ANALISIS PORTOFOLIO OPTIMAL MODEL INDEKS TUNGGAL PADA PERUSAHAAN PROPERTY AND REAL ESTATE

Abstract

This study is aimed to find out how to establish the optimum portfolio by using single index model as the consideration in making investment decisions on property and real estate companies which are listed in Indonesia Stock Exchange. The data in this research are individual stock price, the annual dividend share, Composite Stock Price Index (CSPI) in 2012 to 2015 periods, and the interest rate of Bank Indonesia Certificate (SBI) in 2012 to 2015 periods. Companies which have been studied are property and real estate companies which are included in LQ-45 index category in February 2016 – July 2016 periods. The optimal portfolio is the choice of various securities from the efficient portfolio. The optimal portfolio can be determined by selecting a certain return rate of expectation and then minimize the risk or determine a certain level of risk and then maximize the return on expectations.The results of the calculations has been carried out to find out the optimum portfolio by comparing the rate of profit and the risk level of five stocks which have been selected as samples and two stocks have been categorized into optimum portfolio have been obtained as samples and become one combined portfolio, i.e. PT Summarecon Agung Tbk (SMRA) and PT Lippo Karawaci Tbk (LPKR).

Keywords: Stocks, optimum portfolio, single index model