ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL DENGAN MENGGUNAKAN MODEL INDEKS TUNGGAL (Studi Kasus Pada Saham-saham Jakarta Islamic Index Periode 2016-2018)

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Firda Hudzaifah
Ilman Mufid Dwiyono

Abstract

ABSTRACT : The purpose of this research is to analyze the optimal portfolio using single index model on Jakarta Islamic Index Stocks for the periods of 2016 until 2018.
This research methodology used is descriptive method with case study approach, using panel data, and secondary data obtained from Indonesia Stock Exchange. Technique sampling of this research used is purposive sampling method with daily data and research period 2016-2018. Technique of data analysis in this research used is optimal portfolio analysis with Single Index Model.
The results of this research show that from 17 companies, there are 5 companies forming optimal portfolio with fund proportion of each stock; PT Adaro Energy Tbk. (ADRO) 30.62%, PT Indofood CBP Sukses Makmur Tbk. (ICBP) 24.40%, PT Vale Indonesia Tbk. (INCO) 19.48%, PT United Tractors Tbk. (UNTR) 17.83%, and PT Indofood Sukses Makmur (INDF) 7.67%. The optimal portofolio generates daily expected return of 0.1336% with risk of 0.0710%.

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