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METODE MEAN-SEMIVARIANCE DALAM PEMBENTUKAN PORTOFOLIO REKSA DANA SAHAM TERBAIK BAROMETER BAREKSA | Pakungwati | Jurnal Gaussian

DOI: https://doi.org/10.14710/j.gauss.13.1.250-259

METODE MEAN-SEMIVARIANCE DALAM PEMBENTUKAN PORTOFOLIO REKSA DANA SAHAM TERBAIK BAROMETER BAREKSA

*Ratu Aulia Pakungwati  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Yuciana Wilandari  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Di Asih I Maruddani  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Open Access Copyright 2024 Jurnal Gaussian under http://creativecommons.org/licenses/by-nc-sa/4.0.

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Abstract
The most popular investment product today is mutual funds. One of the factors in selecting mutual funds is the low investment risk. This risk can be minimized again by combining several assets and then compiling them into a portfolio. The portfolio formation method used in this study is the Mean-Semivariance method and the Sharpe Index to calculate portfolio performance. The data used is the daily net asset value per unit of Mandiri Investa Atraktif Syariah, Rencana Cerdas, Manulife Saham SMC Plus and BNP Paribas Solaris for the period January 3 2022 to March 9 2023, Jakarta Composite Index (IHSG) data as a benchmark and BI-7 Day Reverse Repo Rate as a riskfree interest rate. The minimum risk of the portfolio will be achieved by compiling a portfolio of two mutual funds, namely Mandiri Investa Atraktif Syariah with a weight of 92,50% and the Smart Plan with a weight of 7,50% with an expected return rate of 0,00019 and a risk of 0,000000663. The Sharpe Index is 0.08971 indicating that the portfolio formed has good performance and can be used as a choice of investment assets by investors.

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Keywords: Portfolio; Mean-Semivariance; Sharpe Index; Mutual Fund; IHSG

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