eprintid: 67407
rev_number: 10
eprint_status: archive
userid: 12460
dir: disk0/00/06/74/07
datestamp: 2024-10-02 01:54:36
lastmod: 2024-10-02 01:54:36
status_changed: 2024-10-02 01:54:36
type: thesis
metadata_visibility: show
contact_email: muh.khabib@uin-suka.ac.id
creators_name: Brenda Maurel Pramesty Putri, NIM.: 20106010033
title: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM)
ispublished: pub
subjects: 560
divisions: jur_mat
full_text_status: restricted
keywords: Saham Syariah, Portofolio Optimal, Sharia Compliant Asset Pricing
Model (SCAPM), Jensen Alpha, Klaster K-Medoids
note: Pembimbing: Mohammad Farhan Qudratullah, S.Si., M.Si.
abstract: 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.
date: 2024-08-15
date_type: published
pages: 177
institution: UIN SUNAN KALIJAGA YOGYAKARTA
department: FAKULTAS SAINS DAN TEKNOLOGI
thesis_type: skripsi
thesis_name: other
citation:   Brenda Maurel Pramesty Putri, NIM.: 20106010033  (2024) ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM).  Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.   
document_url: https://digilib.uin-suka.ac.id/id/eprint/67407/1/20106010033_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf
document_url: https://digilib.uin-suka.ac.id/id/eprint/67407/2/20106010033_BAB-II_sampai_SEBELUM-BAB-TERAKHIR.pdf