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Journal : International Journal of Quantitative Research and Modeling

Portfolio Performance Analysis with Jensen's Alpha Using Single Index Model and CAPM on IDX30 Stocks Wahid, Alim Jaizul; Saputra, Jumadil
International Journal of Quantitative Research and Modeling Vol 6, No 2 (2025)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v6i2.1013

Abstract

This study aims to evaluate the formation of an optimal stock portfolio using the Capital Asset Pricing Model (CAPM) and Single Index Model (SIM) approaches, and to assess portfolio performance using Jensen's Alpha generated from stocks included in the IDX30 index during the period April 2024 to March 2025. This study uses a quantitative descriptive approach with a population of 30 IDX30 stocks. The methods applied include calculating stock returns and betas, as well as forming an optimal portfolio using the CAPM and SIM formulas. Portfolio performance is then measured by Jensen's Alpha. The results of the study show that based on CAPM, BRIS.JK and EMTK.JK stocks are worthy of being included in the optimal portfolio because they have a positive expected return and Jensen's Alpha that slightly outperforms the market. EMTK.JK also has a lower risk. Meanwhile, based on SIM, only BBCA.JK is included in the optimal portfolio because it meets the criteria for Excess Return to Beta (ERB) > cut-off rate (C^*), and shows a positive Jensen's Alpha. The conclusion of this study is that both models can identify superior performing stocks for the optimal portfolio in the period.
Comparison of Agricultural Insurance Premium Prices Based on Rainfall Index and Based on Corn Commodity Production Prediction Index in Grobogan District Rosady, Tiara; Prabowo, Agung; Guswanto, Bambang Herdriya; Saputra, Jumadil
International Journal of Quantitative Research and Modeling Vol. 5 No. 2 (2024)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v5i2.684

Abstract

In running an agricultural business, there is a big risk because farmers' productivity is very dependent on nature, and to reduce the risk of crop failure, the government provides a program to minimize losses from crop failure, namely agricultural insurance, through Law Number 19 of 2013 . This article aims to compare agricultural insurance premium prices based on the rainfall index and the production prediction index for corn commodities in Grobogan Regency. The results of this article are based on the reference used of 3% of compensation, namely IDR 344,872.5, and the results that are close to the reference are the price of insurance premiums based on the 5th simple average method corn production prediction index of IDR 356,433.58 . However, the premium price used as a reference previously was the gross premium price from AUTP, so the insurance premium price for Corn Farmers (AUTJ) was obtained, namely IDR 310,385.25. As a result, we obtained premium price results that were closest to the reference from AUTJ, namely at the 4th percentile, when the agricultural insurance premium price based on the rainfall index was IDR 330,155.76 per planting season.
Portfolio Performance Analysis with Jensen's Alpha Using Single Index Model and CAPM on IDX30 Stocks Wahid, Alim Jaizul; Saputra, Jumadil
International Journal of Quantitative Research and Modeling Vol. 6 No. 2 (2025)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v6i2.1013

Abstract

This study aims to evaluate the formation of an optimal stock portfolio using the Capital Asset Pricing Model (CAPM) and Single Index Model (SIM) approaches, and to assess portfolio performance using Jensen's Alpha generated from stocks included in the IDX30 index during the period April 2024 to March 2025. This study uses a quantitative descriptive approach with a population of 30 IDX30 stocks. The methods applied include calculating stock returns and betas, as well as forming an optimal portfolio using the CAPM and SIM formulas. Portfolio performance is then measured by Jensen's Alpha. The results of the study show that based on CAPM, BRIS.JK and EMTK.JK stocks are worthy of being included in the optimal portfolio because they have a positive expected return and Jensen's Alpha that slightly outperforms the market. EMTK.JK also has a lower risk. Meanwhile, based on SIM, only BBCA.JK is included in the optimal portfolio because it meets the criteria for Excess Return to Beta (ERB) > cut-off rate (C^*), and shows a positive Jensen's Alpha. The conclusion of this study is that both models can identify superior performing stocks for the optimal portfolio in the period.
Co-Authors A Hadi Arifin Abd Razak, Shamsul Bahri Agapa, M. Fasya Febri Agung Prabowo Agus Santoso Ahmad Dailami, Ahmad Ai Nurhayati Akmal Saputra Ali Syah Putra Aliasuddin Aliasuddin Alimin, Erina Ambiya, Utari Nur Amelisqi, Lusi Bilqis Amin Hou Amiruddin Idris Amni Zarkasyi Rahman, Amni Zarkasyi Andiwi Meifilina, Andiwi Angga, Binanga Anggia Suci Pratiwi Anggita, Sahira Anggraeni, Putri Siti Annur M, Ade Isna Anugerah, Dandi Ariffin, Ku Halim Bin Ku Assidqi, Hasbi Asti Nur Aryanti Astuti, Devi Fitri Ayulita Ramadhani Azahra, Astrid Sulistya Azwar Azwar Badruzaman, Jajang Betty Subartini Brahmantia, Bayu Budi Hendrawan Chairul Furqon, Chairul Chatarina Lilis Suryani Christianingrum Cut Annisa Fitriati Dalimunthe, Doli Muhammad Jafar Darmansyah, Dedy Dede Abdul Hasyir Detrianty, Fitria Rika Dewi Mahrani Rangkuty Dewi Ratnasari Dierayani, Allysa Putri DIRYO SUPARTO Dwi Susanti Dwijaningtyas, Srinata Dwiyati Pujimulyani EKO EDDYA SUPRIYANTO EKO EDDYA SUPRIYANTO Eko Wahyudi, Fendy Erlina Erlina Evi Widowati F, Ayunda Alysa Fahrul Rizal, Fahrul Fairuztama, Rafif Fauzi, Muhamad Hasman Fauziah, Irma Silvia Fauziah, Mustika Fitriyani, Seni D Geubrina, Yulia Ghazali, Puspa Liza Guswanto, Bambang Herdriya H, Yunita Sri Hadiyani, Rahmilia Hafni Zahara Hardi, Irsan Hari Mulyadi, Hari Hendra Raza Heny Hendrayati Herlina Napitupulu Hermawan, Riki Hidayana, Rizki Apriva Idroes, Ghalieb Mutig Inriati, Dhea Intan, Dede Ira Apriyanti Irsalinda, Nursyiva isfenti sadalia Iskandar Muda Islah, Tsani Jamilah Jamilah Josua, Lancelot Julsen Julieta, Salma Kalfin, Kalfin Kardofa, Mochamad Khoeryza, Rima Laksito, Grida Saktian Lugiana, Yuda Madani, Fathi Makia Maraya, Nisrina Salsabila Mardhiah, Ainol Maruf, Cipta Muhammad Maulana, Ar Razy Ridha Maulana, Deni Maulani, Nishfi Rahmah Meida Rachmawati Muhammad Abrar Muhammad Rizki Mujiarto, Mujiarto Murni Daulay Mursyidin Mursyidin NADILA SAVIRA Nadjib, Nadjib Nasib Nazila, Siti Desi Nellis Mardhiah Neni Nuraeni, Neni Nizar P, Ajeng Noka Omalia Noor F, Deng Dewi Novitasari, Aliffiah Novitasari, Ela Nur Elfaz, Zam Zam Nur Hafni Nurazizah, Dina Nurhayat, Firman Arif Nurjaman, Diman Nurkamilah, Milah Nurmala Nurmala Nurohmah Dona, Tiara Gita Nurul Istiqomah, Insya Siti Nuryuniarti, Rissa Palupi Permata Rahmi Permata, Shintia Pirdaus, Dede Irman Pranoto Pranoto Pratama, Muhamad Risky Pratiwi, Denisa Lestari Prawiro, Meivin Mulyo Puteh, Anwar Putra, Fadlan Gunawan Rahmad Syukur Rahman Alfarisi, Rendi Raja Masbar Rico Nur Ilham Ridho, Adil Risma, Neng Robiatul A, Wahda Rosady, Tiara Rusyn, Volodymyr Saefullah, Rifki Sajidah, Febi Zulfa Salqaura, Siti Alhamra Salsabila, Nabila Saparudin, Miftahul Rizki Saputra, Nadia Sari, Risna Purnama Sariartha Sianipar, Aryanti Septiani, Lisma Septiani, Resty Shinta Dewi, Reni Shofiatun Nisa, Wafa Sidiq, Fahmi Simanjuntak, Alberto Sinurat, Mangasi Siregar, Wardah Muharriyanti Siti Maria Ulfa Sofyan Sofyan Sopia, Dea Sri Nita, Sri Sugiyarto Sugiyarto Suharman, Harry Sukono . Sullaida, Sullaida Suriani Suriani Suryana Suryana Suwartiningsih, Nurul Syahirah, Sheila Najla Syahputra Silalahi, Amlys Syntha, Bunga T. Zulham Teuku Zulkarnaen Urrohman, Nida Wahid, Alim Jaizul Wahyuddin Wahyudi, Rofiul Wahyuni, Arni Sri Wan Ridwan Husen, Wan Ridwan Widiartanto Widiartanto Widiawaty, Shindy Cantika Windi Amelia, Windi Wintara, Jane Ayu Wiranatakusuma, Dimas Bagus Yahya, Muhammad Ilham Yohandoko, Setyo Yulianda, Riki Yunda, Lola Irma Yuningsih, Siti Hadiaty Yusril Ihza Mahendra Zikri Muhammad