ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL PADA PERUSAHAAN OTOMOTIF YANG TERDAFTAR DI BEI

Abstract

This research is meant to find out how to perform the optimal portfolio by using single index model for
the prospective investors as their stock investment decision. The samples are six automotive companies
which are listed in Indonesia Stock Exchange (IDX) in 2012-2014 periods. This research is located in
STIESIA IDX Investment Gallery Surabaya by using the data of stock price, Composite Stock Price
Index (IHSG), and Bank Indonesia Certificates (SBI) per month, and the dividend distribution per
year. Two stocks which include in the optimal portfolio has been obtained from the calculation of six
stocks which is done by comparing the profit rates and the risk rates and these two stocks have become
1 combination portfolio, which are PT. Multistrada Arah Sarana Tbk, and PT. Gajah Tunggal Tbk. The
result shows that the proportion of funds which is offered in stock is 50%:50% the profit rates is
1.556% and the risk rates is 1.026 %. On the fund proportion which is offered in the stock of 70%:30%
the profit rates is 0.872% and risk rates is 1.385%. On the fund proportion which is offered in the stock
of 30%:70%, the profit rates is 2.240% and the risk rates is 0.901%. It has been obtained from the result
of three proportions that the most optimal stock proportion is the 30%:70% proportion because this
proportion shows the largest profit rates and it shows the smallest risk rates of all proportions.

Keywords:Single Index Model, Investment, Stock.