Analisis Portofolio Optimal Saham Menggunakan Model Indeks Tunggal Pada Saham IDX 30 di BEI Periode 2015-2017

Monita Pratami, 1414.1111.652, Analisis Portofolio Optimal Saham Menggunakan Model Indeks Tunggal Pada Saham IDX 30 Di BEI Periode 2015-2017, 113 pages, 22 tables, 1 picture, Jakarta, 2018.
The purpose of this research is to form an optimal portfolio and to know the difference between stock return and risk of candidate and non-candidate portfolio. Realistic investors will investing not only in one type of investment, but diversify investments with the hope will be able to minimize risk and maximize return. Single Index Model used in the determination of the optimal portfolio by comparing the excess return to beta (ERB) with a cut-off-rate (Ci).
The criteria of samples were stocks of companies listed and actively traded on the Indonesia Stock Exchange consistently entering into IDX30 index in the period 2015 to 2017 and was selected 19 stocks to be a samples. Data analysis and testing is done by determining the stocks that set into optimal portfolio and that do not set into the optimal portfolio. From the result of calculating using the Single Index Model, 17 shares gained entry into the optimal portfolio there are UNVR, ADRO, BBCA, GGRM, TLKM, UNTR, UNVR. Stocks that enter into the portfolio are shares that have ERB value than Ci. The largest proportion of funds owned by PT United Tractor Tbk is 28.82%. Rational investor would prioritize to invest in securities that have a the largest proportion of the funds, because of that large proportion of funds so we will be getting higher profit with the certain risks as well.
Investors who will invest their funds into 6 companies that have formed this optimal portfolio will get a portfolio return of 0.01998 and portfolio risk of 0.04084. Portfolio profits will affect investors to invest because it has a higher return than market return and risk-free return. The portfolio risk of 0.04084 is smaller than the risk of individual stocks. This research proves by forming an optimal portfolio can produce high return and can provide diversified benefits to reduce the risk of each share.

References:10 books, 5 journals, 8 websites.
Research Advisor: Haryono, Arifin Nugroho.
Keywords: Optimal Portofolio, Single Index Model, Excess Return to Beta