Analisis Pembentukan Portofolio Optimal Dengan Model Indeks Tunggal Pada Saham-Saham Indeks MSCI Indonesia Di Bursa Efek Indonesia Periode Januari 2017- Desember 2017

Abstract

This research aims to analyse portfolio optimal construction with single index model on MSCI Indonesia index stocks in Indonesia Stock Exchange. 

This  research  uses  qualitative  descriptive  method  with  cross  section  data  and secondary  data  sources  that  obtained  from  Indonesia  Stock  Exchange.  The sampling method in this research uses purposive sampling method with period of data from January 2017 until December 2017 and the amount of sample is 29 samples.  Analysis data technique  in  this research uses portfolio analysis  with single index model.  

The  result  shows  that  portfolio  optimal  proportion  that  obtained  from  MSCI Indonesia index using single index model is BBTN has 22,22% proportion, BBNI has 24,58%, BDMN has 6,23%, JSMR has 6,91%, UNVR has 15,23%, BBRI has 13,24%, BBCA has 8,12% and lastly UNTR has 3,46%. The calculation result of expected return portfolio and risk portfolio shows daily expected return portfolio is 0,236%,  daily  portfolio  risk  is  0,0000750,  and  portfolio  beta  is  1,178.  The comparison result between diversification in the optimal portfolio with individual stock investment shows that diversification could decrease unique risk on each stock that construct optimal portfolio significantly, however single index model couldn’t do sectoral diversification. Portfolio performance calculation shows that this optimal portfolio gets 0,2484 based on Sharpe ratio, 0,0018 based on Treynor ratio, and 0,0014 based on Jensen Alpha. The conclusion of this research is single index model proven could make low risk portfolio with certain return in certain period. Suggestion that related with this research is investor could use this research result as one of investment reference and keep look carefully at systematic risk