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All Journal Media Statistika BIMASTER Epsilon: Jurnal Matematika Murni dan Terapan Jurnal Statistika Universitas Muhammadiyah Semarang BAREKENG: Jurnal Ilmu Matematika dan Terapan JTAM (Jurnal Teori dan Aplikasi Matematika) Jambura Journal of Mathematics Sarwahita : Jurnal Pengabdian Kepada Masyarakat Variance : Journal of Statistics and Its Applications Jurnal Pengabdian kepada Masyarakat Nusantara JAMBURA JOURNAL OF PROBABILITY AND STATISTICS Euler : Jurnal Ilmiah Matematika, Sains dan Teknologi Jurnal Forum Analisis Statistik STATISTIKA Jurnal Pengabdian pada Masyarakat
Evy Sulistianingsih
Department Of Mathematics, Universitas Tanjungpura, Jl. Prof. Dr. H. Hadari Nawawi, Pontianak, Indonesia 78124
Agriculture, Biological Sciences & Forestry Humanities Civil Engineering, Building, Construction & Architecture Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Energy Engineering Environmental Science Law, Crime, Criminology & Criminal Justice Mathematics Mechanical Engineering Physics Social Sciences Transportation Other

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PERHITUNGAN VALUE AT RISK (VAR) DENGAN METODE SIMULASI HISTORIS DARI PORTOFOLIO OPTIMAL YANG DI BENTUK DENGAN MODEL MARKOWITZ DAN MEAN VARIANCE EFFICIENT PORTFOLIO (MVEP) Immy, Immy; Yundari, Yundari; Sulistianingsih, Evy
BIMASTER : Buletin Ilmiah Matematika, Statistika dan Terapannya Vol 15, No 1 (2026): Bimaster : Buletin Ilmiah Matematika, Statistika dan Terapannya
Publisher : FMIPA Universitas Tanjungpura

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26418/bbimst.v15i1.105603

Abstract

Manajemen risiko merupakan elemen krusial dalam proses pengambilan keputusan investasi. Salah satu metode yang sering dimanfaatkan untuk mengukur tingkat risiko adalah Value at Risk (VaR), yang merepresentasikan estimasi kerugian maksimum suatu portofolio dalam jangka waktu tertentu pada tingkat kepercayaan yang telah ditetapkan. Penelitian ini bertujuan untuk menentukan nilai VaR dengan pendekatan Simulasi Historis pada portofolio saham yang dibentuk menggunakan Model Markowitz serta Mean Variance Efficient Portfolio (MVEP). Data yang digunakan mencakup harga penutupan harian saham-saham anggota indeks LQ45 selama periode 1 Agustus 2024 hingga 31 Desember 2024. Proses pembentukan portofolio dilakukan dengan mengeliminasi saham yang memiliki expected return negatif serta saham yang memiliki expected return lebih kecil dari nilai risiko (variansi). Selanjutnya dari proses seleksi, diperoleh 10 saham yang memenuhi kriteria, di antaranya saham INTP (25,28%), ICBP (19,26%), EXCL (18,31%), INDF (17,28%), UNTR (17,27%), ASII (3,03%), ANTM (3,00%), BRIS (0,60%), PTBA (-1,45%) dab GOTO (-2,58%).
EFEKTIVITAS PELATIHAN POWER BI DALAM MENINGKATKAN LITERASI DATA ADMIN SATU DATA KALIMANTAN BARAT Neva Satyahadewi; Evy Sulistianingsih; Shantika Martha; Nurfitri Imro'ah; Hendra Perdana; Wirda Andani; Ray Tamtama; Yuyun Eka Pratiwi; Muhammad Fikri; Pitriani; Annisa Auliarahmi; Nazwa Nursyifa; Yohanna Gabriel Richsita; Louis Putra Jaya; Jessica Audrey Valeria
Dianmas Bhakti: Jurnal Pengabdian pada Masyarakat Vol 3 No 1 (2026): Dianmas Bhakti: Jurnal Pengabdian pada Masyarakat
Publisher : LPPM Universitas Panca Bhakti

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.54035/dianmas.v3i1.626

Abstract

This Community Service Program (PKM) aimed to enhance data literacy and information visualization skills among Satu Data administrators of local government agencies (OPD) through Microsoft Power BI training at the West Kalimantan Provincial Communication and Information Agency (Diskominfo). The program was implemented through preparation, face-to-face training, and evaluation stages using pre-test and post-test instruments. The training covered fundamental concepts of data analysis, data visualization techniques, and hands-on dashboard development using regional sectoral data. The results of the paired sample t-test analysis indicated a statistically significant improvement between participants’ pre-test and post-test scores, demonstrating the effectiveness of the training. Furthermore, analysis using Partial Least Squares Structural Equation Modeling (PLS-SEM) revealed that training material quality had a positive and significant effect on participants’ learning outcomes, while other supporting factors such as training duration, facilitator performance, and technical aspects did not show significant effects. These findings highlight that well-structured and relevant training materials play a critical role in improving participants’ competencies. Overall, the program contributed to strengthening analytical skills and supporting the implementation of the Satu Data Indonesia policy toward transparent and evidence-based data governance
Comparative Analysis of the Capital Asset Pricing Model and Arbitrage Pricing Theory in Estimating Expected Stock Returns in the IDX BUMN20 Index Alfariz, Febrant; Sulistianingsih, Evy; Satyahadewi, Neva
Euler : Jurnal Ilmiah Matematika, Sains dan Teknologi Volume 14 Issue 1 April 2026
Publisher : Universitas Negeri Gorontalo

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.37905/euler.v14i1.37760

Abstract

This study examines the comparative performance of the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in estimating expected stock returns within the IDX BUMN20 Index. The study is motivated by the ongoing debate regarding the empirical validity of single-factor and multifactor asset pricing models, particularly in emerging markets such as Indonesia. While prior studies provide mixed evidence, limited research has focused specifically on state-owned enterprise indices, which exhibit distinct risk characteristics. Using monthly stock price data, this study estimates expected returns under both models and evaluates their performance using Mean Absolute Deviation (MAD), which measures the average deviation between estimated and realized returns. In the APT framework, factor sensitivities are estimated using a multifactor regression approach, incorporating macroeconomic variables as systematic risk factors. This allows a more detailed assessment of how multiple sources of risk influence return estimation. The results indicate that the CAPM demonstrates relatively better estimation performance, as reflected by lower MAD values compared to the APT. However, the APT provides additional insights into the role of multiple risk factors, suggesting its relevance in capturing more complex market dynamics. These findings highlight that while simpler models may perform more consistently in certain contexts, multifactor approaches remain valuable for understanding broader sources of systematic risk. The study contributes to the asset pricing literature by providing empirical evidence from the IDX BUMN20 Index and offering a more nuanced comparison between single-factor and multifactor models in an emerging market setting.
ANALISIS RISIKO DAN RETURN SAHAM MENGGUNAKAN DOWNSIDE CAPITAL ASSET PRICING MODEL (DCAPM) PADA SAHAM IDX30 Hazwani Dhiya' Atiq Viatmaja; Hendra Perdana; Evy Sulistianingsih
EPSILON: JURNAL MATEMATIKA MURNI DAN TERAPAN Vol 20, No 1 (2026)
Publisher : Mathematics Study Program, Faculty of Mathematics and Natural Sciences, Lambung Mangkurat

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20527/epsilon.v20i1.18510

Abstract

The Indonesian capital market, as an emerging market is characterized by high volatility and an asymmetric return distribution, making the Capital Asset Pricing Model (CAPM) less representative for measuring stock risk and return. This study aims to analyze the relationship between risk and return of IDX30 stocks using the Downside Capital Asset Pricing Model (DCAPM), which focuses on measuring risk from the downside perspective through the estimation of downside beta. The data used consist of daily stock closing prices, the market index, and the risk free rate (BI Rate) from January 2023 to September 2025. A total of 20 stocks that consistently remained in the IDX30 index throughout the observation period were selected as the sample and grouped into portfolios based on their downside beta levels, which were subsequently evaluated using the Omega Ratio. Downside beta was estimated by dividing the asset semicovariance by the market semivariance. The results indicate considerable variation in downside risk among IDX30 stocks. From a financial perspective, a higher downside beta is associated with a higher expected return as compensation for greater downside risk. Moreover, portfolios with higher downside beta can still exhibit relatively good performance, provided that they generate returns exceeding the target return. These findings suggest that the DCAPM and Omega Ratio can serve as effective tools for evaluating stock portfolio risk and performance under asymmetric market conditions.
Co-Authors ., Putri Agustono, Hendri Alfariz, Febrant Alsa Muarti Amalia, Disya Recita Ananda, Adelia Andani, Wirda Anggi Septiawan Anisa Shafarianti Annisa Auliarahmi Ardhitha, Tiffany Arsanti, Resti Atlantic, Virginnia AYU ASTUTI, AYU Banu, Syarifah Syahr Dadan Kusnandar Debataraja, Naomi Nessyana Desdianti, Maycandra Deva Kurnia Aristi Dhandio, David Jordy Dinanti, Rahila Dara Eka Lestari Eka Wahyuning Dhewanty Elga Fitaloka Fadhilah Rizky Aulia Febryanti, Winda Fiqriani, Rizha Aynul Fransiska Fransiska Gristia Aldilla Gunawan, Risky Hadi, Muhammad Silmi Hafifah, Nanda Hanin, Noerul Hazwani Dhiya' Atiq Viatmaja Hendra Perdana Imanni, Rahmania Andarini Hatti Immy, Immy Imro'ah, Nurfitri IMRO’AH, NURFITRI Imro’ah, Nurfitri Jessica Audrey Valeria Kamila, Diva Rahma Karlina, Sela Laksono Trisnantoro Lisa Lestari Louis Putra Jaya Maga, Fahmi Giovani Maharani, Cinta Priscillia Maresha Widya Muliadiasti Martha, Shantika Matius Robi Meilandra, Irvan Meliana Pasaribu Melvin, Melvin Misno Misno Muhammad Fikri Mutiara Nurisma Rahmadhani Nabilah, Niken Aushaf Nanda Shalsadilla Naomi Nessyana Debataraja Natalia, Desa Ayu Nazwa Nursyifa Neva Satyahadewi Nurfitri Imro’ah Oktaviani, Indah Oktitannia, Dea Panawaristia, Brigitha Pebriyandi, Rifki Perangin Angin, Christi Alemsa Pitriani Pratama, Aditya Nugraha Pratama, Yogi Priani, Wina Putra, Fajar Rahmana Putri, Mely Amara Radinasari, Nur Ismi Rahmah, Mhaulia Rahmania Andarini Hatti Imanni Rifqi, Bhima Fairul Risma Junian Salsabila, Hana Salsabila, Yumna Hanum Savitri, Dini Dwi Setyo Wir Rizki Setyo Wira Rizki Shantika Martha Siti Aprizkiyandari, Nurul Qomariyah, Shantika Martha, Sriyana Sriyana Sulya Hikma Yulandari Supandi Supandi Susanti Susanti Syafitri Wulandari Tamtama, Ray Tiara, Dinda Umiati, Wiji Wahyu Kurniasari Wati, Setio Kusumo Westi Widiyatari Wicaksono, Juwan Prioabil Dwi Wirda Andani Wulandari, Afrilia Putri Yohanna Gabriel Richsita Yundari, Yundari Yustosio, Darwis Yuyun Eka Pratiwi Zakiah, Ainun Zaria, Della