PEMBENTUKAN PORTOFOLIO OPTIMAL TIGA SAHAM LQ45 DAN PERBANDINGAN TERHADAP KINERJA REKSA DANA SAHAM PADA OKTOBER 2016

Erick Saputra Hidayat

Article Metrics

Abstract view : 204 times
PDF - 219 times

Abstract

This study attempts to form an optimal portfolio of three stocks derived from LQ45 stock index and compared with the best stock mutual fund made by investment manager according to realized return from September 2015 to September 2016 with monthly holding period. Optimal portfolio is a portfolio that provides the highest level of expected return for a given level of risk or the lowest risk for a given level of expected return in compare to other portfolios. The method used in this research is sharpe ratio.This research use a software named PORTO which is designed for portfolio investment and created by Edwin J. Elton, Martin J. Gruber, and Christopher R. Blake in 1995. The results of this research showed that the optimal portfolio of three stocks is better than stock mutual fund. The optimal portfolio of three stocks consist of 73.391% stock TLKM, 17.993% stock ADRO, and 8.616% stock LSIP. These combinations are expected to give 54.70% of expected return and 29.50% of risk with 1.654237 of sharpe ratio. The stock mutual fund is Treasure Fund Super Maxxi. This mutual fund are expected to give 40.52% of expected return and 75.85% of risk with 0.456417 of sharpe ratio.

Keywords: Optimal portfolio, Mutual fund, Sharpe ratio, PORTO, LQ45

Keywords

Optimal portfolio; Mutual fund; Sharpe ratio; PORTO; LQ45

Full Text:

PDF

References

Danusasmita, Kartikawati dan Fathurahman, Fahmi. (2012). Analisis Perbedaan Kinerja Portofolio 12 Saham LQ45 dan Reksadana Saham LQ45 Berdasarkan Metode Sharpe, Treynor, dan Jensen Periode Februari 2008 - Januari 2012.

Husnan, Suad. (2005). Dasar-dasar Teori Portofolio dan Analisis Sekuritas (4th ed.). AMP YKPN, Yogyakarta.

Jogiyanto. (2003). Teori Portofolio dan Analisis Investasi (3rd ed.). BPFE, Yogyakarta.

Jones, Charles P. (2013). Investments: Principles and Concepts (12th ed.). John Wiley & Sons, Inc., New York.

Rachman, Artie Arditha dan Febrianto, Igo. (2012). Analisis Kinerja Portofolio Saham Subsektor Perkebunan Dengan Sharpe Measure, Treynor Measure, dan Jensen Measure. Jurnal

Ilmiah ESAI, 6(3).

Rini, Sulistya., Handayani, Siti Ragil., dan Hidayat, Rustam. (2012). Evaluasi Kinerja Portofolio Dengan Menggunakan Model Sharpe.

Siahaan, Hinsa. (2006). Penilaian Kinerja Investasi Dengan Menggunakan Metode Sharpe's Performance Index dan Treynor's Performance Index.

Siamat, Dahlan. (2005). Manajemen Lembaga Keuangan: Kebijakan Moneter dan Perbankan (5th ed.). FE UI, Jakarta.

Simforianus dan Hutagaol, Yanthi. (2008). Analisis Kinerja Reksa Dana Saham Dengan Metode Raw Return, Sharpe, Treynor, Jensen, dan Sortino. Journal of Applied Finance and Accounting, 1(1).

Suryani, Yosi. (2007). Analisis Portofolio Saham Dalam Mengoptimalkan Keuntungan Investasi di Bursa Efek Jakarta. Jurnal Ekonomi dan Bisnis, 2(1).

Widoatmodjo, Sawidji. (2008). Cara Sehat Investasi di Pasar Modal: Pengantar Menjadi Investor Profesional. PT Elex Media Komputindo, Jakarta.

Copyright (c) 2017 Jurnal Muara Ilmu Ekonomi dan Bisnis

Refbacks

  • There are currently no refbacks.