标题：THE SYSTEM OF INVESTMENT DECISION MAKING THROUGHANALYSIS OF STOCK PORTFOLIO PERFORMANCEBASED SINGLE INDEX MODEL (COMPARISON STUDY OF SHARIAH STOCKS AND CONVENTIONAL STOCKS)
期刊名称：Journal of Theoretical and Applied Information Technology
印刷版ISSN：1992-8645
电子版ISSN：1817-3195
出版年度：2017
卷号：95
期号：6
出版社：Journal of Theoretical and Applied
摘要：This research aimed : (1) to assess the effectiveness of the Single Index Model as methods in the system of investment decisionsmaking through formation of stock portfolios analysis; (2) to compare the performance of a portfolio of JII sharia stocks and IDX30 conventional stocks; and (3) to determine the most optimal stock portfolio that suitable as an investment instruments. The method used to establish a stock portfolio is Single Index Model and Sharpe index, Treynor index and Jensen index to measure the performance of their portfolios. The population of this research is all the stocks listed in the JII indices and the IDX30 indices year 2013-2015. While the sample are stocks that recorded in the both indices consistently over the research period.Based on calculation of the excess return to beta (ERB) value and the cut-off point (C *) obtained the result that there are three (3) stocks of JII indices entered as member of portfolio i.e. stock of Unilever Indonesia (UNVR), AKR Corporindo (AKRA) and Indofood CBP Sukses Makmur (ICBP), and 3 (three) stocks of IDX30 indices, i.e. Unilever Indonesia (UNVR), Bank Rakyat Indonesia (BBRI) and Bank Central Asia (BBCA).The results of this research indicate that Single Index Model proved to be effective for screening and selecting stocks to form the optimal portfolio, so that the Single Index Model can be used as analysis tool in the System of Stock Investment Decision Making. The result show that the sharia stocks JII portfolio has a higher return rate and lower risk portfolio compare to conventional stock IDX30. While the views of the performance index, JII Islamic stock index has a value of Sharpe, Treynor index and Jensen index higher than conventional stock IDX30. It can be concluded that the portfolio of Islamic stocks JII has better performance than the conventional stock portfolio IDX30.
关键词：Single Index Model; Optimal Portfolio; Excess Return To Beta; Cut Off Point; Return Portfolio; Portfolio Risk; Sharpe Index; Treynor Index; The Index Jensen
