PERBANDINGAN RETURN SAHAM KOMPAS 100 MENGGUNAKAN MODEL INDEKS TUNGGAL DAN MODEL RANDOM

Abstract

Some types of analysis instruments as the alternative in determining portfolios, two of the instruments is the single index model and random model. This research is mean to examine the determination of stock portfolio which is carried out by using single index model can give optimal return when it is compared to the determination of stock portfolio which is carried out by using random model. The samples are twenty three of stocks which are selected in the Kompas 100 stocks and these stocks are listed in Indonesia Stock Exchange (IDX) which has been selected by using purposive sampling. The data is the closing price data, the Composite Stock Price Index data (IHSG) which has been obtained from Indonesia Stock Exchange and Bank Indonesia report on the development of the monthly deposit. The single index model and the random model are used as the research method. The result shows that there are the determination of stock portfolio which is carried out by using single index model can give optimal return when it is compared to the determination of stock portfolio which is carried out by using random model.
Keywords: Optimal Portfolio, Kompas 100, Single Index Model, Random Model