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primary topic: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM)

ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM)
type: Thesis
type: Article
abstract: 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.
date: 2025-05-28
status: published
author list: authors
type: EPrint
type: ThesisEPrint
is part of: repository
has document: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
has version: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
has published: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
has document: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Other)
subject: 510 Mathematics (Matematika)

ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
type: Document
has file: 21106010060_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf
has part: 21106010060_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf

ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
type: Document

UIN SUNAN KALIJAGA YOGYAKARTA
type: Organization

FAKULTAS SAINS DAN TEKNOLOGI, UIN SUNAN KALIJAGA YOGYAKARTA
type: Organization

NIM.: 21106010060 Zahra Tyan Hanifah
type: Person
given name: NIM.: 21106010060
family name: Zahra Tyan Hanifah

ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Other)
type: Document
is version of: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
is volatile version of: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
islightbox thumbnail version of: 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)
type: Document
is version of: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
is volatile version of: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
ispreview thumbnail version of: 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)
type: Document
is version of: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
is volatile version of: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
ismedium thumbnail version of: 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)
type: Document
is version of: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
is volatile version of: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
issmall thumbnail version of: 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)
type: Document
is version of: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
is volatile version of: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
islightbox thumbnail version of: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
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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) (Other)
type: Document
is version of: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
is volatile version of: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
ispreview thumbnail version of: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
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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) (Other)
type: Document
is version of: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
is volatile version of: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
ismedium thumbnail version of: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
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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) (Other)
type: Document
is version of: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
is volatile version of: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
issmall thumbnail version of: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM) (Text)
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primary topic: ANALISIS PERBANDINGAN PEMBENTUKAN PORTOFOLIO OPTIMAL DARI SAHAM-SAHAM INDEKS JII MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) & CAPITAL ASSET PRICING MODEL (CAPM)

510 Mathematics (Matematika)
type: Concept