ANALISIS KINERJA PORTOFOLIO: PENGUJIAN SINGLE INDEX MODEL DAN NAIVE DIVERSIFICATION
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 naïve diversification dalam sampel kecil. Sebanyak 42 emiten yang tercatat di Bursa Efek Indonesia dia...
Saved in:
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Universitas Negeri Semarang
2012-09-01
|
| Series: | Jurnal Dinamika Manajemen |
| Subjects: | |
| Online Access: | https://journal.unnes.ac.id/nju/index.php/jdm/article/view/2440 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1850230080181108736 |
|---|---|
| author | Rini Setyo Witiastuti |
| author_facet | Rini Setyo Witiastuti |
| author_sort | Rini Setyo Witiastuti |
| collection | DOAJ |
| description | 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 naïve 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 naïve diversification. Tetapi, untuk model indeks tunggal menggunakan strategi IV, return portofolio model indeks tunggal berbeda secara signifikan dengan return portofolio metode naïve diversification. Risiko portofolio model indeks tunggal berbeda secara signifikan dengan risiko portofolio metode naïve diversification, dalam sample kecil, kinerja portofolio baik model indeks tunggal maupun metode naïve diversification sama-sama inferior. <br /><br /><br />This study evaluated the difference between portfolio’s return and portfolio’s risk of single index model and naïve 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 that for single index model using strategy I, II, III, V, and VI , there is no difference significantly between the portfolio’s return of single index model toward portfolio’s return of naïve diversification method. But, for single index model using strategy IV, the portfolio’s return of single index model is different significantly toward portfolio’s return of naïve diversification method The portfolio’s risk between single index model toward portfolio’s risk of naïve diversification method is different significantly, In small sample settings, both of portfolio’s performance of single index model and portfolio’s performance of naïve diversification method is inferior. |
| format | Article |
| id | doaj-art-e861f01ecfa345ca8d36cfdc2a7e5fdd |
| institution | OA Journals |
| issn | 2086-0668 2337-5434 |
| language | English |
| publishDate | 2012-09-01 |
| publisher | Universitas Negeri Semarang |
| record_format | Article |
| series | Jurnal Dinamika Manajemen |
| spelling | doaj-art-e861f01ecfa345ca8d36cfdc2a7e5fdd2025-08-20T02:03:58ZengUniversitas Negeri SemarangJurnal Dinamika Manajemen2086-06682337-54342012-09-013210.15294/jdm.v3i2.24402234ANALISIS KINERJA PORTOFOLIO: PENGUJIAN SINGLE INDEX MODEL DAN NAIVE DIVERSIFICATIONRini Setyo Witiastuti0Gedung C6 Lantai 1 FE Unnes Kampus Sekaran Gunungpati, SemarangPenelitian ini bertujuan untuk menganalisis sebuah model berprientasi mengontrol. Studi ini bertujuan untuk menguji perbedaan antara return dan risiko portofolio model indeks tunggal dengan metode naïve 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 naïve diversification. Tetapi, untuk model indeks tunggal menggunakan strategi IV, return portofolio model indeks tunggal berbeda secara signifikan dengan return portofolio metode naïve diversification. Risiko portofolio model indeks tunggal berbeda secara signifikan dengan risiko portofolio metode naïve diversification, dalam sample kecil, kinerja portofolio baik model indeks tunggal maupun metode naïve diversification sama-sama inferior. <br /><br /><br />This study evaluated the difference between portfolio’s return and portfolio’s risk of single index model and naïve 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 that for single index model using strategy I, II, III, V, and VI , there is no difference significantly between the portfolio’s return of single index model toward portfolio’s return of naïve diversification method. But, for single index model using strategy IV, the portfolio’s return of single index model is different significantly toward portfolio’s return of naïve diversification method The portfolio’s risk between single index model toward portfolio’s risk of naïve diversification method is different significantly, In small sample settings, both of portfolio’s performance of single index model and portfolio’s performance of naïve diversification method is inferior.https://journal.unnes.ac.id/nju/index.php/jdm/article/view/2440Single index modelNaïve diversifictionPortofolio’s return portofolio’s risk |
| spellingShingle | Rini Setyo Witiastuti ANALISIS KINERJA PORTOFOLIO: PENGUJIAN SINGLE INDEX MODEL DAN NAIVE DIVERSIFICATION Jurnal Dinamika Manajemen Single index model Naïve diversifiction Portofolio’s return portofolio’s risk |
| title | ANALISIS KINERJA PORTOFOLIO: PENGUJIAN SINGLE INDEX MODEL DAN NAIVE DIVERSIFICATION |
| title_full | ANALISIS KINERJA PORTOFOLIO: PENGUJIAN SINGLE INDEX MODEL DAN NAIVE DIVERSIFICATION |
| title_fullStr | ANALISIS KINERJA PORTOFOLIO: PENGUJIAN SINGLE INDEX MODEL DAN NAIVE DIVERSIFICATION |
| title_full_unstemmed | ANALISIS KINERJA PORTOFOLIO: PENGUJIAN SINGLE INDEX MODEL DAN NAIVE DIVERSIFICATION |
| title_short | ANALISIS KINERJA PORTOFOLIO: PENGUJIAN SINGLE INDEX MODEL DAN NAIVE DIVERSIFICATION |
| title_sort | analisis kinerja portofolio pengujian single index model dan naive diversification |
| topic | Single index model Naïve diversifiction Portofolio’s return portofolio’s risk |
| url | https://journal.unnes.ac.id/nju/index.php/jdm/article/view/2440 |
| work_keys_str_mv | AT rinisetyowitiastuti analisiskinerjaportofoliopengujiansingleindexmodeldannaivediversification |