Perancangan Portofolio Optimal Dengan Mengunakan Return On Assets, Return On Equity Dan Economic Value Added Pada Indeks Jakarta Ismaic Index Periode 2014-2018

Dwi Fitrizal Salim


Abstract. The current conditions of the trade war by America and developed countries such as China, the European Union and other countries indirectly give an impact to the investment climate in developing countries like Indonesia where more than 50% of investors in Indonesia come from abroad. Therefore this research offers for investors who invest in the capital market to optimize the portfolios by selecting several stocks that will be included in the portfolio with return on aset (ROA) approach , Return on Equity (ROE) approach , dan Economic Value Added (EVA) approach by using the previous studies which discussed about the portfolio such as Harry Markowitz (1952), Sharpe (1964), Roll (1977), Cornell (1979), Sunder (1980), Jorion (1986), Bollerslev, Engle, and  Wooldidge (1988), entering the latest research by Hidayat and Hendrawan (2017), and Hendrawan and Salim (2017).

The research that explains the advantages of EVA Fisher and McGowan (1983), Olsen (1996), Chen and Dodd (1997), (1997), Dodd and Johns (1999), Ismail (2006), Rompho (2009) . The  ROA and ROE researches  were conducted by Araujo and Machado (2017).  After the selection of several stocks that obtained from several measuring instruments which have been described, it will be tested again by Sharpe, Jansen,  and Treynor measuring instruments. The Sampel that will be chosen is the Jakarta Islamic Index (JII) and selected as many as 17 companies that are consistently listed on the JII index for the 2014-2018 period.

The result of his research there is a consistency of the portfolio formed by EVA, ROA, and ROE on average can defeat the excess return obtained by the IHSG Index where the portfolio of LOW ROA, HIGH EVA, and LOW ROE are the 3 best portfolios that get the highest excess return, but the risks obtained are not the highest in all portfolios.

Abstrak. Kondisi perang dagang yang sedang berlangsung oleh Amerika dan negara maju seperti Cina, Uni Eropa dan negara lainnya secara tidak langsung berdampak kepada iklim investasi dinegara berkembang seperti Indonesia dimana lebih dari 50% investor yang ada di Indonesia berasal dari luar negeri. Oleh karena itu penelitian ini menawarkan untuk bagi investor yang berinvestasi di pasar modal untuk mengoptimalkan portofolio dengan pemilihan beberapa saham yang akan dimasukan kedalam portofolio dengan pendekatan Return On Aset(ROA), Return on Equity (ROE), dan Economic Value Added (EVA) dengan menggunakan dimana penelitian terdahulu yang membahas tetang portofolio antara lain Harry Markowitz (1952), Sharpe (1964), Roll (1977), Cornell (1979), Sunder (1980), Jorion (1986), Bollerslev, Engle, dan Wooldidge (1988), masuk ketahun yang terbaru penelitian Hidayat dan Hendrawan (2017), dan Hendrawan dan Salim (2017). Penelitian yang menjelaskan kelebihan dari EVA Fisher dan McGowan (1983), Olsen (1996), chen dan dodd (1997), (1997), Dodd dan Johns (1999), Ismail (2006), Rompho (2009). Penelitian ROA dan ROE dilakukan oleh Araujo dan Machado (2017).  Setelah dilakukan pemilihan beberapa saham yang diperoleh dari beberapa alat ukur yang telah dijelaskan maka akan diuji kembali dengan alat ukur Sharpe, jansen,  dan Treynor. Saampel yang akan dipilih yaitu Jakarta Islamic Index (JII) dan terseleksi sebanyak 17 perusahaan yang secara konsisten tercatat pada indek JII periode 2014-2018. Hasil penelitiannya terdapat konsistensi portofolio yang dibentuk oleh EVA, ROA, dan ROE secara rata-rata bisa mengalahkan excess return yang didapatkan oleh Indeks IHSG dimana portofolio ROA RENDAH, EVA TINGGI, dan ROE RENDAH adalah 3 portofolio terbaik yang mendapatkan excess return yang tertinggi akan tetapi risiko yang didapatkan tidak masuk yang paling tinggi dari semua portofolio.


Kata kunci. Economic Value Added ,Jensen,return on aset , Return on Equity, Sharpe, , dan Treynor.


Keywords. Economic Value Added, Jensen,return on aset , Return on Equity, Sharpe, and Treynor.

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