TY  - THES
N1  - Pembimbing: Mohammad Farhan Qudratullah, S.Si., M.Si.
ID  - digilib67407
UR  - https://digilib.uin-suka.ac.id/id/eprint/67407/
A1  - Brenda Maurel Pramesty Putri, NIM.: 20106010033
Y1  - 2024/08/15/
N2  - 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.
PB  - UIN SUNAN KALIJAGA YOGYAKARTA
KW  - Saham Syariah
KW  -  Portofolio Optimal
KW  -  Sharia Compliant Asset Pricing
Model (SCAPM)
KW  -  Jensen Alpha
KW  -  Klaster K-Medoids
M1  - skripsi
TI  - ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM)
AV  - restricted
EP  - 177
ER  -