Analisis Pembentukan Portofolio Optimal Dengan Model Indeks Tunggal (Studi Pada Indeks IDX30 Periode 2016-2018)

Abstract

Investors in the capital market will generally invest their funds in stocks that have high returns with minimal risk. In order to reduce the level of risk, these stocks can be formed into a portfolio. The purpose of this study is to find out the stocks of IDX30 Index members who can form an optimal portfolio and to find out the proportion of each selected stock and the level of return and risk of the portfolio produced. This research was conducted on the Indonesia Stock Exchange. The data in this study are secondary data obtained from IDX, Yahoo Finance, and BI. The number of samples taken was 18 shares, using the purposive sampling method. The analysis technique used is descriptive analysis and data processing using Microsoft Excel 2010. The method used is to use the Single Index Model approach. The results of the analysis show that by using the Single Index Model approach, the shares of IDX30 Index members from 2016 to 2018 which can form an optimal portfolio consist of 1 share, namely GGRM with a proportion of 9.52% and a portfolio return of 0.0045 % with a risk of 97.5%.