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

Penulis

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

DOI:

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

Kata Kunci:

Indexes, Investment, Portfolio Mesurement, Sortino, Modigliani Square, Roy Safety First

Abstrak

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.

Unduhan

Data unduhan belum tersedia.

Biografi Penulis

Baiq Nurul Suryawati, Fakultas Ekonomi dan Bisnis Universitas Mataram

Staf Pengajar Ekonomi dan Bisnis Universitas Mataram

Referensi

Benjelloun, Hicham, et all, 2009, Index Funds and Diversification in Saudi Arabia, International Journal of Islamic and Middle Eastern Finance and Management, Vol. 2, No. 3, pp. 201-212

De Bondt, Warner, et all, 2008, Behavioral Finance : Quo Vadis?, Journal of Applied Finance, 2008, pg.7

Derigs, Ulrich, et all, 2008, Review and Analysis of Current Shariah-Compliant Equity Screening Practices, International Journal of Islamic and Middle Eastern Finance and Management, Vol. 1, No. 4, pp. 285-303

Elton, E.J., et all, 1995, Modern Portfolio Theory and Investment Analysis, NY : John Wiley and Sons

Farrell Jr, James L, 1997, Portfolio Management Theory & Application-International Edition, Singapore : Mc Graw Hill

Huda, Nurul, 2003, Pasar Modal Syariah dan Faktor yang Mempengaruhi Beta Saham (Studi Kasus JII dan LQ 45 Tahun 2002-2003), PSKTTI : FEUI

Jogiyanto, Hartono, 2009, Teori Portofolio dan Analisis Investasi, LPFE UGM

Mardiyanto, Handono, 2009, Inti Sari Manajemen Keuangan: Teori, Soal dan Jawaban, Jakarta : PT. Grasindo

Mohd. Yusof, et all, 2008, Towards an Islamic International Financial Hub : The Role of Islamic Capital Market in Malaysia, International Journal of Islamic and Middle Eastern Finance and Management, Vol. 1, No. 4, pp. 313-329

Md. Saad, Norma, et all, 2010, A Comparative Analysis of The Kinerjance of Conventional and Islamic Unit Trust Companies in Malaysia, International Journal of Managerial Finance, Vol. 6, No. 1, pp. 24-47

Rachmayanti, T. Farida, 2003, Analisis Kinerja Portofolio Saham Syariah, Thesis PSKTTI, Universitas Indonesia

Rudiyanto, 2011, Mengenal Roy Safety First Ratio, http://rudiyanto.blog.kontan.co.id, diakses 13 Maret 2017, 5:28 PM

Santosa, Magdalena, et all, 2012, Penilaian Kinerja Produk Reksadana dengan Menggunakan Metode Perhitungan Jensen Alpha, Sharpe Ratio, Treynor Ratio, M2,dan Information Ratio, Jurnal Manajemen, Vol. 12, No. 1, pp. 63-76

Shah Bin, Mohd. Dali Nuardli Ridzwan Shah, et all, 2008, Kinerjance of Shariah Compliance Companies in The Plantation Industry, International Journal of Islamic and Middle Eastern Finance and Management, Vol. No.22, pp. 166-178

Simforianus; Yanthi Hutagaol, 2008, Analisis Kinerja Reksa Dana Saham dengan Metode Raw Return, Sharpe, Treynor, Jensen dan Sortino, Journal of Applied Finance and Accounting Vol. 1 No. 1, pp. 193-226

Tandelilin, Eduardus, 2010, Portofolio dan Investasi : Teori dan Aplikasi, Kanisius

Toni, Alfiyan, 2004, Analisis Perbandingan Kinerja Portofolio (Studi Kasus : Indeks Syariah dan Indeks Konvensional), Jakarta : PSKTTI-FE UI

##submission.downloads##

Diterbitkan

2018-04-11

Cara Mengutip

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. Jurnal Distribusi, 6(1), 23–46. https://doi.org/10.29303/distribusi.v6i1.17