Seleksi Saham Papan Utama Berbasis Rasio Keuangan dan Expected Shortfall Menggunakan Promethee Serta Evaluasi Sharpe Ratio
DOI:
https://doi.org/10.33603/jka.v9i1.11881Kata Kunci:
Multi-Criteria decision making, Decision usefulness, Tail risk, Kinerja portofolio, Evaluasi investasiAbstrak
Perkembangan pasar modal Indonesia menuntut metode seleksi saham yang mampu mengintegrasikan informasi laporan keuangan dan risiko pasar secara komprehensif. Pendekatan konvensional yang hanya mengandalkan satu indikator dinilai kurang memadai dalam menangkap kompleksitas kinerja dan risiko saham. Penelitian ini bertujuan untuk melakukan seleksi saham pada Indeks Papan Utama Indonesia menggunakan metode PROMETHEE berbasis rasio keuangan dan Expected Shortfall, serta mengevaluasi efisiensi risiko–return menggunakan Sharpe Ratio. Penelitian ini menggunakan pendekatan kuantitatif dengan data laporan keuangan tahun 2024 dan data harga saham harian periode 1 Januari–31 Desember 2025. Variabel yang digunakan meliputi rasio likuiditas, profitabilitas, solvabilitas, risiko kebangkrutan, return saham, dan Expected Shortfall 95%. Hasil penelitian menunjukkan bahwa PROMETHEE mampu menghasilkan pemeringkatan saham yang sistematis berdasarkan dominasi multi-kriteria, di mana saham dengan net flow tertinggi memiliki kombinasi fundamental yang lebih baik dan risiko ekstrem yang lebih rendah. Namun, hasil analisis lanjutan menunjukkan bahwa saham dengan peringkat PROMETHEE tertinggi tidak selalu memiliki Sharpe Ratio tertinggi, yang mengindikasikan perbedaan dimensi evaluasi antara kedua metode. Penelitian ini menyimpulkan bahwa pendekatan dua tahap PROMETHEE sebagai seleksi awal dan Sharpe Ratio sebagai evaluasi lanjutan memberikan hasil yang lebih komprehensif dalam pengambilan keputusan investasi.
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