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All Journal SEIKO : Journal of Management & Business Journal of Business Issues
Fauzi R. Rahim
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Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Social Sciences

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Optimal Portfolio Formation With Single Index Model And Magic Formula Syamsul Wongosari; Syamsu Alam; Fauzi R. Rahim
SEIKO : Journal of Management & Business Vol 6, No 1 (2023): January - Juny
Publisher : Program Pascasarjana STIE Amkop Makassar

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.37531/sejaman.v6i1.4994

Abstract

The purpose of this research is to determine the optimal portfolio using the single index model and magic formula method. The research period is the LQ 45 index stocks that are on the Indonesian Stock Exchange in the period April 2020 to April 2023.This study uses a quantitative descriptive research design that aims to provide a detailed description of the optimal portfolio of stocks. The research sample determined in this research was for the period April 2020 to April 2021 as many as 35 shares, for the period April 2021 to April 2022 as many as 36 shares, and for the period April 2022 to April 2023 as many as 35 shares. The results of the calculations of the two methods will be compared with market returns. The portfolio formed is adjusted every year where portfolio performance is measured using the sharpe ratio. Results obtainedthe single index model portfolio provides an annual average return of 82.45 % far greater than the Magic Formula Portfolio which generates a return of 13.96 %. These two Portfolio methods outperformed the LQ 45 market return of 11.76% but the IHSG market return of 15.11% was higher than the Magic Formula portfolio return. The Single Index Model portfolio risk (35.97%) is higher than the magic formula portfolio risk (14.32%), while the IHSG risk (9.74%) is lower than the two portfolio methods, but the LQ 45 risk is 14.99 % higher than the Magic Formula risk and lower than the Single Index Model risk. Keywords: single index model; magic formulas; index sharpe; LQ 45; optimal portfolio
THE EFFECT OF CREDIT RISK AND CAPITAL ADEQUACY ON PROFITABILITY WITH LIQUIDITY RISK AS A MEDIATION VARIABLE AT BANK WOORI SAUDARA W. Katili, Sitti Nadiah; Ali, Muhammad; Fauzi R. Rahim
Journal of Business Issues Vol. 2 No. 2 (2023): Journal of Business Issues
Publisher : Scientia integritas Utama

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.56282/jbi.v2i2.555

Abstract

This study aims to analyze the effect of credit risk and capital adequacy on profitability with liquidity risk as a mediating variable at Bank Woori Saudara. This study takes from the annual financial report at Bank Woori Saudara. To carry out the objectives of this study, an analysis technique using path analysis is used. The results of the analysis prove that the effect of credit risk on liquidity risk is significant with a negative relationship direction at Bank Woori Saudara. Capital adequacy Ratio does not have a significant effect on credit risk at Bank Woori Saudara. Credit risk, capital adequacy and liquidity risk do not have a significant effect on profitability at Bank Woori Saudara. While the mediating effect of liquidity risk is unable to mediate the relationship between credit risk and capital adequacy on profitability.
Co-Authors MUHAMMAD ALI Sugeng, Santoso Syamsul Wongosari W. Katili, Sitti Nadiah