Detail Inovasi Perguruan Tinggi


Tema: Finance
Judul: ANALISIS PERBANDINGAN TINGKAT KEUNTUNGAN DAN RISIKO PORTOFOLIO DENGAN MENGGUNAKAN MODEL INDEKS TUNGGAL DAN CAPM
Perguruan Tinggi: Sekolah Tinggi Ilmu Ekonomi Kesatuan
Jenis/sdm: dosen/9904211641

Tahun: 2013

Investment is the commitment of funds of source of funds or other funding sources are currently being done, and the purpose is obtaining a profit in the future. The problems will appear which is it how to calculate or determining of the benefits level and risk that may be incurred during the investment period. The stock of portfolio is measured in this study especially for the portfolio stock listed such as LQ45, JII, Kompas100, Bisnis27, Pefindo25 and Sri-Kehati.
The purpose of this thesis is for determining of the benefits level and the risk in a portfolioby using the method of Single Index Model and CAPM which is it measured by using the average yield and using the risk of the portfolio by using the model that measured by the variance and the risk using the CAPM model as measured by beta (market risk).
The formulas include methods to measure the return and risk of a stock portfolio. Beta factor is used to measure the sensitivity of the portfolio to the market and both models use the same calculation. The period is studied during August 2012 – January 2013 by using index data to determine the level of expected return and the risk of each portfolio.
The result showing is highest average expected return rate in the period of study which using the Single Index Model owned by Sri-Kehati portfolio that has an average rate of return amount 0.0009 and has as small risk of total consisting in market company risk with amount 0.00007. Furthermore the smallest return in average is owing by pefindo25 with amount 0.0004 and the highest risk with amount 0.00010, and the pefindo25 portfolio has the smallest beta. In CAPM model is found of all portfolio has negative return and negative risk premium that mean six of portofolio do not have any expected return. It is found beta>1 with result negative return and beta <1 with result is higher return than beta >1.
Keywords : return, risk, beta, Single Index Model, CAPM