Analisis Portofolio Optimal Dengan Menggunakan Model Indeks Tunggal Pada Perusahaan Indeks IDX30 Periode 2017-2020

Abstract

In investing, it is inseparable from fluctuations in stock prices that affect the magnitude of risk (risk) and return (yield). Investing in capital markets is also very important in keeping pace with inflation that tends to fluctuate. The purpose of this study is to determine the stock stocks form the optimal portfolio of the company's shares that are included in the IDX30 index on the Indonesia Stock Exchange as well as the percentage proportion of funds with a single index model. The research was conducted on companies that are members of the IDX30 Index at PT. Indonesia Stock Exchange for 8 periods. The number of samples as many as 15 companies using purposive sampling. Data collection is done through documentation studies. Based on the results of the analysis it was found that the entry into the optimal portfolio and the proportion of funds is the shares of PT Bank Central Asia Tbk (BBCA) by 60%, PT. Semen Indonesia (persero) Tbk (SMGR) by 17.72%, United Tractors Tbk (UNTR) by 7.15%, PT. Bank Negara Indonesia (persero) Tbk. (BBNI) by 9.44%, and PT. Indofood CBP Sukses Makmur Tbk (ICBP) by 0.71%. Return portfolio y?ng ?k?n did?p?tk?n by investors d?ri portfolio y?ng formed ?d?l?h sebes?r sebes?r 0.0158 ?t?u 1.58%. Expected return of 0.0016 or 0.16%. Portfolio risk y?ng ?k?n dit?nggung by investor ?t?s invest?si y?ng ownedny? ?d?l?h sebes?r 0.0004 ?t?u 0.04%. The results of the first hypothesis test showed that there was a difference in return for portfolio candidates and those who did not enter portfolio candidates, while the results of the second hypothesis test showed that there was no difference in risk entering portfolio candidates and those who did not enter portfolio candidates.

 Keywords: Optimal Portfolio, Single Index Model, IDX30 Index