ANALISIS PORTOFOLIO OPTIMAL DENGAN MODEL INDEKS TUNGGAL PADA PERUSAHAAN MANUFAKTUR DALAM INDEKS LQ45 DI BEI

Abstract

This research aims to establish an optimal portfolio by using a single index model on manufacturing companies
which listed in the LQ45 Index in the Indonesia Stock Exchange. The data used in the research are the movement
of Composite Stock Price Index (IHSG), individual share price per year, dividend distribution per year, and the
interest rate of Bank Indonesia Certificates (SBI) in 2012-2016. Optimal portfolio formation is done by focusing
on beta value and ERB value of stocks studied. The beta value will influenced the ERB value of the stock in the
single index model performed as well as determine the cut-off point to which the weighting reference is
performed. The results showed that of the 9 stock samples that have been studied, obtained 3 stocks that form the
optimal portfolio. The shares are PT Indofood Sukses Makmur Tbk (INDF) with 58.63% share proportion, PT
Indofood CBP Sukses Makmur Tbk (ICBP) with share proportion of 38.62% and PT Charoen Pokphand
Indonesia Tbk (CPIN) with proportion 2.75%. The resulting portfolio provides an expected profit rate of 0.36071
with a risk level of 0.10033.
Keywords: Optimal portfolio, single index model, return, risk and shares