ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL DENGAN METODE INDEKS TUNGGAL UNTUK MEMINIMALKAN RISIKO INVESTASI

Abstract

Investors are trying to find a way to invest appropriately. But investment is never free from risk. By the time the investor has decided to take an investment, then at that moment, investors have to bear the risk. Investors will, of course, gain return when the investment generates profit. This research is aimed to provide information to the investors about the establishment of optimal portfolio and how the way of calculation is by using single index model. The samples have been obtained by using purposive sampling method. The data for the calculation in this research are individual stock price, dividend share, Composite Stock Price Index (IHSG), and certificate of interest rates of Bank Indonesia (SBI) in 2014-2017 periods. Portfolios which are established based on the value of profits and risks which must be borne. It has been found from the result of the calculation, two stock candidates which include in portfolio i.e. PT WaskitaKaryaTbk (WSKT) and PT Pembangunan PerumahanTbk (PTPP). The result of the calculation shows that on 50%: 50%proportion gives a profit rate of 0.6432 and the risk of 0.1642. In 40%: 60% proportion gives a profit rate of 0.6415 and a risk of 0.1544. And in 20%: 80% proportion gives a profit rate of 0.6379 and a risk of 0.1733. These three proportions provide greater level of profit than the risks. This means that all proportions will give benefit to investors.

Keywords:  Optimal portfolio, single index model, investment risk