OPTIMALISASI PORTOFOLIO OPTIMAL MODEL INDEKS TUNGGAL PADA PERUSAHAAN PROPERTY DAN REAL ESTATE

Abstract

The purpose of this research is to describe and to analyze the optimal portfolio by using single index model as the basis of investment decision in the property and real estate companies which are listed in Indonesia Stock Exchange. The data is the annual individual stock price, the annual dividend share, the interest of Bank Indonesia Certificate (SBI) and the movement of Composite Stock Price Index (IHSG) from 2011 to 2014. The companies which have been studied are property and real estate companies which are included in LQ-45 index from August 2015 to January 2016 periods. Optimal portfolio is portfolio which has excess return to beta (ERB) value which is larger than the Ci value in which the Ci value is the border point (cut-off point C*) which has the last ERB value and it is larger than the Ci value. The result of the research shows that 3 as optimal stocks then they are combined which each them consists of 2 stocks, in which the optimal portfolio is on the 2nd portfolio i.e. the combination of PT Alam Sutera Reality Tbk and PT Bumi Serpong Damai Tbk stocks and the 3rd portfolio i.e. the combination of PT Bumi Serpong Damai Tbk and PT Lippo Karawaci Tbk. Stocks.
Keywords: Single Index Model, Optimal Portfolio, Investment.