Analisis Strategi Optimalisasi Portofolio Saham LQ 45  (pada Bursa Efek Indonesia Tahun 2009-2011)

Dwi Larasati; Abdul Kohar Irwanto; Yusrina Permanasari

doi:10.29244/jmo.v4i2.12623

Analisis Strategi Optimalisasi Portofolio Saham LQ 45 (pada Bursa Efek Indonesia Tahun 2009-2011)

Jurnal Manajemen dan Organisasi ◽

10.29244/jmo.v4i2.12623 ◽

2016 ◽

Vol 4 (2) ◽

pp. 163

Author(s):

Dwi Larasati ◽

Abdul Kohar Irwanto ◽

Yusrina Permanasari

Keyword(s):

Capital Market ◽

Stock Exchange ◽

Excess Return ◽

Optimal Portfolio ◽

Minimal Risk ◽

Expected Return ◽

Risk And Return ◽

Single Index ◽

Index Model ◽

Single Index Model

Capital market is a meeting place for people who have excess money and those who need money for transaction of security. Every investor needs optimal profits with minimal risk. Portfolio is basically related to how one allocates a number of stocks into various investment types that results in optimal profits. By making diversification, investors may reduce the rate of risk and at the sametime optimize the rate of expected return. Based on this case this research raises the problem of how to design an optimal portfolio simulation. i.e. a combination of liquid shares LQ 45 list ini Indonesian Stock Exchange in the period of 2009-2011 by using two methods, using Single Index Model and Indexing. Single index Model is a model of portfolio analysis using the account of Excess Return to Beta (ERB) ratio and value of C* to gain optimal shares on portfolio. The procedure of indexing is to make one’s own group i.e liquid LQ 45 calculating the risk and return then compare the result with Single Index Model, the procedure of all securities are ranked by ERB instead of Excess Return to Risk (ERR). After securities were ranked using the above ratio, securities with greater Excess return to standart deviation and cut off point (C*) were included into the optimal portfolio. The conclusion of this research is that it is better to choose Single Index Model as the methode resulting in optimal profits. Keyword: Optimum portfolio, LQ 45, single index, indexing

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ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL INDEKS TUNGGAL

Jurnal Ekonomi ◽

10.24912/je.v23i2.369 ◽

2018 ◽

Vol 23 (2) ◽

Author(s):

Iwan Firdaus

Keyword(s):

Capital Market ◽

Optimal Portfolio ◽

Minimal Risk ◽

Expected Return ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Rate Of Profit ◽

Model Approach ◽

Level Of Risk

Investors in the capital market will generally invest in stocks that have high returns with minimal risk. In order to reduce the level of risk then the shares can be formed into a portfolio. The purpose of this study was to determine the shares of LQ 45 index member to form th optimal portfolio and to determine the proportion of each stock chosen and the level of return the analysis showed that using Single Index Model approach. Stocks member LQ 45 period every January 2012 to January 2016 ti establish an optimal portfolio is comprised of ASII with a proportion 80,39%, with the proportion of BBCA 0,006% , with the proportion of ICBP 5,07%, with the proportion of UNTR 5,06%, with the proportion of UNVR 9,42% and the rate of profit (expected return) portfolio amounted to 3,65% with a risk of 0,01%.

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ANALISIS PORTOFOLIO OPTIMAL DENGAN MENGGUNAKAN MODEL INDEKS TUNGGAL PADA SAHAM IDX BUMN20 DI BURSA EFEK INDONESIA JANUARI 2018-JANUARI 2019

JEM17: Jurnal Ekonomi Manajemen ◽

10.30996/jem17.v4i2.3023 ◽

2019 ◽

Vol 4 (2) ◽

Author(s):

Mochamad Andik Firmansyah

Keyword(s):

Stock Exchange ◽

Optimal Portfolio ◽

Rate Of Return ◽

Portfolio Risk ◽

Expected Return ◽

Purposive Sampling ◽

Single Index ◽

Index Model ◽

Market Return ◽

Single Index Model

Penelitian ini bertujuan untuk menentukan level of expected return dan the best risk of optimal portfolio formation dengan menggunakan Single Index Model pada saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dari bulan Januari 2018 sampai January 2019. Saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dengan populasi sebanyak 20 perusahaan. Dengan menggunakan populasi sebesar 20 perusahaan maka peneliti menggunakan purposive sampling, dan ternyata hanya 18 perusahaan saja yang ditemukan memenuhi kriteria penelitian ini. Penelitian ini juga menggunakan metode Kuantitatif Deskriptif. Analisa data pada penelitian ini untuk menentukan saham-saham mana saja yang termasuk the optimal portfolio, dan juga the level of proportion of 1 funds yang termasuk juga dalam kategori the optimal portfolio dan the level of expected return serta the best risk of the optimal portfolio yang terbentuk dengan menggunakan Single Index Model. Hasil dari penelitian ini menunjukan bahwa terdapat 5 perusahaan dengan kategori the optimal portfolio dari 18 sampel perusahaan pada saham IDX BUMN 20 dengan tingkat tertinggi dari level of proportion of 1 funds ditemukan pada PTBA share sat 1.89333 or 189,333%, di lain pihak dengan tingkat terendah adalah pada TLKM shares at -2.13488 or -213.488% yang berarti bahwa saham TLKM adalah negatif dan harus dijual dalam jangka waktu pendek sebesar 213,488% dari dana yang dimiliki oleh para inventor dan menghasilkan rate of return yang diharapkan dari formasi optimal portfolio sebesar 0.17583 or 17.583% lebih tinggi dari yang diharapkan oleh market return sebesar 0.00264 or 0.264% dan memiliki tingkat portfolio risk borne sebesar 0.10384 or 10,384%, lebih kecil dari the risk of market sebesar 0.03367 or 3,367% dan beta market sebesar 1.Kata Kunci : Portfolio, Optimal Portfolio, Single Index Model.

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PENGGUNAAN MODEL INDEKS TUNGGAL DALAM MENILAI RESIKO DAN RETURN SAHAM UNTUK PILIHAN BERINVESTASI

INVENTORY JURNAL AKUNTANSI ◽

10.25273/inventory.v1i1.2290 ◽

2018 ◽

Vol 1 (1) ◽

pp. 1

Author(s):

Anny Widiasmara ◽

Putri Widyasari

Keyword(s):

Optimal Portfolio ◽

Quantitative Approach ◽

Minimal Risk ◽

Portfolio Investment ◽

Risk And Return ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Portfolio Return

ABSTRACT The purpose of this study was to assess the risk and return stock that could be an option to invest by using single index model Compass 100 on the IDX in 2010-2014. This type of research used in this research is descriptive quantitative approach. Samples taken as many as 44 companies of the index Compass 100. The results showed that of the 44 samples selected companies, there were 13 companies that have an optimal return and minimal risk to the proportion of each stock: UNVR of 0.2372039%, ANTM of 0.0057649% , BMTR of 0.14997799%, GGRM of 0.1226567%, MNCN of 0.1571756%, JSMR of 0.2749157%, KLBF of 0.0493033%, CPIN at 98.771899%, CTRA of 0.1009368%, GJTL of 0.0607808%, MEDC of 0.0209188%, KIJA of 0.0253161%, LPKR 0.0231518%. Based on the portfolio has been formed on the calculation of portfolio return of 4.74% and the risk of a portfolio of 0.0019683%. Keywords : Singe Index Model, Optimal Portfolio, Investment Options

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PEMBENTUKAN PORTOFOLIO OPTIMAL PADA SAHAM LQ-45 PERIODE TAHUN 2015 DENGAN MENGGUNAKAN SINGLE-INDEX MODEL

JMM17: Jurnal Ilmu Ekonomi dan Manajemen ◽

10.30996/jmm17.v6i01.2447 ◽

2019 ◽

Vol 6 (01) ◽

Author(s):

Erma Yuliaty ◽

Erwin Dyah Astawinetu ◽

Sri Hadijono

Keyword(s):

Capital Market ◽

Optimal Portfolio ◽

Minimal Risk ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Reduce Risk ◽

The Capital Market ◽

Profit Rates

Investors basically pay more attention to risks than returns (profit rates). For this purpose,investors form a portfolio. A trusted portfolio can reduce risk and increase return. In forming aportfolio to reduce risk, it is expected to diversify. Due to rational investors, investors try to getan optimal portfolio, namely a portfolio that will produce the most minimal risk. Whereas ininvesting in the capital market, investors will be faced with many shares. The LQ-45 index is anindex containing 45 stocks with high liquidity and large capitalization. In connection with thismatter, in this study a research is conducted on the formation of an optimal portfolio using LQ45sharesandusingtheSingle-IndexModelapproach.Theresultsofthisstudyindicatethatoutof40LQ-45stocksthatsuccessfullyenteredastheresearchobject,10stockcandidateshavethepotentialto form an optimal portfolio. However, after being tested against Zi, only one stockwas chosen to form the optimal portfolio, namely AKRA shares. Thus AKRA's hundred percentshare becomes the optimal portfolio that generates returns of 0.2531% with a risk of 0.51%. Keywords: LQ-45 Index, Single-Index Model, optimal portfoli

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Single Index Model Analysis for Optimum Portfolio in Pharmaceutical Companies Registered in Indonesia Stock Exchange

Jurnal Riset Ekonomi Manajemen (REKOMEN) ◽

10.31002/rn.v4i2.3680 ◽

2021 ◽

Vol 4 (2) ◽

pp. 172-181

Author(s):

Agus Parhan Saepul Anwar ◽

Ana Yuliana Jazuni ◽

Andy Juniarso

Keyword(s):

Consumer Goods ◽

Stock Exchange ◽

Virus Disease ◽

Optimal Portfolio ◽

Pharmaceutical Companies ◽

Expected Return ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Consumer Goods Industry

Investment is an interesting thing to analyze during the Corona Virus Disease (COVID-19) pandemic because at this time the economy is experiencing a decline so specifically for investors, they must consider the level of risk in their shares. The purpose of this study is to determine the condition of Consumer Goods Industry stocks with a concentration of pharmaceutical companies that can form an optimal portfolio and to determine the proportion of each selected stock and the level of return and risk of the resulting portfolio. The method that used is Single Index Model approach. The results of the analysis show that using the Single Index Model, Consumer Goods Industry stocks with a concentration of pharmaceutical companies from December 2016 to November 2020 can form an optimal portfolio consisting of SIDO with a proportion of 26.10%, PYFA with a proportion of 23 , 02%, DVLA with a proportion of 50.89% and a portfolio expected return of 5.79% and a risk of 6.95%

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PEMBENTUKAN PORTOFOLIO OPTIMAL PADA SAHAM LQ-45 PERIODE TAHUN 2015 DENGAN MENGGUNAKAN SINGLE-INDEX MODEL

JMM17: Jurnal Ilmu Ekonomi dan Manajemen ◽

10.30996/jmm.v6i01.2447 ◽

2019 ◽

Vol 6 (01) ◽

Author(s):

Erma Yuliaty ◽

Erwin Dyah Astawinetu ◽

Sri Hadijono

Keyword(s):

Capital Market ◽

Optimal Portfolio ◽

Minimal Risk ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Reduce Risk ◽

The Capital Market ◽

Profit Rates

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Pembentukan Portofolio Optimal Saham-Saham Di Bursa Efek Indonesia (Bei)

Kajian Ekonomi dan Bisnis ◽

10.51277/keb.v14i2.58 ◽

2019 ◽

Vol 14 (2) ◽

Author(s):

Hendrato Setiabudi Nugroho ◽

Seto Satriyo Bayu Aji

Keyword(s):

Stock Prices ◽

Stock Exchange ◽

Optimal Portfolio ◽

Research Needs ◽

Portfolio Risk ◽

Expected Return ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Dynamic Movement

This research was conducted with the aim of compiling an optimum portfolio of stocks listed on the Indonesia Stock Exchange (IDX) using a single index model. The subjects of this study are stocks that consistently entered into LQ45 during the 2014-2018 period. This period was chosen because at that time the stock transactions on the Indonesia Stock Exchange was bad, as evidenced by the weak and tendency of the index (IHSG) trend. The single-index model is used because it is a simple model and is widely used in optimum portfolio formation. This model can be used to calculate expected return and portfolio risk making it possible to form an optimum portfolio. Even though similar studies have often been carried out, the very dynamic movement of stock prices on the stock exchange causes changes in the optimal portfolio each year. So that research needs to be done that continuously uses different periods of the year. The results of this study indicate that of the 24 listed issuers that were sampled, only 18 shares formed the optimal portfolio. These shares were BBCA 17.21%, PWON 16.35%, WIKA 12.95%, KLBF 7.45%, GGRM 6.51%, BBNI 5.68%, UNVR 5.35%, UNTR 4, 92%, ICBP 4.65%, ADRO 3.81%, JSMR 3.21%, ASII 3.00%, SMGR 2.78%, TLKM 2.08%, PTBA 2.07%, INDF 1.90% , BMRI 0.06%, and INTP 0.02%.

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The Optimal Portfolio of JII Shares Listed on the Indonesian Stock Exchange: The Single Index Model Approach

European Journal of Business Management and Research ◽

10.24018/ejbmr.2020.5.6.629 ◽

2020 ◽

Vol 5 (6) ◽

Author(s):

Tri Agus Setyo ◽

Augustina Kurniasih

Keyword(s):

Stock Exchange ◽

Optimal Portfolio ◽

Portfolio Performance ◽

Portfolio Risk ◽

Risk And Return ◽

Monthly Data ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Risk Free Rate

This study aims to determine and analyze the optimal portfolio forming stocks using the Single Index Model, determine the optimal portfolio risk and return expectations, then compare the optimal portfolio risk and return expectations with market return expectations, then analyze the optimal portfolio performance using the Treynor model. The research was conducted on the Jakarta Islamic Index stocks. Population of 48 issuers, which meet the sample criteria of 14 issuers. Using monthly data for the period December 2014-November 2019, it was found that 2 stocks entered the optimal portfolio, is (with a proportion of funds) ICBP (91.46%) and TLKM (8.54%). The value of E(Rp) 0.0128 is greater than the value of E(RM) 0.0003 and the value of the risk free rate is 0.0048. The value of σp 0.0438 is greater than the value of σ2M 0.0364. The portfolio performance value with the Treynor index of 0.0091 is greater when compared to the market of -0.0045.

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The single index model & the construction of optimal portfolio: A case of banks listed on NSE India.

Risk Governance and Control Financial Markets & Institutions ◽

10.22495/rgcv4i2c1art3 ◽

2014 ◽

Vol 4 (2) ◽

pp. 110-115 ◽

Cited By ~ 2

Author(s):

Saurabh Singh ◽

Jayant Gautam

Keyword(s):

Empirical Analysis ◽

Price Index ◽

Stock Exchange ◽

Investment Decisions ◽

Optimal Portfolio ◽

Risk And Return ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

The Empirical Analysis

Risk and return plays an important role in making any investment decisions. Decisions that range from ‘Should the investment be done?’ and if yes, then ‘which security should comprise portfolio?’ In the present study 10 companies listed at National Stock Exchange (NSE) and CNX Bank Price Index was selected taking Jan 2009 to Dec 2013 as period of study. The monthly closing prices of the selected securities were used for the above mentioned period. Application of Single Index Model for the empirical analysis identified a portfolio of two companies based on the cut-off point.

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ANALISIS DIVERSIFIKASI INTERNASIONAL : PEMBENTUKAN PORTOFOLIO OPTIMAL INDEKS SAHAM DUNIA (Studi Kasus Pada Indeks Saham Aktif Dunia Versi The Wall Street Journal)

JMM17: Jurnal Ilmu Ekonomi dan Manajemen ◽

10.30996/jmm.v6i02.2995 ◽

2019 ◽

Vol 6 (02) ◽

Author(s):

Rony Mahendra ◽

Erwin Dyah Astawinetu

Keyword(s):

Wall Street Journal ◽

Optimal Portfolio ◽

Stock Index ◽

Wall Street ◽

Expected Return ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Stock Indices ◽

The Wall Street Journal

The research objective is to establish an optimal portfolio and know the difference between risk and return stock index portfolio candidates and non-candidates. Method used in the preparation of this research portfolio is the single index model, while the samples of this study are active world stock indices version of The Wall Street Journal during the period August 2012 - August 2016 and The Global Dow is used as the benchmark stock index. In establishing the optimal portfolio is used two perspectives: the Rupiah perspective and the U.S. Dollar perspective. The results showed there were three stock indices from the perspective of Rupiah and 8 share index menurutperspektif U.S. Dollar that make up the optimal portfolio, with the cut-of-pointsebesar 0,01393menurut Rupiah perspective and the perspective of 0.0078 US Dollars Based on the perspective of return expectations Rupiah obtained by 0.0258 with a risk of 0.06512. Berdarkan perspective of US Dollars, obtained return expectations at 0.0154 with a risk of 0.0292. From the test results showed that the hypothesis, the return on both perspectives there are significant differences between the index of the candidate, with a non-candidate. Then the risk of stock index, among the candidates, with a non-candidate, the Rupiah perspective there is no difference, but in the perspective of US Dollars, there are significant differences.Keywords: Single Index Model, candidate portfolio, optimal portfolio, expected return, excess return to beta, cut-off-point

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