ANALISIS PORTOFOLIO OPTIMAL DENGAN MODEL INDEKS TUNGGAL PADA INVESTASI SAHAM INDUSTRI KOSMETIK

Abstract

This research aims to establish optimal portfolio using single index model and to know the difference of return and risk between candidate stock and non candidate portfolio. The single index portofolio model is based on the idea that the profit level of securities is influenced by the level of market profit. The sample in this research uses active stock based on trading frequency and dividend dividend for three consecutive years. The sample are 4 go public cosmetics companies. The data used are Composite Stock Price Index (IHSG) in 2014-2016, dividend per annum, individual share price per year, and interest rate of Certificate of Bank Indonesia (SBI) in 2014 until 2016. Calculation is done by comparing profit rate and the level of risk of the four stocks being sampled obtained 2 shares that enter into the optimal portfolio and become one combination of portfolio, namely PT Martina Berto Tbk (MBTO) and PT Mandom Indonesia Tbk (TCID). From the results of the six proportions, the optimal proportion of stocks is proportioned at 10%: 90% because with this proportion is obtained the greatest profit level of all proportions and the least risk level of all proportions.
Keywords: Single index model, optimal portfolio, expected return, excess return to beta and stock investment.