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

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.

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

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%.

scholarly journals ANALISIS PORTOFOLIO SEBAGAI DASAR PENGAMBILAN KEPUTUSAN INVESTASI SAHAM YANG TERDAFTAR PADA BURSA EFEK INDONESIA (BEI) (Studi pengunaan Model Indeks Tunggal pada saham yang terdaftar di LQ45 Periode Februari 2014 s.d Juni 2015 )

2018 ◽  
Vol 2 (2) ◽  
Author(s):  
Erwin dyah Astawinetu ◽  
Lailatul Fitriyah
Keyword(s):  
Stock Exchange ◽  
Sampling Technique ◽  
Optimal Portfolio ◽  
Rate Of Return ◽  
Model Risk ◽  
Purposive Sampling ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Risk Rate

ABSTRACTThis study aims to determine the optimal shares listed on the Indonesia Stock Exchange  (IDX)  contained  in  LQ45  using the  method  of  single  index model.  This  research  is  a  descriptive  study,  the  method  used  is  quantitative method.  Samples were  taken at thirty-six  shares of the company from  LQ45 period February 2014 to June 2015. The samples were taken using purposive sampling technique. Results from this research that showed that out of thirty-six stock companies only two shares optimal namely PT. Gudang Garam Tbk. (GGRM) and PT. AKR Corporindo Tbk. (AKRA). With the proportion of funds PT. Gudang Garam Tbk. (GGRM) of 0.6624, while PT PT. AKR Corporindo Tbk. (AKRA)  of  0.3376.  In  addition  the  rate  of  return  from  the  formation  of  the portfolio is equal to 0.0084 at the risk of the portfolio amounted to 0.000017 smaller   than   market   risk   amounted   to   0.001404.   This   proves   that   the establishment of a portfolio would gain optimal benefit with certain risk. Keywords: Optimal Portfolio, Single Index Model, risk, rate of return.  

scholarly journals Penentuan Portofolio yang Optimal dengan Menggunakan Single Index Model pada Perusahaan Manufaktur yang Terdaftar di BEI

2018 ◽  
Vol 5 (1) ◽  
pp. 1
Author(s):  
Mira Dwiastuti ◽  
Evaliati Amaniyah ◽  
Echsan Gani
Keyword(s):  
Sampling Method ◽  
Optimal Portfolio ◽  
Expected Return ◽  
Purposive Sampling ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Manufacturing Company ◽  
Descriptive Method

The purpose of study is to determinan optimal portofolio by using Single Index Model at manufacturing company in BEI. The method used in this study is descriptive method. By using purposive sampling method is obtained 11 sample of the manufacturing company. The result of this study  is only three company that make up the optimal portfolio from 11 company because they  have ERB more than cut off point (0,086198) and These companies are PT. Gudang Garam, TBk, PT Astra outopart Tbk dan PT. Unilever Indonesia Tbk.  The proportion of stock in the portfolio are 19.68% PT Gudang garam Tbk, 72.83%  PT Astra outopart Tbk and 7.49% PT. Unilever Indonesia Tbk.  The expected return portfolio is. 10.11% greater  than expected return risk free (SBI) that only 0.534%, risk portfolio 0.2261 smaller than some risk individual stock and beta portfolio 0.9342

scholarly journals Optimal portfolio analysis of manufacturing entities in the Indonesia Sharia Stock Index

2022 ◽  
Vol 10 (8) ◽  
pp. 188-199
Author(s):  
Yunan Najamuddin ◽  
Neni Meidawati ◽  
Nahar Savira Putri ◽  
Yuni Nustini ◽  
Muamar Nur Kholid
Keyword(s):  
Model Test ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Portfolio Analysis ◽  
Optimal Portfolio ◽  
Stock Index ◽  
Expected Return ◽  
Purposive Sampling ◽  
Index Model ◽  
Single Index Model

The purpose of this research is to determine the optimal portfolio for manufacturing entities listed on the Indonesian Sharia Stock Index based on a single index model test. The population of this research is manufacturing entities that have been listed in the Indonesian Sharia Stock Index on the Indonesia Stock Exchange for the Period 2019-2020. This study uses a purposive sampling technique using several criteria. Based on this technique, 31 entities meet the criteria. The results showed that the expected return was 5.65%, and the possible risk was 0.22% for 15 (fifteen) stocks included in the optimal portfolio category.  

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

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%

scholarly journals PEMBENTUKAN PORTOFOLIO OPTIMAL BERDASARKAN MODEL INDEKS TUNGGAL PADA SAHAM INDEKS IDX30 DI BEI

2019 ◽  
Vol 8 (6) ◽  
pp. 3814
Author(s):  
Nyoman Candra Tri Wahyuni ◽  
Ni Putu Ayu Darmayanti
Keyword(s):  
Optimal Portfolio ◽  
Risk Level ◽  
Portfolio Risk ◽  
Expected Return ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Stock Investment ◽  
Portfolio Return

Stocks are included in determination of the optimal portfolio along with the proportion of each stock and to know how much portfolio return and risk investors will get in the future. The study was conducted on the IDX30 Index on the IDX for the period August 2016 - January 2018. The population of this study used shares that were incorporated in IDX30 Index with sample used was 25 IDX30 Index stocks during the study period. The study uses the optimal portfolio model, namely the Single Index Model The results of the study show that from 25 stocks there are 8 stocks that can form an optimal portfolio with their respective proportions, consisting shares of ADRO, BBC, BBNI, BBRI, BMRI, GGRM, PWON, and UNTR. These shares provide a portfolio expected return of 3.25 percent with a portfolio risk level of 0.07 percent. Keywords: Stock Investment, Return, Risk, Optimal Portfolio, Single Index Model

Analisis Pembentukan Portofolio Optimal dengan Menggunakan Model Indeks Tunggal (Studi pada Saham LQ45 Periode 2014-2016)

2019 ◽  
Vol 4 (2) ◽  
pp. 153
Author(s):  
Wiyuda Hadi Pratama ◽  
Taufik Akbar
Keyword(s):  
Research Method ◽  
Sampling Technique ◽  
Optimal Portfolio ◽  
Quantitative Approach ◽  
Portfolio Risk ◽  
Expected Return ◽  
Single Index ◽  
Index Model ◽  
Descriptive Research ◽  
Single Index Model

The purpose of this study is to find out the optimal portfolio stocks formed through the Single Index Model. The research method used in this study is a descriptive research method with a quantitative approach. While the sampling technique uses a purpose sampling technique, with the criteria of stocks entering LQ45 during 2014-2016 respectively. The population contained in this study were 58 shares, and 33 samples were taken. The results of the analysis show that the stocks included in the optimal portfolio category are only 8 shares with the proportion of funds being WSKT 33.18%, PTPP 22.74%, AKRA 7.51%, GGRM 9.57%, TLKM 19.63%, UNVR 4, 65%, PWON 2.42%, and ADRO 0.31%. Based on the optimal stock calculation formed, the portfolio expected return is 0.0364 and portfolio risk is 0.0010.

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

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.

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

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

<p><em>Capital market </em><em>is</em><em> a </em><em>meeting </em><em>place for pe</em><em>ople</em><em> who h</em><em>ave</em><em> excess money </em><em>and those</em><em> who </em><em>need money</em><em> </em><em>for </em><em> transaction of security. Every investor need</em><em>s </em><em>optimal profits with minimal risk. Portfolio is basically related to how one allocates a number of stocks into various investment types that results </em><em>i</em><em>n optimal profits. By making diversification, investor</em><em>s</em><em> 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 Indonesia</em><em>n</em><em> Stock Exchange in the period of 2009-2011 by using two method</em><em>s</em><em>, 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 </em><em>to </em><em>make </em><em>one’s</em><em> own group i.e liquid LQ 45 calculat</em><em>ing</em><em> the risk and return then compare the result with Single Index Model, the procedure </em><em>of</em><em> all securities are ranked by ERB instead of Excess Return to Risk</em><em> (ERR)</em><em>. After securities </em><em>were</em><em> ranked using the above ratio, securities with greater Excess return to standart deviation and cut off point (C*) </em><em>we</em><em>re included into the optimal portfolio. The conclu</em><em>sion</em><em> of this research </em><em>is that it is </em><em>better to choose Single Index Model as the methode  result</em><em>ing i</em><em>n optimal profits.  </em><em></em></p><em>Keyword: Optimum portfolio, LQ 45, single index, indexing</em>

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

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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