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ANALYSIS OF OPTIMAL PORTFOLIO AND PORTFOLIO PERFORMANCE PERSISTENCE ON THE IDX30 INDEX USING SINGLE INDEX MODEL

Tegar Fadlina, Yudhia Mulya, Edhi Asmirantho, Edi Jatmika

Abstract


ABSTRACT
This research aims to analyze the optimal portfolio formation in each semester based on the Single Index Model in companies included in the IDX30 index for the period 2018 – 2022 and analyze the persistence of optimal portfolio performance in companies included in the IDX30 index category on the Indonesia Stock Exchange for the period 2018 – 2022. Population and sample, all stocks of go-public companies listed in the IDX30 Index on the Indonesia Stock Exchange (IDX) for Feb 2018 – Jan 2022. The data analysis method used in this research is a determination of the optimal portfolio with a Single Index Model and stock portfolio performance persistence test to determine whether there is an implication between optimal portfolio performance in the past and optimal portfolio performance in the future (persistence). As measured by the Sharpe method, the results of the persistence test analysis of portfolio performance show that past portfolio performance has no data value dependence (no persistence) with future portfolio performance.

ABSTRAK
Penelitian ini bertujuan menganalisis formasi portofolio optimal di setiap semester berdasarkan Model Indeks Tunggal pada perusahaan yang masuk ke dalam indeks saham IDX30 Periode 2018 - 2022 dan menganalisis persistensi kinerja portofolio optimal pada perusahaan yang masuk ke dalam kategori indeks saham IDX30 di Bursa Efek Indonesia periode 2018 – 2022. Populasi dan sampel, seluruh saham perusahaan go public yang terdaftar dalam kelompok saham Indeks IDX30 di Bursa Efek Indonesia (BEI) periode Feb 2018 – Jan 2022. Metode analisis data yang digunakan penelitian ini penentuan portofolio optimal dengan Model Indeks Tunggal dan uji persistensi kinerja portofolio saham untuk mengetahui apakah terdapat implikasi antara kinerja portofolio optimal di masa lalu dengan kinerja portofolio optimal di masa depan (Persistensi). Hasil analisis uji persistensi kinerja portofolio saham yang diukur dengan metode Sharpe menunjukan bahwa kinerja portofolio pada masa lalu tidak memiliki ketergantungan nilai data (tidak memiliki persistensi) dengan kinerja portofolio masa depan.


Keywords


Optimal portfolio; persistence; sharpe index; single index model; stock; Indeks sharpe; persistensi; model indeks tunggal; portofolio optimal; saham

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DOI: 10.34203/jimfe.v10i1.8969

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