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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 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 FOSTER: Journal of English Language Teaching 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 MALANG JOURNAL OF MIDWIFERY (MAJORY) EKONOMIKA45 Agriwar Journal 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 Al-Zayn: Jurnal Ilmu Sosial & Hukum 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 Karya Nyata: Jurnal Pengabdian Kepada Masyarakat Multidisciplinary Indonesian Center Journal Journal of Agriprecision & Social Impact Media for Empowerment, Mobilization, and Innovation in Research & Community Jurnal Sumbangsih Indonesian Journal of Social Science and Education Jimulti Fast in Social Sciences Jurnal Teknologi Pangan dan Ilmu Pertanian
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 Agit Yogi Subandi Ahmad Darlis Ahmad Rifaldi Arahman Ahmad Zadid Taqwa Airilza, Qurrotu Ain Alan Prahutama Ali Said Al-Matari Amal Taufiq Aminullah Aminullah Andi Pratama Anie Eka Kusumastuti Arifatus Sholikhah Astrid Puspita Wardhani, Friztya Ayu Mona Erisa Marpaung Bambang Ali Nugroho Berlin Bardalena Berlin Bardalena Chanifan Ibadi Fajar Herlambang Christin Mardiana Dede Aprylasari Dede Aprylasari Deni Achmad Desy Churul Aini Dewi Nafila Diah Priharsari Dina Nurun Nisa Dita Kumala Sari Dwi Nor Wardiani Dwi Setianingsih Dyah Deci Dwi Lestari Enok Fitriyah Eva Nikmatul Rabbianty, Eva Nikmatul Failasuf Herman Hendra Fithri Sri Mulyani Fitri Ninda Fitria Gustiningrum Naelendra Frelyta Ainuz Zahro Fristia Berdian Tamza Gita Marisa Hadi, Kemal Akshaliano Hafiizh Rayhan Wijaya Hasby Herlin Afifah Himmawan Adi Nugroho Iga Safita Ika Umratul Asni Aminy Ike Wanusmawatie Ila Haque Faura Affandi Siti Azizah Irfan H. Djunaidi Jenab Nurjanah Jenie Palupi Kormil Saputra Lidya Amika Putri Liya Novitasari Lusy Tunik Muharlisiani M. I Thomas Alfianasah Marcerino Restu Putro Lianto Mas Ayu Ambayoen Mashur Abadi Maulana Khafi Maya Shafira Melly Aida Misbahun Haidir Firmansyah Moch. Agus Monika, Ketut Ayu Lola Muhammad Ihzan Muhammad Muslih Muhammad Ridho Nafisah Najwa Muqoddas Naufal Adinar Irsan Nela Ranita Amanda Nina Khayatul Virdyna, Nina Khayatul Novita Dewi Kristanti Nugroho, Agung Enggal Nurul Amelia Nurul Qomariyah Nuzul Azmi Octaviana Tesalonika Krisanti Sagala Pazli, Pazli Puja Oktavia PUJI LESTARI Qosimah, Dahliatul Rachmani Rahma Wiyanti Rahmatun Inayah Ratih Permana Sari Riana Zenida Halimun Rifky Lana Rahardian Riska Yanuarningsih Rista Erika Rositawati Indrati Saepul Rohmat Safitri, Rahma Lailatul Sarwenda Budi Pratiwi SATRIYAS ILYAS Shela Fahra Dilla Siti Hamidah Siti Jahwa SLAMET SETIAWAN Sona Asnawi Suardi Tarumun Sugijati Sugijati Sugito Sugito Sukarmi Sulistyowati Syafrizal " Syamsuddin Syamsuddin Syauqi Rahman Hudani Titanio Auditya Pribadi Vicky Dwi Wicaksono Wati, Anif Mukaromah Yayu Nurmalasari Yoga Toyibulah Yugi Hilmi Yunita Maya Putri Yusep Suhendar Yusmini Zachra Fahira Ziyadatun Adawiyah