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All Journal PROSIDING SEMINAR NASIONAL Jurnal Gaussian Jurnal Keperawatan Jiwa (JKJ): Persatuan Perawat Nasional Indonesia Jurnal Statistika Universitas Muhammadiyah Semarang Jurnal Ilmu Komunikasi Jurnal Online Mahasiswa (JOM) Bidang Ilmu Sosial dan Ilmu Politik Jurnal Online Mahasiswa (JOM) Bidang Pertanian JITRO (Jurnal Ilmiah dan Teknologi Peternakan Tropis) OKARA: Jurnal Bahasa dan Sastra JIPI (Jurnal Ilmu Perpustakaan dan Informasi) JURNAL MANAJEMEN MOTIVASI As-Salam: Jurnal Studi Hukum Islam & Pendidikan Jurnal Analisa Sosiologi Pendas : Jurnah Ilmiah Pendidikan Dasar Jurnal Penamas Adi Buana JKPM (Jurnal Kajian Pendidikan Matematika) DIKEMAS (Jurnal Pengabdian Kepada Masyarakat) ENTITA: Jurnal Pendidikan Ilmu Pengetahuan Sosial dan Ilmu-Ilmu Sosial AgriHumanis: Journal of Agriculture and Human Resource Development Studies Akrab Juara : Jurnal Ilmu-ilmu Sosial Jurnal Ilmiah Wahana Pendidikan KATALIS: Jurnal Penelitian Kimia dan Pendidikan Kimia Journal of Applied Sciences, Management and Engineering Technology (JASMET) PROFICIO: Jurnal Pengabdian Masyarakat Jurnal Kolaboratif Sains MALANG JOURNAL OF MIDWIFERY (MAJORY) EKONOMIKA45 Inovasi : Jurnal Sosial Humaniora dan Pendidikan Jurnal Riset Rumpun Ilmu Hewani (JURRIH) Tadris: Jurnal Pendidikan Islam Al Basirah Jurnal Mitrawarga Jurnal Riset Manajemen dan Ekonomi Jurnal Pengabdian Bersama Masyarakat Indonesia Mutiara : Jurnal Ilmiah Multidisiplin Indonesia Intellektika: Jurnal Ilmiah Mahasiswa Nuansa: Jurnal Penelitian Ilmu Sosial dan Keagamaan Islam Pengertian: Jurnal Pendidikan Indonesia (PJPI) EDUJ : English Education Journal Marsialapari: Jurnal Pengabdian Kepada Masyarakat Multidisciplinary Indonesian Center Journal Asskruie Journal of Agriprecision & Social Impact Media for Empowerment, Mobilization, and Innovation in Research & Community Jurnal Sumbangsih Indonesian Journal of Social Science and Education
Siti Azizah
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Journal : Jurnal Gaussian

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PENGUKURAN KINERJA PORTOFOLIO SAHAM MENGGUNAKAN MODEL BLACK-LITTERMAN BERDASARKAN INDEKS TREYNOR, INDEKS SHARPE, DAN INDEKS JENSEN (Studi Kasus Saham-Saham yang Termasuk dalam Jakarta Islamic Index Periode 2009-2013) Siti Azizah; Sugito Sugito; Alan Prahutama
Jurnal Gaussian Vol 3, No 4 (2014): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (764.659 KB) | DOI: 10.14710/j.gauss.v3i4.8097

Abstract

The composing of portfolio is one of the way to minimize the risk of investment. Through portfolio, it is expected that some stocks still give return when other stocks are loss. From this composed portfolio, every investor expect appropriate return. The higher the return is better. Black-Litterman Model is the method which optimize the investor’s return by giving difference financial capital proportion for every stocks of portfolio. This method combines both the aspect historical data and the investor view to make new prediction about return of portfolio as the basic to compose the weight model of assets. Investor often compose some portfolio to plan their investment, to compare the performance (capability to produce return and also risk) from any number of portfolio, before evaluating whether the performance of chosen portfolio has been appropriate with the expectation. The measurement of the performance of portfolio is done by using Sharpe, Treynor, and Jensen Indeks. The result of the case study of eleven Jakarta Islamic Indexstocks in the period of 2009-2013 recommend the portfolio with the best perform, whichis optimized which Black-Litterman Model. Based on Sharpe Indeks, the best portfolio consists of SMGR 60,79% and INTP 39,21% of capital allocation. Based on Treynor and Jensen Indeks, the best portfolio consists of SMGR 22,59%, INTP 37,67%, PTBA 1,62%, ANTM 2,69%, ITMG 16,17%, and KLBF 19,26%. Keywords :     JII, Portfolio, Black-Litterman Model, Treynor Index, Sharpe Index, Jensen Index. 
Co-Authors Abdul Muthalib Tahar Achadiah Rachmawati Adella Ulyandana Jayarti Agit Yogi Subandi Ahmad Darlis Ahmad Reiki Darmawan Ahmad Rifaldi Arahman Ahmad Zadid Taqwa Airilza, Qurrotu Ain Aisya Luna Weningati Alan Prahutama Alfina Taurida Alaydrus Ali Said Al-Matari Amal Taufiq Aminullah Aminullah Andi Pratama Anie Eka Kusumastuti Ardian Febriansyah Arifatus Sholikhah Astrid Puspita Wardhani, Friztya Aurevia Putri Ardi Ayu Mona Erisa Marpaung Bambang Ali Nugroho Bara Ismiaji Berlin Bardalena Berlin Bardalena Chanifan Ibadi Fajar Herlambang Christin Mardiana Dede Aprylasari Desy Churul Aini Dewi Nafila Diah Priharsari Dina Nurun Nisa Dwi Nor Wardiani Dwi Setianingsih Dyah Deci Dwi Lestari Enok Fitriyah Eva Nikmatul Rabbianty, Eva Nikmatul Failasuf Herman Hendra Fitri Ninda Fitria Gustiningrum Naelendra Frelyta Ainuz Zahro Gita Marisa Gresia Ivena Hafiizh Rayhan Wijaya Hasby Herlin Afifah Iga Safita Ika Umratul Asni Aminy Ike Wanusmawatie Irfan H. Djunaidi Jenie Palupi Khairunnisa Syadza Wally Kormil Saputra Liya Novitasari Lusy Tunik Muharlisiani M. I Thomas Alfianasah Marcerino Restu Putro Lianto Mas Ayu Ambayoen Mashur Abadi Melly Aida Misbahun Haidir Firmansyah Moch. Agus Mochammad Roviq Monika, Ketut Ayu Lola Muhammad Ihzan Muhammad Jarul Rozki Muhammad Muslih Muhammad Ridho Nafisah Najwa Muqoddas Naufal Adinar Irsan Nela Ranita Amanda Nelly Nur Agustina Nina Khayatul Virdyna, Nina Khayatul Novita Dewi Kristanti, Novita Dewi Nurul Amelia Nurul Qomariyah Nuzul Azmi Octaviana Tesalonika Krisanti Sagala Pazli, Pazli PUJI LESTARI Qosimah, Dahliatul Rachmani Rahma Wiyanti Rahmatun Inayah Ratih Permana Sari Riana Zenida Halimun Rifky Lana Rahardian Riska Yanuarningsih Rositawati Indrati Saepul Rohmat Safitri, Rahma Lailatul Salsabila Dzakiyar Rusda Salsabila Putri Rahmadhanti Sarwenda Budi Pratiwi SATRIYAS ILYAS Shela Fahra Dilla Siti Hamidah Sona Asnawi Suardi Tarumun Sugijati Sugijati Sugito Sugito Suhayat Minardi Sukarmi Sulistyowati Syafrizal " Syaifulloh Ibnu Alam Nurzaman Syamsuddin Syamsuddin Syamsuddin Syauqi Rahman Hudani Vicky Dwi Wicaksono Wati, Anif Mukaromah Yunita Maya Putri Yusep Suhendar Yusmini ' Zachra Fahira Ziyadatun Adawiyah Zyiadatun Adawiah