PENENTUAN PORTOFOLIO OPTIMAL DENGAN MENGGUNAKAN SINGLE INDEX MODEL SEBAGAI ANALISIS SAHAM-SAHAM LQ45 (STUDI KASUS PADA BURSA EFEK JAKARTA)

Abstract

Abstract
In allocating fund or investment, an investor either as
individual or institution always confronts return and risk. A
rational investors will focus their attention to (1) highest
return with certain risk or (2) certain risk with low risk.
Both conditions represent the optimal investment. One way
to reduce risk is by constructing portfolio, because by doing
so, the risk can be diversified or spread among securities
selected in the portfolio. The principle of ?don’t put your all
eggs into one basket? is the basic idea of investors in
practicing their investment. One of the model which can be
used to determine or analyze securities in order to obtain
the optimal portfolio is single index model.
This research is aimed to learn, analyze and conclude:
(1) determination of stocks in LQ45 which are selected to
construct the optimal portfolio optimal by using single index
model; (2) determination of fund allocation, calculate
return and risk of optimal portfolio that will be earned by
investor from selected stocks in optimal portfolio by using
single index mode.
The research concludes: (1) By using single index
model procedure which are ERB ratio and cutoff rate, seven
stocks are selected to construct the optimal portfolio which
include AALI, INCO, CMNP, UNSP, LSIP, SMRA, and BNGA;
(2) The proportion of fund allocation for each stock are as
follow: 28,27% in AALI, 16,43% in INCO, 12,04% in CMNP,
13,96% in UNSP, 10,80% in LSIP, 14,35% in SMRA and
4,16% in BNGA. Portfolio return earned by investors if they
invested their fund in those seven stocks with the proportion
as mentioned earlier is 41,29%. The possible risk that the
investors can receive is measured by standard deviation of
portfolio which is 1, 52.
Key words : Single Index Model : Excess Return to Beta,
Cutoff Rate, Portfolio Return and Risk..