ANALISIS SINGLE INDEX MODEL DALAM PEMBENTUKAN PORTOFOLIO OPTIMAL (STUDI SAHAM INDEKS LQ45 PERIODE 2017–2022)
DOI:
https://doi.org/10.34127/jrakt.v7i1.747Abstract
This study examines the optimal portfolio composition of stocks and calculates the return and risk of the optimal portfolio formed using a single index model. The type of research used in this study is descriptive research with a quantitative approach. This research uses secondary data in the form of stock prices for the 2017-2022 period. The data analysis method used is stock analysis with a single index model. The results showed five stocks from 29 stock samples, including the optimal portfolio. Here are the optimal portfolio stocks and their composition: ADRO at 4.41%, ANTM at 10.02%, BBCA at 54.33%, BBRI at 8.65%, and CPIN at 22.59%. The portfolio formed will generate an expected portfolio return of 1.72% and a portfolio risk level of 1.20%.
Key words: Expected Return, Optimal Portfolio, Risk, Single Index Model
References
Abreu, M. and Mendes, V. (2010), “Financial literacy and portfolio diversification”, Quantitative Finance, Vol. 10 No. 5, pp. 515-528.
Azizah, K. N., Saepudin, D., dan Gunawan, P.H (2021), “Optimasi Portofolio Saham LQ45 dengan mempertimbangkan Prediksi Return menggunakan Metode Holt Winter”. e-Proceeding of Engineering: Vol.8, No.5.
Dewi, N. K. A., dan Candradewi, M.R., (2020), “Pembentukan Portofolio Optimal Pada Saham Indeks Idx80 Dengan Menggunakan Model Markowitz”. E-Jurnal Manajemen, Vol. 9, No. 4, 2020 : 1614-1633.
Hassan Al-Tamimi, H.A. and Anood Bin Kalli, A. (2009), “Financial literacy and investment decisions of UAE investors”, The Journal of Risk Finance, Vol. 10 No. 5, pp. 500-516.
Lusardi, A. and Mitchell, O.S. (2014), “The economic importance of financial literacy: theory and evidence”, Journal of Economic Literature, Vol. 52 No. 1, pp. 5-44.
Mumtaz, Fahmi. 2010. Investasi: Keinginan atau Kebutuhan? Available from: http:/www.mumtaz.wordpress.com
Safitri, K., Tarno, Hoyyi, A. 2021. Pengukuran Kinerja Portofolio Optimal Saham Lq45 Menggunakan Metode Capital Asset Pricing Model (CAPM) DAN Liquidity Adjusted Capital Asset Pricing Model (LCAPM). JURNAL GAUSSIAN, Volume 10, Nomor 2.
Shaari, N.A., Hasan, N. A., Mohamed, R. K. M. H., dan Sabri, M. A. J. M, 2013, Financial Literacy: A Study Among The University Students, Interdisiplinaery Journal of Contemporary Research in Business, June, Vol 5, No 2.
