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ANALISIS KINERJA PORTOFOLIO SAHAM DENGAN METODE SHARPE, JENSEN DAN TREYNOR
Wiwit Citra Andika (2016) | Skripsi | -
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Ringkasan
Penelitian ini mengevaluasi dari Kinerja Portofolio Saham dengan menggunakan metode Sharpe, Jensen dan Treynor. Penelitian ini bertujuan untuk mengetahui Kinerja Portofolio yang Optimal dari perusahaan LQ- 45 di Bursa Efek Indonesia.
Rancangan Penelitian yang dilakukan menggunakan data sekunder berupa data harga saham, Return Portofolio, Suku Bunga Bank Indonesia (SBI), Indeks LQ-45 Periode Agustus 2013- Januari 2014. Ada beberapa step dalam metode ini yang berhubungan dengan rumus Sharpe, Jansen dan Treynor yaitu Return portofolio (Rp), Average risk free (Rf), Average return market (Rm), standard deviation return (σ_(p )) and Beta portofolio (β_(p )). yang digunakan untuk 1 periode (6 bulan) dalam portofolio saham LQ-45.
Hasil Penelitian ini menunjukkan bahwa return dari perusahaan yang tergabung dalam LQ-45, secara umum bernilai positif dan return yang memiliki nilai maksimum PT.BW Plantation,Tbk.(BWPT), serta beta yang memilki nilai maksimum PT.Bumi Resources Tbk (BUMI). Kinerja dari metode Sharpe, Jensen dan Treynor yang paling optimal adalah PT. United Traktor Tbk (UNTR), PT.BW Plantation Tbk (BWPT) dan PT. Harum Energy Tbk(HRUM).
Ringkasan Alternatif
This research had evaluated from stock performance of portofolio by using Sharpe method, Jensen and Treynor. The purpose of this research is to know the portofolio performance that was optimum from LQ 45 in the effect of Indonesia stock exchange.
The research design which was done, it used secondary data in form of stock data cost Return portofolio, rate of interest of Indonesia Bank (SBI), index of LQ-45. There are some steps on this method that is related to the formula of Sharpe, Jensen and Treynor in August (2013) to January (2014), namely: Return portofolio (Rp), Average risk free (Rf), Average return market (Rm), standard deviation return (σ_(p )) and Beta portofolio (β_(p )) which was used one period or (six month) on portofolio stock of LQ-45.
The result of research showed that Return which inconsolidated from LQ-45 company was positive value generally. There are some company that has maximum return value those are PT. BW plantation, Tbk. (BWPT). Thus, there is company which has maximum beta (β) value, that is PT. Bumi Resouces, Tbk. (BUMI). The performence from Sharpe method, Jansen and Treynor that has the most optimum performance are PT. United Traktor, Tbk. (UNTR), PT. BW Plantation, Tbk. (BWPT) and PT. Harum Energy, Tkk. (HRUM).