Article Per Year (5 Year)
p-Index From 2019 - 2024
0.23
P-Index
This Author published in this journals
All Journal Journal of Emerging Business Management and Entrepreneurship Studies
Martdian Ratnasari
Sekolah Tinggi Manejemen PPM
Economics, Econometrics & Finance

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

Found 1 Documents
Search

 1 
Analisis Pembentukan Portofolio Optimal dengan Single Index Model dan Z-Score pada Emiten IDX BUMN 2O Jihan Avianti; Martdian Ratnasari
Journal of Emerging Business Management and Entrepreneurship Studies Vol. 1 No. 1 (2021): JEBMES
Publisher : Research Center and Case Clearing House (RC-CCH) - Sekolah Tinggi Manajemen PPM

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (558.332 KB) | DOI: 10.34149/jebmes.v1i1.4

Abstract

This study aims to form an optimal portfolio and compare portfolio performance using a single index model and z-score. The z-score method is divided into 2 (two) according to the investment strategy, namely growth and value as investors' preferences in choosing a portfolio. The study population uses the IDX BUMN 20 for the period May 2018 - December 2020. The analysis results from the single index method have a portfolio return of 0.001339 with a risk to be faced of 0.0037724. The z-score growth investing method obtains a portfolio return value of 0.000989 and has a risk of 0.023369. Meanwhile, the z-score value investing method has a portfolio return of 0.001614 with a risk of 0.027416. Then the z-score value investing method has the highest performance evaluation value based on the sharpe ratio, treynor measure, and gen's alpha when compared to the other 2 (two) methods.
Co-Authors Jihan Avianti