Formation of Optimal Portfolio on JII Stock using Sharpe, Treynor, and Jensen Indices during the Period of 2018-2023
DOI:
https://doi.org/10.20956/j.v19i3.26354Keywords:
portfolio, sharia, sharpe, treynor, jensenAbstract
Investment is an activity carried out by investors by placing their funds in an asset. The purpose of investment is to gain long-term profits in the future. These profits come from changes in the price of assets in the future, which refers to the increase in the value of an asset over time. Currently, there are several types of investments. However, the type of investment that is quite widely practiced by Indonesian society is stock investment. The Indonesia Stock Exchange (IDX) groups the stocks available in the stock market into several indexes. One index that is currently receiving attention from Indonesian society is the Jakarta Islamic Index (JII). The JII is a collection of shares from companies that adhere to sharia principles in their business operations. Investment activities must be carried out carefully by conducting analysis beforehand so that investors do not make mistakes in choosing the stocks to be purchased. Several popular methods for selecting stocks are the Sharpe, Treynor, and Jensen indexes. These three indexes can be used to select the best stocks based on their respective criteria. This study combine these three indexes to prioritize the formation of a portfolio. The data used in this study is the closing value of stock prices in the JII index from March 2018 to February 2023. The optimization resulted in a composition of 69.17% for MDKA shares, 26.55% for HRUM shares, and 4.28% for BRIS shares of the total portfolio composition.
References
Aminah, L. S., 2021. The Effect of Current Ratio, Net Profit Margin, and Return on Assets on Stock Return. Journal of Management, Accounting, General Finance and International Economic Issues, Vol. 1, No. 1, 1–9.
Rahmawati, N., 2015. Manajemen Investasi Syariah. Institut Agama Islam Negeri (IAIN) Mataram, Mataram.
Otoritas Jasa Keuangan, 2022. Statistik Saham Syariah - Desember 2022.
Pardiansyah, E., 2017. Investasi dalam Perspektif Ekonomi Islam: Pendekatan Teoritis dan Empiris. Economica: Jurnal Ekonomi Islam, Vol. 8, No. 2, 337–373.
Febrianti, S., 2018. Analisis Perbandingan Kinerja Indeks Saham Syariah dengan Indeks Saham Konvensional Periode 2015-2017 (Studi Kasus pada JII dan LQ45). Proceeding SENDI_U, Vol. 4 Thn 2018, 546–551.
Bursa Efek Indonesia. 2023. Indeks Saham Syariah. https://www.idx.co.id/id/idx-syariah/indeks-saham-syariah. [25 Maret 2023]
Sodiqin, A., 2020. Kinerja Portfolio dengan Metode Sharpe, Jensen dan Treynor pada Saham Industri Tekstil di Bursa Efek Indonesia. Jurnal Manajemen Bisnis Krisnadwipayana, Vol. 8, No. 1.
Rifqiawan, R. A., 2012. Analisis Rasionalitas Invsetor dalam Pemilihan dan Penentuan Portofolio Optimal Pada Saham-Saham Jakarta Islamic Index. Economica: Jurnal Ekonomi Islam, Vol. 2, No. 2, 1–14.
Wihardi, W. & Lutfi, A., 2020. Pembentukan Portfolio Optimal Untuk Berinvestasi pada Saham Perusahaan Perbankan di Bursa Efek Indonesia dengan Metode Sharpe, Treynor dan Jensen Periode 2013-2017. Jurnal Manajemen Bisnis Dan Kewirausahaan, Vol. 4, No. 3, 74-80.
Priyanti, A. Nurhayati, I. Amind, R. S. & Manager, D. R. J., 2021. Analisis Evaluasi Kinerja Portofolio Saham dengan Metode Sharpe. 2 Mei, Vol. 4, No. 2, 174–181.
Mumtazah, G. I. & Permadhy, Y. T., 2022. Analisis Kinerja Reksa Dana Saham dengan Metode Sharpe, Treynor, dan Jensen Selama Masa Pandemi. JRMSI - Jurnal Riset Manajemen Sains Indonesia, Vol. 13, No. 01, 53–75.
Syam, S. Rauf, A. & Musa, C. I., 2021. Analisis Pembentukan Portofolio Optimal dengan Single Index Model untuk Proyeksi Investasi pada Saham Index LQ45 di Bursa. Jurnal Ilmu Manajemen Retail (JIMAT), Vol. 2, No. 2, 109-121.
Bodie, Z. Kane, A. & Marcus, A. J., 2010. Investments and Portfolio Management, Ninth Edition. McGraw-Hill, New York.
Downloads
Published
Issue
Section
License
Copyright (c) 2023 Author and publisher
This work is licensed under a Creative Commons Attribution 4.0 International License.
This work is licensed under a Creative Commons Attribution 4.0 International License.
Jurnal Matematika, Statistika dan Komputasi is an Open Access journal, all articles are distributed under the terms of the Creative Commons Attribution License, allowing third parties to copy and redistribute the material in any medium or format, transform, and build upon the material, provided the original work is properly cited and states its license. This license allows authors and readers to use all articles, data sets, graphics and appendices in data mining applications, search engines, web sites, blogs and other platforms by providing appropriate reference.