Analisis Kinerja Portofolio: Pengujian Single Index Model dan Naive Diversification

Abstract

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.


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.