PEMBENTUKAN PORTOFOLIO OPTIMAL DENGAN MODEL INDEKS TUNGGAL SEBAGAI DASAR PERTIMBANGAN INVESTASI SAHAM

Abstract

This research aimed to analyze how to form an optimal stock portfolio in a company supported with data came from Indonesia Stock Exchange STIESIA JI .Menur Pumpungan 30 Surabaya. The data used annual stock close price, annual dividend shared, composite stock price index (IHSG) and interest of Bank of Indonesia certificate on 2020-2016 periods. The population of this research used purposive sampling method in big trades sector of production goods which were listed in Indonesia Stock Exchange during 2010-2016 periods. Based on the determined criteria, it obtained 6 companies as samples. The research model used single index model. Based on the analysis and calculation of optimal portfolio to the .6 samples, this research indicated that 2 companies became the candidate in the optimal portfolio of which PT. Tigaraksa Satria Tbk (TGKA) and PT. FKS Multi Agro Tbk (FISH) with determined proportion including: proportion 50%:50% with the profit level of 0.4952 > risk level was 0.1008, proportion 60%:40% profit level was 0.4244 > risk level 0.1427, proportion was 80%:20% profit level 0.2829> risk profit 0.2520 and proportion 70%:30% profit level was 0.3537 > risk level was 0.1932.
Keywords : optimal portfolio, single index model, return, risk