Article Per Year (5 Year)
p-Index From 2021 - 2026
0.23
P-Index
This Author published in this journals
All Journal KEYNESIA : INTERNATIONAL JOURNAL OF ECONOMY AND BUSINESS
Matrodji H. Mustafa
UniversitasMercu Buana
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Social Sciences Other

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search

 1 
Analysis of Stock Portfolio Performance Using Passive Strategy and Active Strategy with Single Index Model Ricki Ricki; Matrodji H. Mustafa
Keynesia : International Journal of Economy and Business Vol. 2 No. 2 (2023): Keynesia : International Journal of Economy and Business
Publisher : ARKA INSTITUTE

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.55904/keynesia.v2i2.1116

Abstract

This study aims to determine and analyze the differences in return and risk performance results of passive and active strategies using the Single Index Model. Then measure the return performance using the Sharpe Index, Treynor, and Jensen's Alpha. This research was conducted on Sri-Kehati index stocks for the period November 2019 to November 2021. Based on passive portfolio strategy research, there are three stocks that form the optimal portfolio, namely BBCA, BBRI, SIDO. While based on active portfolio strategy research, in the first year there were three stocks that formed the optimal portfolio, then in the second year there were seven stocks forming the optimal portfolio, namely BBCA, BBRI, DSNG, INCO, SIDO, SMGR, WIKA. Based on performance measurement using Sharpe, Treynor and Jensen's Alpha indices, the Active Portfolio Strategy is better than the Passive Portfolio Strategy. Meanwhile, based on the difference test using the Mann Whitney U test method, it can be concluded that there is no significant difference in return performance between passive and active portfolio strategies.
Co-Authors Ricki Ricki