PENERAPAN METODE SHARPE, TREYNOR, DAN JENSEN SEBAGAI PENGUKUR KINERJA PORTOFOLIO PADA ANALISIS KOMPARATIF SAHAM KONVENSIONAL DAN SYARIAH

Authors

  • Rina Dyah Ayuningtyas Politeknik Negeri Jakarta
  • Sabar Warsini Politeknik Negeri Jakarta

Keywords:

Single Index Model, Portfolio Performance, Sharpe Methods, Treynor Methods, Jensen Methods

Abstract

The purpose of this study was to determine how to compare Performance of Conventional Stocks from LQ45 Index and Sharia Stocks from Jakarta Islamic Index (JII) in Optimal Portfolio with Single Index Model Approach. The performance of both portfolio that analyze by Sharpe, Treynor, and Jensen Methods indicate that portfolio has no different between Conventional Stocks and Sharia Stocks, however both of them showed the positive result which means portfolio stock is better than market.  Based on consideration of the specified criteria, obtained 30 companies samples of  LQ45 Index while JII samples were 19 companies. Optimal Portfolio of Conventional Stocks were consisted of 15 companies, whereas Optimal Portfolio of Sharia Stocks were consisted of 13 companies. This study used secondary data, such as daily stock closing-prices and BI-Rate. The analytical method used in this study was non-parametric different test by aim to get the comparison of stock performance both Conventional Stocks and Sharia Stocks.

Additional Files

Published

2024-04-30