KINERJA PORTOFOLIO OPTIMAL PADA SAHAM BERBAGAI INDEKS DENGAN KALKULASI RASIO SORTINO, MODIGLIANI SQUARE, DAN ROY’S SAFETY FIRST

Authors

  • Baiq Nurul Suryawati Fakultas Ekonomi dan Bisnis Universitas Mataram
  • Laila Wardani
  • Sulaeman Sarmo
  • Iwan Kusmayadi

DOI:

https://doi.org/10.29303/distribusi.v6i1.17

Keywords:

Modigliani Square, Roy Safety First , indexes, investment, Portfolio Mesurement

Abstract

The main purpose of this research is evaluating portfolio performance of variousindexes that comprises constituent index in Indonesia Stock Exchange. The performance of evaluation calculatesbasedon Sortino,Modigliani Square and Roy Safety First ratio. Hence, the difference between its portfolios performances will shows the significance of each market’s differentite. The indexesare LQ 45, Jakarta Islamic Index (JII), Indeks Saham Syariah Indonesia, and BISNIS 27. The result shows that there is significance different between the share markets whereas the investment pattern of portfolio will represents investor’s desired return. However, as the measurementrealize on adjusting return and risk, thus, it will necessary to enhance investor’s with more pragmatic method such as share price volatility to persuade more investment. Share price volatility, furthermore, will give more precise information about how return created to profit investors.

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Author Biography

Baiq Nurul Suryawati, Fakultas Ekonomi dan Bisnis Universitas Mataram

Staf Pengajar Ekonomi dan Bisnis Universitas Mataram

References

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Published

2018-04-11

How to Cite

Nurul Suryawati, B., Wardani, L., Sarmo, S., & Kusmayadi, I. (2018). KINERJA PORTOFOLIO OPTIMAL PADA SAHAM BERBAGAI INDEKS DENGAN KALKULASI RASIO SORTINO, MODIGLIANI SQUARE, DAN ROY’S SAFETY FIRST. Distribusi - Journal of Management and Business, 6(1), 23–46. https://doi.org/10.29303/distribusi.v6i1.17

Issue

Vol. 6 No. 1 (2018): Distribusi, Maret 2018

Section

Articles

License

Copyright (c) 2018 Baiq Nurul Suryawati, Laila Wardani, Sulaeman Sarmo, Iwan Kusmayadi

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This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

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