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Peran Cryptocurrency dalam Meningkatkan Kinerja Portofolio Indeks High Dividend dan Indeks SRI-KEHATI
Abstract
The purpose of this research is to analyze the role of stable coins and unstable coins in improving the performance of the SRI-KEHATI and High Dividend index portfolios. The type of data used is daily secondary data covering the period from January 2019 to August 2022. The methods employed are Naïve Diversification and the Treynor Index, Jensen Index, Sortino Ratio, Sharpe Index, and Omega Ratio. The research results using the Naïve Diversification method indicate that stable coins fail to improve the performance of the SRI-KEHATI index portfolio, while unstable coins succeed in improving the performance of the SRI-KEHATI index portfolio. On the other hand, both stable coins and unstable coins manage to enhance the performance of the High Dividend index portfolio. In the calculations of the Sharpe Index, Sortino Ratio, Treynor Index, Jensen Index, and Omega Ratio, both stable coins and unstable coins demonstrate positive performance. Based on the Sharpe Index, the SRI-KEHATI–Unstable coin portfolio exhibits the most positive performance. Furthermore, the SRI-KEHATI–Unstable coin portfolio has the highest performance based on the Treynor Index. In the Jensen Index, the best-performing portfolio is the High Dividend–Unstable coin portfolio. According to the Sortino Ratio value, the SRI-KEHATI–Unstable coin portfolio performs the best. In the Omega Ratio, the portfolio with the best performance is the SRI-KEHATI–Unstable coin portfolio.
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