ANALISIS PORTOFOLIO OPTIMAL DENGAN MODEL INDEKS TUNGGAL PADA PERUSAHAAN PERKEBUNAN YANG TERDAFTAR DI BEI

Abstract

The purpose of this research is to find out how to perform optimum portfolio by using single index model on the
stock of plantation companies which are listed in Indonesia Stock Exchange (IDX). The samples are five
Plantation Companies which are listed in Indonesia Stock Exchange (IDX) in 2012-2015 periods. The data is the
annual stock exchange, Composite Stock Price Index (IHSG), dividend share, also the level of interest rates of
Indonesian Bank certificate in 2012-2015 periods. The calculation has been done by comparing profit level and
risk level from five stocks and 2 stocks which are included in the optimum portfolio have been obtained and
become 1 combination portfolio, i.e. PT. Eagle High Plantation Tbk and PT. Sinar Mas Agro Resources and
Technology Tbk. The result of the research shows that the 10%:90% proportion has the highest level of
expectation profit i.e. 0.0507 (5.07%). Meanwhile, the fund 40%:60% proportion has the smallest level of risk
from other portfolios is 0.0685 (6.85%). The determination of optimum portfolio is measured by two things, i.e.
portfolio which has the highest profit or portfolio which has the lowest risk value. The consideration of selecting
portfolio should be considered from the condition of the company of the selected stocks.

Keywords : Stocks, Single index model, preparation of optimal portfolio