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Rohiman Atja
Program Studi Magister Manajemen, Sekolah Pascasarjana, Universitas Ibn Khaldun
Economics, Econometrics & Finance Other

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Analisis Return, Risk dan VaR Portofolio Saham JII dengan Metode SIM, MAD dan DD Rohiman Atja; Indupurnahayu; Renea Shinta Aminda
AL-MUZARA'AH Vol. 10 No. 1 (2022): AL-MUZARA'AH (June 2022)
Publisher : Department of Islamic Economics, IPB University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29244/jam.10.1.93-110

Abstract

Before pandemic, Islamic stocks performance (ISSI, JII70, JII) contracted. During pandemic, outperformed JCI and LQ45. JII prospect is good this year, increase 5.81% early 2021, exceeded JCI (4.66%) and LQ45 (4.75%) ytd. This study uses 4 investment scenarios aimed at analyzing and exploring the Return and Risk of the selected JII Portfolio using SIM, MAD, and DD Methods; perform calculations and analyze VaR of the selected JII Portfolio; calculate and analyze the relationship between Return and Risk of the selected JII Portfolio using SIM, MAD, and DD Methods; calculate and analyze the differences in Return and Risk of the selected JII Portfolio using the SIM, MAD, and DD Methods. The research methods are SIM, MAD, DD, VaR, Correlation-Test and Difference-Test. The results of the study of the highest return of each method resulted in scenario 2, the highest risk of each method resulted in a scenario of 33.3% investment proportion, the highest VaR resulted in scenario 2. Test-correlation method in calculating returns: there is no significant relationship between the SIM-MAD and DD-MAD methods, there is a significant positive relationship between the SIM-DD method.
Co-Authors Indupurnahayu Renea Shinta Aminda