital Asset Pricing Model (CAPM) method produce an efficient portfolio consisted of 13 shares. Portfolio performance evaluation created from both methods results the rank of shares from each portfolio also has positive average index, that means shares consisted from these portfolio are worth to be invested.
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