Determination and performance evaluation of optimal portofolio in Jakarta Stock Exchange

YUSTINA, Vien Svizzera, - Indra Wijaya Kusuma, Prof., Dr., MBA

2008 | Tesis | S2 Magister Manajemen

Studi ini bertujuan untuk menentukan dan mengevaluasi kinerja portfolio dengan sample perusahaan manufaktur yang tercatat pada Bursa Efek Jakarta. Ada 138 perusahaan manufaktur terkumpul selama periode 2003-2005. Tiga model penentuan portfolio set yang digunakan adalah Single Index Model, Random Model, dan VaR (Historical Simulation). Ada tiga bentuk portfolio yaitu portfolio A, portfolio B, dan portfolio C. Evaluasi kinerja portfolio dievaluasi menggunakan tiga metode; Sharpe Index, Treynor Index, dan Jensen’s Index. Hasil dari studi ini menunjukkan bahwa portfolio C yang didapat dari VaR (Historical Simulation) terbukti mampu memberikan return yang tertinggi dan juga kinerja yang terbaik.

This study is aimed to determine and evaluate portfolio performance of a sample of Indonesian manufacturing firms listed in the Jakarta Stock Exchange. There are 138 manufacturing firms collected covering the period 2003-2005. Three models of portfolio determination used are Single Index Model, Random Model, and VaR (Historical Simulation). There are three set of portfolios, portfolio A, portfolio B, and portfolio C. Portfolio performance evaluation evaluated using three methods; Sharpe Index, Treynor Index, and Jensen’s Index. The results from this study show that portfolio C which derived from VaR (Historical Simulation) is proved could gives the highest return and also best performance among the other two portfolios.

Kata Kunci : penentuan, evaluasi, return, kinerja portfolio, perusahaan manufaktur Indonesia, VaR (Historical Simulation), determine, evaluate, return, portfolio performance, Indonesian manufacturing firms