Analisis Perbandingan Hasil Pembentukan Portofolio Optimal Antara Model Markowitz dan Model Indeks Tunggal (Studi Kasus Indeks LQ-45 Di Bursa Efek Indonesia)

Abstract

The purpose of this study was to determine and analyze the comparative effect of the formation of an optimal stock portfolio using the Markowitz model and the Single Index model on LQ-45 shares on the Indonesia Stock Exchange period 2017-2020 and of the fund composition of each share in the formation of an optimal portfolio. The population in this study is all stocks included in the LQ-45 Index which are listed on the Indonesia Stock Exchange for the period 2017-2020. The sample in this study used a purposive sampling method that met the criteria for a sample of 29 stocks. The results showed that there were 8 optimal portfolio candidates using the Markowitz model and 21 optimal portfolio candidates using the Single Index Model. Based on differences in return and risk portfolio of the Markowitz model and the Single Index Model, Markowitz model portfolio return is 0,0108 and portfolio risk is 0,0743 while the Single Index Model portfolio return is 0,0146 and portfolio risk is 0,0102. These results indicate that the Single Index Model portfolio is better to use than the Markowitz model portfolio because it has a higher portfolio return value and lower risk.