Best-Beta CAPM (BCAPM) Optimal Portfolio Performance Using EROV, Sortino, and M2 Methods

Authors

  • Abdul Aziz Universitas Islam Negeri Sunan Kalijaga Yogyakarta
  • Mohammad Farhan Qudratullah Universitas Islam Negeri Sunan Kalijaga Yogyakarta

DOI:

https://doi.org/10.14421/kaunia.3041

Keywords:

Best-Beta, CAPM, EROV, M2, Optimal Portfolio, Sortino

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.

References

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Published

2021-09-15

How to Cite

Aziz, A. ., & Qudratullah, M. F. . (2021). Best-Beta CAPM (BCAPM) Optimal Portfolio Performance Using EROV, Sortino, and M2 Methods. Kaunia: Integration and Interconnection Islam and Science Journal, 17(1), 27–31. https://doi.org/10.14421/kaunia.3041

Issue

Vol. 17 No. 1 (2021)

Section

Articles

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