ANALISIS KINERJA PORTOFOLIO: PENGUJIAN SINGLE INDEX MODEL DAN NAIVE DIVERSIFICATION - Setyo Witiastuti, Rini (Department of Management, Faculty of Economics, Semarang State University, Indonesia, 2012)
Penelitian ini bertujuan untuk menganalisis sebuah model berprientasi mengontrol. Studi ini bertujuan untuk menguji perbedaan antara return dan risiko portofolio model indeks tunggal dengan metode naÃÂ¯ve diversification dalam sampel kecil. Sebanyak 42 emiten yang tercatat di Bursa Efek Indonesia diambil sebagai sampel berdasarkan metode purposive sampling. Metode statistik yang dipakai adalah paired sample t-test. Kesimpulan model indeks tunggal dengan strategi I, II, III, V, and VI, menunjukkan tidak ada perbedaan yang signifikan antara return portofolio model indeks tunggal dengan return portofolio metode naÃÂ¯ve diversification. Tetapi, untuk model indeks tunggal menggunakan strategi IV, return portofolio model indeks tunggal berbeda secara signifikan dengan return portofolio metode naÃÂ¯ve diversification. Risiko portofolio model indeks tunggal berbeda secara signifikan dengan risiko portofolio metode naÃÂ¯ve diversification, dalam sample kecil, kinerja portofolio baik model indeks tunggal maupun metode naÃÂ¯ve diversification sama-sama inferior. This study evaluated the difference between portfolioÃ¢â¬â¢s return and portfolioÃ¢â¬â¢s risk of single index model and naÃÂ¯ve diversification method, applying in small sample settings. As much as 42 firms listed in the Indonesia Stock Exchange were taken as sample using purposive sampling method. The statistical method uses in this study is paired sample t-test. The result of this study shows thatÃÂ for single index model using strategy I, II, III, V, and VI , there is no difference significantly between the portfolioÃ¢â¬â¢s return of single index model toward portfolioÃ¢â¬â¢s return of naÃÂ¯ve diversification method. But, for single index model using strategy IV, the portfolioÃ¢â¬â¢s return of single index model is different significantly toward portfolioÃ¢â¬â¢s return of naÃÂ¯ve diversification method The portfolioÃ¢â¬â¢s risk between single index model toward portfolioÃ¢â¬â¢s risk of naÃÂ¯ve diversification method is different significantly, In small sample settings, both of portfolioÃ¢â¬â¢s performance of single index model and portfolioÃ¢â¬â¢s performance of naÃÂ¯ve diversification method is inferior.