文章基本信息

标题：Portofolio Optimal Investasi Saham dari 6 Sektor pada Indeks LQ45 Periode 2015-2018:
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作者：Benyamin Verkino ; Bonar M. Sinaga ; Trias Andati 等
期刊名称：Jurnal Aplikasi Bisnis dan Manajemen
印刷版ISSN：2528-5149
电子版ISSN：2460-7819
出版年度：2020
卷号：6
期号：2
页码：389-389
DOI：10.17358/jabm.6.2.389
出版社：Bogor Agricultural University
摘要：The purpose of this research is to build an optimum investment portfolio of stocks using Single Index Model (SIM) from 31 stocks of 8 sectors LQ45 indices (trade, mining, infrastructure, consumer, industry, agriculture, finance, and properti) during period 2015-2018. Based on the result of research, investor can form an investment portfolio that consists of 4 stocks (BBCA, SRIL, PTBA, and WSKT from finance, industry, mining, and property sectors) with portfolio’s expected rate of return of 0.351% per week and portfolio’s variance of 0.039% per week, compared with IHSG’s rate of return and variance for 0.091% and 0.037% per week. Signifcance’s test using one sample t-test shows portfolio’s return is significantly greater compared with market’s return or IHSG. Performance measurement of portfolio by using Sharpe, Treynor, and Jensen’s ratio shows a positive ratio compared to IHSG (Sharpe 0.117, Treynor 0.002, Jensen: 0,002) which means this portfolio will give higher rate of return than what is being offered by IHSG.
关键词：IHSG;LQ45;portfolio;sektor;single index model