ANALISIS KINERJA PORTOFOLIO DENGAN METODE SHARPE, TREYNOR DAN JENSEN PADA SAHAM JAKARTA ISLAMIC INDEX 70

Authors

  • Nur Sa'diyah Universtas Baikpapan
  • Arfina Rahma Universtas Baikpapan
  • Herlina Agustina Universtas Baikpapan
  • Nurlia Nurlia Universtas Baikpapan
  • Dwi Taufik Rohman Universtas Baikpapan
  • Juwari Juwari Universitas Balikpapan

DOI:

https://doi.org/10.36277/mreko.v2i1.250

Keywords:

Risk, Return, Optimal Portfolio,, Single Index, Method,, Sharpe Method, Treynor

Abstract

The purpose of this study was to determine whether the single index method would produce an optimal portfolio of JII 70 shares and continued with assessing its performance using the Sharpe, Treynor and Jensen methods to determine the best method for assessing the performance of the formed stock portfolio. The data used is data in the form of closing prices obtained from the Indonesia Stock Exchange website. The number of samples used is 58 of the 70 stocks that are incorporated in JII 70. The sample selection is based on predetermined criteria. The data analysis tool used is Microsoft excel 2019. From the results of data processing, the results obtained are as many as 25 stocks that are included in the optimal portfolio using the single index method. After that, it is known that the best method for assessing portfolio performance is the Sharpe method.

Author Biographies

Nur Sa'diyah, Universtas Baikpapan

Fakultas Ekonomi Prodi Manajemen

Arfina Rahma, Universtas Baikpapan

Fakultas Ekonomi Prodi Manajemen

Herlina Agustina, Universtas Baikpapan

Fakultas Ekonomi Prodi Manajemen

Nurlia Nurlia, Universtas Baikpapan

Fakultas Ekonomi Prodi Manajemen

Dwi Taufik Rohman, Universtas Baikpapan

Program Studi Manajemen Fakultas Ekonomi Universitas Balikpapan

Juwari Juwari, Universitas Balikpapan

Program Studi Manajemen Fakultas Ekonomi Universitas Balikpapan | https://orcid.org/0000-0002-6159-1524

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Published

2023-01-28

How to Cite

Sa’diyah, N., Rahma, A., Agustina, H., Nurlia, N., Taufik Rohman, D. ., & Juwari, J. (2023). ANALISIS KINERJA PORTOFOLIO DENGAN METODE SHARPE, TREYNOR DAN JENSEN PADA SAHAM JAKARTA ISLAMIC INDEX 70 . MEDIA RISET EKONOMI [MR.EKO], 2(1), 45–59. https://doi.org/10.36277/mreko.v2i1.250

Issue

Vol. 2 No. 1 (2023): MEDIA RISET EKONOMI [MR.EKO]

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Articles

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Copyright (c) 2023 MEDIA RISET EKONOMI [MR.EKO]

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