{"title":"使用EROV, Sortino和M2方法的最佳beta CAPM (BCAPM)最优投资组合绩效","authors":"Abdul Aziz, Mohammad Farhan Qudratullah","doi":"10.14421/kaunia.3041","DOIUrl":null,"url":null,"abstract":"This study discusses the optimal portfolio performance analysis using Best-Beta CAPM (BCAPM) with methods EROV, Sortino, and M2 were applied to stocks sharia incorporated the Jakarta Islamic Index (JII) in the period from October 1, 2014 – August 31, 2017. The results obtained from this study C portfolio showed an optimal portfolio. The proportion of each stock included in the optimal portfolio is stock UNTR (95.27%) and AKRA (4.73%) with a rate of return expected from optimal portfolio is 1.39%, while the risk of an optimal portfolio of 0.066%. Result of consistency test between the performance of stock portfolio with Kendall’s tau test showed that that those methods was consistent in assessing the performance of stocks portfolio.","PeriodicalId":393948,"journal":{"name":"Kaunia: Integration and Interconnection Islam and Science","volume":"9 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Best-Beta CAPM (BCAPM) Optimal Portfolio Performance Using EROV, Sortino, and M2 Methods\",\"authors\":\"Abdul Aziz, Mohammad Farhan Qudratullah\",\"doi\":\"10.14421/kaunia.3041\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This study discusses the optimal portfolio performance analysis using Best-Beta CAPM (BCAPM) with methods EROV, Sortino, and M2 were applied to stocks sharia incorporated the Jakarta Islamic Index (JII) in the period from October 1, 2014 – August 31, 2017. The results obtained from this study C portfolio showed an optimal portfolio. The proportion of each stock included in the optimal portfolio is stock UNTR (95.27%) and AKRA (4.73%) with a rate of return expected from optimal portfolio is 1.39%, while the risk of an optimal portfolio of 0.066%. Result of consistency test between the performance of stock portfolio with Kendall’s tau test showed that that those methods was consistent in assessing the performance of stocks portfolio.\",\"PeriodicalId\":393948,\"journal\":{\"name\":\"Kaunia: Integration and Interconnection Islam and Science\",\"volume\":\"9 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-09-15\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Kaunia: Integration and Interconnection Islam and Science\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.14421/kaunia.3041\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Kaunia: Integration and Interconnection Islam and Science","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.14421/kaunia.3041","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Best-Beta CAPM (BCAPM) Optimal Portfolio Performance Using EROV, Sortino, and M2 Methods
This study discusses the optimal portfolio performance analysis using Best-Beta CAPM (BCAPM) with methods EROV, Sortino, and M2 were applied to stocks sharia incorporated the Jakarta Islamic Index (JII) in the period from October 1, 2014 – August 31, 2017. The results obtained from this study C portfolio showed an optimal portfolio. The proportion of each stock included in the optimal portfolio is stock UNTR (95.27%) and AKRA (4.73%) with a rate of return expected from optimal portfolio is 1.39%, while the risk of an optimal portfolio of 0.066%. Result of consistency test between the performance of stock portfolio with Kendall’s tau test showed that that those methods was consistent in assessing the performance of stocks portfolio.
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