28Feb 2017

PORTFOLIO PERFORMANCE ANALYSIS WITH JENSEN'S METHOD ON CAPM AND APT MODELS

  • Institute of Informatics & Business Darmajaya, Bandar Lampung Indonesia.
  • Postgraduate of MercuBuana University, Jakarta Indonesia.
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The purpose of this research is to analyze the portfolio using CAPM and APT models to predict stock returns LQ 45 in BEI. The issues raised in this study were: 1) Which combination of companies that produce optimal portfolio using the CAPM model; 2) Which company combination that produces an optimal portfolio by using the APT model; 3) How is the comparison of optimal portfolio by using Jensen's Index on the model of CAPM and APT models. Beta in this study using simple linear regression analysis method to the CAPM model and multiple linear regression model for APT. The independent variables in this model is LQ 45, while the dependent variable is the market risk premium, exchange rate, SBI, inflation and GDP. To determine the optimal portfolio return is analyzed using a model CAPM and APT models, whereas for portfolio performance measure used Jensen's index. On the other hand to know the difference between the CAPM model with the APT model used t test. The sample used in this study as many as 31 companies are determined by the criteria 1). Companies listed in the LQ 45 in BEI. 2). The company is listed in the LQ 45 actively traded 2 consecutive years from January 2010 to December 2011. The results of this study indicate that there are significant differences between Jensen's Index on the model of CAPM and APT models. With Jensen's Index score APT model larger than the CAPM model.

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[Andi Desfiandi, Ita Fionita, MM and Hapzi Ali CMA. (2017); PORTFOLIO PERFORMANCE ANALYSIS WITH JENSEN'S METHOD ON CAPM AND APT MODELS Int. J. of Adv. Res. 5 (Feb). 9181-1991] (ISSN 2320-5407). www.journalijar.com

Prof. Dr. Hapzi Ali
Mercu Buana University, Jakarta Indonesia

DOI:

Article DOI: 10.21474/IJAR01/3369      
DOI URL: https://dx.doi.org/10.21474/IJAR01/3369

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