ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL INDEKS TUNGGAL DAN PENILAIAN KINERJA PORTOFOLIO YANG TERGABUNG DALAM JAKARTA ISLAMIC INDEX DI BURSA EFEK INDONESIA TAHUN 2014 – 2016

Muchamad Tohir, 1414.1111.650, The research is aims to determine the stocks incorporated in the Jakarta Islamic Index (JII) on the Indonesia Stock Exchange which belong to the optimal portfolio period 2014-2016 and perform portfolio performance assessment. The research also aims to determine the size of the proportion of funds of each share in the formation of an optimal portfolio.
The design of this research is quantitative descriptive research. The population of The research is all shares included in the calculation of Jakarta Islamic Index (JII) published six months, amounting to 30 shares. The sample selection technique used purposive sampling method and obtained 16 stocks as research sample. The variables in this research are stock return, market return, stock risk, and market risk. Method of analysis data using Single Index model.
Based on the results of the research to determine the optimal portfolio of shares with the Single Index model shows that: (1) The stocks that make up the optimal portfolio are ADRO (Adaro Energy Tbk), AKRA (AKR Corporindo Tbk), INTP (Indocement Tunggal Prakarsa Tbk), LSIP (SMRR, Summarecon Agung Tbk), TLKM (Telekomunikasi Indonesia (Persero) Tbk), UNTR (United Tractors Tbk), UNVR (Unilever Indonesia Tbk), and WIKA (Wijaya Karya (Persero) Tbk). (2) Composition The proportion of funds to form an optimal portfolio is 0.038901 (3.8%) for ADRO (Adaro Energy Tbk), 0.070933 (7.0%) for AKRA (AKR Corporindo Tbk), 0.148183 (14.8%) for INTP (Indocement Tunggal Prakarsa Tbk ), 0.016785 (1.6%) for SMGR (Semen Indonesia Tbk), 0.020334 (2.3%) for SMRA (Summarecon Agung Tbk), 0.435739 (43.5% ) For UNIC (United Tractors Tbk), 0.151873 (15.1%) for UNVR (Unilever Indonesia Tbk), and 0.002566 (2.5%) for WIKA (Telekomunikasi Indonesia Tbk) Persero) Tbk).

Keywords: Optimal Portfolio, Single Index Model