PORTOFOLIO OPTIMAL EFISIENSI RISK DAN RETURN MODEL INDEKS TUNGGAL PADA PERUSAHAAN BUILDING CONTRUCTION

Abstract

This research is meant to find out how to form the optimal stock portfolio for the prospective investors
by using single index model. The sample collection technique has been done by using purposive
sampling which results 5 companies have been selected as samples based on the certain criteria. The
samples are stocks of Building Construction companies which are listed in Indonesia Stock Exchange.
This research is carried out by retrieving data from the IDX STIESIA on Jl. Menur Pumpungan 30
Surabaya 60118. The calculation of this research is done by comparing profit rates and risk rates, and
from these 5 stocks of the Building Construction companies, 2 stocks which are included in the
candidate of optimal portfolio and become 1 portfolio combination have been obtained i.e. the stock of
PT. WIKA (Wijaya Karya) Tbk and PT. TOTL (Total Bangun Persada) Tbk. The result of the
calculation shows that with the proportion of 50%:50%, the profit rates that has been obtained is
0.5166 and the risk rates is 0.3201 at the proportion of 60%:40% the profit rates is 0.6042 and the risk
rates is 0.4252 and proportion is 80%:20% the risk rates is 0.7793 and the risk rates is 0.8343. The
result of third proportion has obtained 2 optimal stock proportion i.e. 50%:50% and 60%:40% because
these proportion give greater profit than risk rates.

Keywords: Optimal Portfolio, Single Index Model, Risk & Return