Peran Cryptocurrency dalam Meningkatkan Kinerja Portofolio Indeks High Dividend dan Indeks SRI-KEHATI

Authors

DOI:

https://doi.org/10.26905/afr.v6i1.9407

Keywords:

Cryptocurrency, Portfolio, Naïve Diversification, Sectoral Index

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.

DOI: https://doi.org/10.26905/afr.v6i1.9407

Author Biography

Robiyanto Robiyanto, Universitas Kristen Satya Wacana

Biographical Notes:

Dr. Robiyanto earned his Master of Management in Finance (2000) and Ph.D. in Finance (2015) from the Faculty of Economics and Business Diponegoro University (FEB UNDIP), Semarang, Indonesia. His first degree in Management (1998) was earned from the Faculty of Economics and Business Satya Wacana Christian University (FEB UKSW), Salatiga, Indonesia. Holds an Investment Manager Representative license from the Indonesia Financial Services Authority (previously Indonesian Capital Market and Financial Institution Supervisory Agency). He is a senior lecturer at the Faculty of Economics and Business, Satya Wacana Christian University, Salatiga, Indonesia. Active as an academic researcher. He has written articles published in both international and national journals such as Gadjah Mada International Journal of Business; Journal of Finance and Banking; Journal of Economics and Business; Journal of Economics, Business, & Accountancy Ventura; Journal of Management and Entrepreneurship; etc. His research has been presented in several conferences such as Gadjah Mada International Conference on Economics and Business in Yogyakarta, Indonesia; the Indonesian Financial Management Association (IFMA)’s International Conference; the Indonesia Finance Association’s International Conference; etc. He also serves as a capital market specialist for the public company in Indonesia. His research interests are the capital market, commodity market, market efficiency, behavioral finance, corporate governance, and portfolio management.

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Published

2023-03-20

How to Cite

Nugroho, B. A., & Robiyanto, R. (2023). Peran Cryptocurrency dalam Meningkatkan Kinerja Portofolio Indeks High Dividend dan Indeks SRI-KEHATI. AFRE (Accounting and Financial Review), 6(1), 1–14. https://doi.org/10.26905/afr.v6i1.9407

Issue

Vol. 6 No. 1 (2023): Vol. 6 NO. 1: March 2023

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