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ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM)
There are several models that can be used to form an optimal portofolio, one of which is the Sharia Compliant Asset Pricing Models (SCAPM). SCAPM is an adaption of the Capital Asset Pricing Model (CAPM) that compiles with sharia principles by replacing the risk-free rate variabel with the SBIS rate or the inflation rate. In constructing a sharia stock portfolio with the aim of maximizing returns while considering the risk involved in investment, stock selection is crucial. One statistical method can be used for grouping stocks is cluster analysis. A cluster analysis method that has beed widely used recently is the K-medoids cluster analysis. This study will combine the cluster analysis method to select stocks and the Sharia Compliant Asset Pricing Model (SCAPM) to calculate portofolio weights by measuring portofolio performance using Jensen’s Alpha on JII70 sharia stocks from April 2020 to December 2023. The results show that the optimal portfolio generated by the SCAPM model using the SBIS rate achieved a return of 2.81%, a risk of 13% and Jensen’s Alpha of 0.2461. Meanwhile, the optimal portfolio generated by the SCAPM model using the inflation rate achieved a return of 2.28%, a risk of 13.31% and a Jensen’s Alpha of 0.02515.
FAKULTAS SAINS DAN TEKNOLOGI, UIN SUNAN KALIJAGA YOGYAKARTA
NIM.: 20106010033 Brenda Maurel Pramesty Putri
ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Other)
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