Analisis Kinerja Etf Dengan Portofolio Indeks Acuannya Menggunakan Metode Sharpe, Treynor, Dan Jensen (Studi Kasus ETF Periode 2018-2021)

Rarasati, Winda Ratlin and , Imronudin, S.E, M.Si, Ph.D (2022) Analisis Kinerja Etf Dengan Portofolio Indeks Acuannya Menggunakan Metode Sharpe, Treynor, Dan Jensen (Studi Kasus ETF Periode 2018-2021). Skripsi thesis, Universitas Muhammadiyah Surakarta.

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Abstract

Stock is an investment instrument that is very popular because it is able to provide greater profits. To get optimal results, investors often diversify with the aim of minimizing the risk of each issuer. Exchange Traded Funds (ETFs) can be an alternative for investors to diversify because ETFs consist of shares of companies included in the reference index. In addition, ETF transactions use the stock mechanism so that transactions can be carried out at anytime during exchange hours. The aim to be achieved by holding this research is to analyze the returns of two types of instruments, namely ETFs of the reference index and the optimal portfolio. In addition, to compare the performance of these two portfolios, the Sharpe, Treynor, and Jensen indicator are used. The research was conducted during the period 2018-2021. The samples used were IDX30 and JII in that period. The results of this study indicate that the returns of the two types of instruments are significantly different. The results from IDX30-XIIT show that the performance of Sharpe, Treynor, and Jensen are significantly different. For JII-XIJI it shows that the performance of Sharpe and Jensen is significantly different, but for the Treynor index it is not significantly different.

Item Type:	Thesis (Skripsi)
Uncontrolled Keywords:	Exchange Traded Fund, Optimal Portfolio, Single Index Model, Sharpe Index, Treynor Index, Jensen Index
Subjects:	H Social Sciences > HB Economic Theory
Divisions:	Fakultas Ekonomi dan Bisnis > Manajemen
Depositing User:	WINDA RATLIN RARASATI
Date Deposited:	08 Aug 2022 02:27
Last Modified:	08 Aug 2022 02:27
URI:	http://eprints.ums.ac.id/id/eprint/102814

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