PEMBENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN TREYNOR BLACK MODEL (STUDI KASUS : SAHAM SYARIAH DAN NON SYARIAH LQ45 PERIODE AGUSTUS 2020 – JULI 2023 )

Reta Tri Asriani, NIM.: 20106010039 (2024) PEMBENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN TREYNOR BLACK MODEL (STUDI KASUS : SAHAM SYARIAH DAN NON SYARIAH LQ45 PERIODE AGUSTUS 2020 – JULI 2023 ). Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

Investment is an investment in an asset with the hope of obtaining profits in the future. There are two things that must be considered in investing, namely profit and risk. Investors need to diversify with the formation of an optimal stock portfolio to maximize profits and minimize risks. This study aims to determine optimal portfolio formation using Single Index Model and Treynor Black Model and measure optimal portfolio performance using Sharpe Ratio Modification. The data used is data on stocks that are consistently incorporated in LQ45 for the period August 2020 - July 2023. Furthermore, stocks are selected with the criteria of having an average positive return value, then grouped into three portfolios, namely portfolio 1 is a combination of sharia and non-sharia stocks, portfolio 2 is sharia stocks LQ45 and portfolio 3 is non-sharia stocks LQ45. The stock sample obtained 24 stocks in portfolio 1, with 17 stocks in portfolio 2 and seven stocks in portfolio 3. The results showed that using the Single Index Model produced 19 optimal portfolio candidate stocks in portfolio 1, 15 optimal portfolio candidate stocks in portfolio 2 and five optimal portfolio candidate stocks in portfolio 3 with expected return on portfolio 1 of 0.119%, 0.117% in portfolio 2 and 0.106% in portfolio 3 and portfolio 1 risk of 1.91%, 1.21% in portfolio 2, and 1.31% in portfolio 3. Meanwhile, using the Treynor Black Model produced 18 optimal portfolio candidate stocks in portfolio 1, 13 optimal portfolio candidate stocks in portfolio 2 and five optimal portfolio candidate stocks in portfolio 3 with expected return on portfolio 1 of 0.128%, 0.149% in portfolio 2 and 0.108% in portfolio 3 and portfolio 1 risk of 1.23%, 1.44% in portfolio 2, and 1.33% in portfolio 3. From the results of the analysis of the performance of three portfolios shows that the Treynor Black Model is higher than using the Single Index Model.

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