ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL INDEKS TUNGGAL SEBAGAI KEPUTUSAN INVESTASI SAHAM

Abstract

This research is meant to find out how to form optimal portfolio by using the single index model for the
prospective investor as the stock investment decisions. The samples are 5 plantation companies which are listed
in Indonesia Stock Exchange (IDX) in 2013 periods. This research is conducted in IDX STIESIA Surabaya
which is located on Jl. Menur Pumpungan No. 30 Surabaya which is done by using the monthly stock price
data, Composite Stock Price Index (IHSG), dividend payment, the interest rate of Certificates of Bank Indonesia
(SBI). The calculation has been done by comparing the profit level and the risk level. 2 of 5 stocks have been
selected as samples which are categorized into optimal portfolio and they have become 1 combination of portfolio
i.e.: PT PP London Sumatra Indonesia Tbk. (AALI) and PT Astra Agro Lestari Tbk. (SGRO). The result
describes that the stock proportion is 50%:50% the profit level is 0.0170 and the risk level is 0.1270. On the
40%:60% of stock proportion the profit level is 0.0205 and the risk level is 0.1137. On the 30%:70% of stock
proportion the profit level is 0.0240 and the risk level is 0.1050. It has been obtained from the result of the
calculation of stock proportion that the most optimal stock proportion is the 30%:70% stock proportion since this
proportion describes the largest profit level of all proportions and it describes the smallest risk level of other
proportions.
Keywords: Single Index Model Portfolio, Investment, Stock.