ANALISIS RISIKO EXPECTED SHORTFALL PADA PORTOFOLIO OPTIMAL MULTI INDEX MODEL STUDI KASUS: HARGA PENUTUPAN SAHAM BULANAN JAKARTA ISLAMIC INDEX (JII) PERIODE 1 DESEMBER 2020 – 30 NOVEMBER 2022

Winda Pangestu, NIM.: 19106010030 (2024) ANALISIS RISIKO EXPECTED SHORTFALL PADA PORTOFOLIO OPTIMAL MULTI INDEX MODEL STUDI KASUS: HARGA PENUTUPAN SAHAM BULANAN JAKARTA ISLAMIC INDEX (JII) PERIODE 1 DESEMBER 2020 – 30 NOVEMBER 2022. Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

Stock investment is a commitment to a number of funds in marketable securities which shows proof of ownership of a company with the aim of obtaining profits in the future. In addition to obtaining returns, investment also contain risks. Therefore, as a consideration for investors in investing, a risk calculation is needed. To get an optimal rate of return with low risk, investors can form a portfolio. This study was conducted to calculate risk using the Expected Shortfall (ES) method in the formation of an optimal portfolio using the Multi Index Model method. The Multi Index Model is a portfolio formation method that explained that there is more than one factors that affect stock price movement, this study uses ICI and exchange rate factors. Expected Shortfall (ES) is used as an alternative measure to risk other than Value at Risk (VaR) because ES fulfill the subadditivity. Selection of optimal portfolio-forming stocks on JII-30 using Multi Index Model method produces 5 stocks, that are ADRO (26,39%), INCO (15,25%), KLBF (41,81%), TLKM (4,80%), and TPIA (11,76%) which provide a profit rate of 2,95% per month. At the 95% confident level, the ES value is 6,79% per month while the VaR value is 0,99% per month. This means that the biggest possible risk that an optimal portfolio investor will receiving using the Multi Index Model is 1,68% per month.

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