PEMBENTUKAN PORTOFOLIO OPTIMAL BERDASARKAN INDEKS KINERJA KEUANGAN PADA SAHAM LQ-45

Authors

  • DIRAMADHONA MUTIASALISA
  • DODI DEVIANTO
  • IZZATI RAHMI HG

DOI:

https://doi.org/10.25077/jmu.10.2.177-186.2021

Abstract

Investasi adalah suatu bentuk penanaman dana guna memberikan keuntungan tingkat pengembalian (return) baik pada masa sekarang atau dan dimasa depan. Saham adalah sebuah bukti kepemilikian nilai sebuah perusahaan. Saham merupakan salah satu instrumen investasi yang paling menarik karena memiliki mobilitas yang tinggi. Indeks kinerja keuangan yang dimaksud adalah Indeks Sharpe, Treynor dan Jensen dimana merupakan metode yang digunakan untuk mengukur kinerja keuangan suatu saham, sehingga ketiga metode tersebut dapat digunakan sebagai dasar untuk membuat sebuah portofolio. Portofolio adalah sekelompok instrumen investasi yang dipilih sebagai objek investasi dari seorang investor atau sebuah perusahaan investasi. Pada Penelitian ini data yang digunakan adalah return dari 45 saham berindeks LQ-45 pada periode Februari 2020 - Juli 2020. Menurut hasil perhitungan nilai Indeks Sharpe, Treynor dan Jensen dapat ditarik kesimpulan bahwa saham yang memiliki kinerja keuangan terbaik adalah Sarana Menara Nusantara Tbk (TOWR), Kalbe Farma Tbk (KLBF), Surya Citra Media Tbk (SCMA), Aneka Tambang (Persero) Tbk (ANTM), dan Ace Hardware Indonesia Tbk (ACES). Ketika saham yang berkinerja keuangan baik menurut Indeks Sharpe, Treynor dan Jensen disatukan sebagai sebuah portofolio maka dapat dikatakan portofolio tersebut adalah portofolio optimal berdasarkan indeks kinerja keuangan.

Kata Kunci: Indeks Sharpe, Indeks Treynor, Indeks Jensen

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Published

29-04-2021

Issue

Vol. 10 No. 2 (2021)

Section

Articles

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