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Irni Yunita
Universitas Telkom
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Journal : JASF (Journal of Accounting and Strategic Finance)

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Constructing Optimal Portfolios Using the Single Index Model and Markowitz Model: A Study on Cryptocurrencies Nurhakim, Eko Sanjaya; Soma, Abdul Mukti; Yunita, Irni
JASF: Journal of Accounting and Strategic Finance Vol. 7 No. 2 (2024): JASF (Journal of Accounting and Strategic Finance) - December 2024
Publisher : Accounting Department, Faculty of Economics and Business, Universitas Pembangunan Nasional Veteran Jawa Timur

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33005/jasf.v7i2.485

Abstract

This study analyzes the formation of optimal portfolios on cryptocurrency assets using the single index model and the Harry Markowitz model. This study covers 79 cryptocurrencies with the largest market capitalization during the period June 2023–June 2024. We calculate the optimal portfolio using the single index model and Markowitz, and evaluate its performance using the Sharpe Ratio. The results show that the Harry Markowitz model produces better portfolio performance compared to the single index model. The Markowitz portfolio produces a positive Sharpe ratio (1.8496), a portfolio return rate of 7.678%, and lower risk (0.0415). Conversely, the single index model portfolio shows a negative Sharpe ratio (-2.0971), indicating lower returns than risk-free assets. In addition, the Markowitz model offers more efficient diversification than the single index model. However, in general, both the Single Index Model and the Markowitz Model have a significant effect on the formation of optimal portfolios, with the Sharpe Index proving to be a significant mediator in the relationship between the two models and the optimal portfolio. The R-squared value shows that the SIM variables, Markowitz Model, and Sharpe Index explain 48.4% of the variation in the optimal portfolio. This study recommends the use of the Harry Markowitz model for cryptocurrency investment because it can provide higher returns with more controlled risks. This study provides important insights for investors on the strategy of diversifying cryptocurrency asset portfolios.
Co-Authors Abdul Mukti Soma Adelia Nandira Maharani Adi Katon Pamungkas Adithya Yudha Agita Putra Pramana Agus Afrianingsih, Dwi Aisha Nur Izzati Aisha Nur Izzati Aldilla Iradianty Almira Iffa Fauzia Andini Pujasari Anggara Ramadhan Anggita Prameswari Anisah Firli Aprianto, Fadly Ayu Nur Rahmadhani Azizah, Reza Noor Bayu Aji Prasetyo Bella Salsabilla Damiao Maia, Graciano Andre Darussalam Darussalam Della Ferranti Della Ferranti, Della Dematria Pringgabayu Destyana, Devica Puteri Diva Rifayani Dwi Kurniawan, Dwi Dyah Ajeng Mulatsih Erie Febrian Fachrizal, Fiqhi Fadly Aprianto Fajar Sidiq Adi Prabowo Fajra Octrina Fiqhi Fachrizal Firmansyah, Fandi Firrisa Tsamara Munica Fitri Amanda Zuchrinata Gadis Arimbi Puspita Graciano Andre Damiao Maia Gushendri, Adzra Helga Engrasia Gustyana, Tieka Tri Kartika Hamudin, Piko Ihsan, TB Aria Maulana Irani, Annisa Salsabila Dwitha Jamhari Jamhari Kevin Krisna Khoirunnisa Az-Zahra Kishi Alandra Maghfirah Izani Desta Maria Apsari Sugiat Marwa Dewi Ahdiyati Salim Mauli Permata Sari Meuthia Rahmawati Milleniasari, Poeti Annisa Muhammad Azhari Muhammad Farhan Muhammad Farid Pratama Muhammad Iqbal Alamsyah Naurah Salsabila Naurah Salsabila Ramadhana Novemrian, Yandi Novita Bukit, Dian Nuraulia, Naifah Nurhakim, Eko Sanjaya Piamalia, Novita Nur Priyambodo, Muhammad Ganang Puspita*, Gadis Arimbi Putri, Devina Dianra Putri, Salsabila Fadila Rahmawati, Meuthia Ratna Lindawati Lubis Ray Burton Reza Noor Azizah Ria Ratna Ariawati Rina Indiastuti Rinaldi, Muhammad Adrian Daffa Nadino Rinaldo Silaban, Jeffry Frans Risanti, Sherly Nur Aulia Roderta Cahya Diputra Safitri Puji Lestari Sagung Desy Pratami, A.A Salma Salimah Sugiat, Maria Tiara Putri Nadiwa Trihandayani*, Deri Vanessa Eleanor Saaba Yudha, Adithya Yusoff, Yusliza Mohd