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ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM)
Investment is the activity of allocating a certain amount of funds or assets at present with the expectation of gaining profits in the future or as an effort to reduce the impact of inflation. In the investment process, investors need to determine the optimal portfolio as a strategy to maximize returns and minimize risk. This study aims to analyze and compare the formation of optimal stock portfolios using two popular methods: the Single Index Model (SIM) and the Capital Asset Pricing Model (CAPM). This research uses quantitative secondary data in the form of daily closing prices during the period from June 2018 to May 2023 for all stocks listed in the Jakarta Islamic Index 70 (JII70) on the Indonesia Stock Exchange. Data processing was carried out using Microsoft Excel 2016. The results show that the optimal portfolio based on the SIM method consists of 17 stocks with a monthly return of 0.0119 and a risk of 0.0153, while the CAPM-based portfolio also consists of 17 stocks with a monthly return of 0.015 and a risk of 0.0014. Based on a performance comparison using the difference between expected and actual returns in the following month, the Single Index Model shows a smaller deviation (0.0012) compared to the Capital Asset Pricing Model (0.0068). It can be concluded that the optimal portfolio formed using the Single Index Model performs better than the one formed using the Capital Asset Pricing Model.
FAKULTAS SAINS DAN TEKNOLOGI, UIN SUNAN KALIJAGA YOGYAKARTA
ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Other)
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