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

Abstract

This research is aimed to find out the stocks which have met the criteria for the establishment of optimum portfolio based on the Single Index Model as the basis for the consideration of the capital investment on manufacturing companies which are listed in the Indonesia Stock Exchange. The research object is the movement of Composite Stock Price Index (CSPI), the distribution of dividends every year, individual share prices per year and the interest rate of Bank Indonesia Certificate (BIC) in 2012-2014 periods.The population have been obtained by using purposive sampling method to the manufacturing companies which are listed in Indonesia Stock Exchange (BEI) in 2012-2014 periods and based on determined criteria then 142 manufacturing companies have been nobtained as samples. The method has been carried out by using descriptive research and quantitative approach. The results of the research shows that three companies of the research samples have established optimum portfolio shares then these shares are combined into 3 portfolio which each of them consist of 2 shares, ini which the optimum portfolio is in portfolio 2 which is the combination of HM. Sampoerna Tbk (HMSP) and Indocement Tunggal Tbk (INTP) stocks and portfolio 3 is the combination of Semen Indonesia (Persero) Tbk (SMGR) and Indocement Tunggal Tbk (INTP) stocks.
Keywords: Single index model, optimal portofolio formation and investment