OPTIMAL PORTFOLIO ANALYSIS OF IDX-30 AND LQ-45 PORTFOLIO WITH THE CAPM METHOD OF THE INDONESIA STOCK EXCHANGE

The research objective of this portfolio is to analyze the optimal portfolio IDX-30 and its portfolio of LQ-45 with CAPM method in IDX. This research uses descriptive quantitative method. IDX-30 and LQ-45 in the Stock Exchange of the period January 2013 - December 2018 the population in the study. A Purposive sampling technique used in determining the sample. Data analysis using Microsoft Excel, from this research are, a). Based on the results of the expected return and risk of IDX-30 and LQ-45, which can be seen from an analysis of individual stocks with a CAPM portfolio. Then the chosen CAPM portfolio, because it produces a good return and minimal risk. And the highest shares of IDX-30 and LQ-45 are TLKM. with the IDX-P13 return result of 6.5809 and a risk of 7.14%. and LQ-45 P20 return of 6.5764 with a risk of 7.89%.b). Optimal portfolios formed using CAPM provide better investment returns than individual shares, because CAPM offers a higher expected return and minimum risk than individual shares. While the optimal portfolio performance of IDX-30 shares evaluated using CAPM is better than the optimal portfolio performance of LQ-45 shares.

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

International Journal of Research in Business and Social Science (2147-4478) ◽

10.20525/ijrbs.v10i8.1506 ◽

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.

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PENILAIAN PORTOFOLIO OPTIMAL PADA SEKTOR PERBANKAN INDEKS LQ45

Cakrawala Management Business Journal ◽

10.30862/cm-bj.v3i1.62 ◽

2020 ◽

Vol 3 (1) ◽

pp. 510

Author(s):

Nevia Fitriyani

Keyword(s):

Central Asia ◽

Banking Sector ◽

Stock Exchange ◽

Sampling Technique ◽

Optimal Portfolio ◽

Expected Return ◽

Index Method ◽

Purposive Sampling ◽

Single Index

The purpose of this study is to assess which stocks are eligible for optimal portofolio formation and calculate the portion of funds for each stock forming the portofolio, and determine the optimal return of portofolio expectations with the risks faced by investors. This study uses a single index method. The population in this study were 44 banking sector companies that went public on the Indonesia Stock Exchange. The sample was selected by using purposive sampling technique in the banking sector stocks that entered consecutively into the LQ45 Index for the period January 2015-December 2019. The results of this study showed that out of 5 stocks sample, there were 3 stocks that were eligible for optimal portfolio, namely Bank Central Asia Tbk. (BBCA) with a proportion of funds 75.18%, Bank Tabungan Negara (Persero) Tbk. (BBTN) with a proportion of funds of 17.08%, and Bank Rakyat Indonesia (Persero) Tbk. (BBRI) with a proportion of funds of 7.74%. With an optimal portfolio expected return of 0.39% and a risk that must be faced by 0.43%.

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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 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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Analysis of the Markowitz Method and the Single Index Method in Determining the Optimal Portfolio

Almana : Jurnal Manajemen dan Bisnis ◽

10.36555/almana.v5i1.1592 ◽

2021 ◽

Vol 5 (1) ◽

pp. 126-133

Author(s):

Dhea Eka Fitriyani

Keyword(s):

Sampling Method ◽

Stock Exchange ◽

T Test ◽

Optimal Portfolio ◽

Minimal Risk ◽

Index Method ◽

Single Index ◽

Study Population ◽

The One ◽

Stock Portfolio

Investors generally make investments to get the maximum return with minimal risk. The optimal portfolio is a method that can be used to determine the stock portfolio that produces the maximum return with the least risk. The purpose of this study is to determine the accuracy of the Markowitz method and the single index method in determining the optimal portfolio and to determine whether or not there are differences in the results of optimal portfolio calculations using the Markowitz Method and the Single Index Method. The study population includes LQ-45 companies listed on the Indonesia Stock Exchange for the period 2014-2018. The sampling method used in this study was purposive sampling, based on predetermined criteria obtained from 18 sample companies. The method used is the One-Sample t-Test and the Independent Sample t-Test. The results of this study indicate that there is no difference between the Markowitz Method and the Single Index Method in determining the Optimal Portfolio.

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Markowitz Model in The Analysis of Optimal Portfolio Establishment on Jakarta Islamic Index (JII) in Indonesian Stock Exchange

Archives of Business Research ◽

10.14738/abr.82.7854 ◽

2020 ◽

Vol 8 (2) ◽

pp. 190-201

Author(s):

Anwar Ramli ◽

Anwar ◽

Indah Lestari Anwar

Keyword(s):

Data Analysis ◽

Data Collection ◽

Sampling Method ◽

Stock Exchange ◽

Optimal Portfolio ◽

Portfolio Risk ◽

Expected Return ◽

Purposive Sampling ◽

Markowitz Model

This study aims to know the optimal portfolio establishment using Markowitz model on Jakarta Islamic Index (JII) stocks in the period of December 2013-May 2019. The population of this study consisted of the company stocks on Jakarta Islamic Index (JII) in the period of December 2013-May 2019, and there were 59 stocks. While the study sample consisted of 14 company stocks and selected based on purposive sampling method. Data collection used in this study using documentation. Data analysis used in this study using the stages of Markowitz model and started collecting the close price until an optimal portfolio establishment. The result of this study showed that there were 8 company stocks included in the optimal portfolio. Namely AKRA (5,01%), ICBP (9,92%), INDF (3,75%), SMGR (8,61%), TLKM (29,01%), UNTR (20,30%), UNVR (20,88%), WIKA (2,53%). The expected return of the portfolio of 0,84%. Therefore, portfolio risk of 3,16%and smaller than the risk of individual stocks in the research sample.

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PORTOFOLIO INVESTASI SEBAGAI ALTERNATIF KEPUTUSAN DI PASAR MODAL (Studi Penelitian pada Saham Bursa Efek Indonesia 2012

Jurnal Manajemen dan Bisnis ◽

10.54367/jmb.v19i2.574 ◽

2019 ◽

pp. 151-169

Author(s):

Robinson Sipahutar

Keyword(s):

Stock Prices ◽

Stock Exchange ◽

Investment Decision ◽

Investment Decisions ◽

Economic Benefits ◽

Optimal Portfolio ◽

Capital Gains ◽

Financial Assets ◽

Investment Returns ◽

Selection Of

Portfolio Analysis is one of the alternative alternative tools in making investment decisions in stocks. In investing, if it only depends on one type of stock, it is likely that many investors will bear the risk. This stage involves identifying which securities will be chosen to form a portfolio and what proportion of funds will be invested in each of these securities. The selection of these securities (in other words, investors diversify) is intended to minimize the risk borne. The selection of these securities will be influenced by risk preferences, cash needs patterns, and tax status. Investment decisions are decisions taken by investors to allocate the funds they have in the form of certain assets (financial assets) in the hope that they will get economic benefits in the future. If the decision taken is to buy a certain number of shares, then that is expected to get dividends and capital gains if the shares are resold. The main consideration for fund owners (investors) in optimizing investment decisions is to maximize the level of return on investment (risk) for certain investments (Saragih et al., 2006). The making of an investment decision framework largely determines the success of an investor in optimizing the level of investment returns and reducing as little as possible the risks faced (Markowitz, 1952). In connection with the above, the main problem in this study is how to design an optimal portfolio simulation which is a combination of LQ 45 liquid stocks listed on the Indonesia Stock Exchange (IDX). The research data was conducted on LQ 45 shares during the period March - June 2012. The variables of this study were stock prices, returns, standard deviations of returns. The statistical method used is the F-test for homogeneity of variants. The results showed that only 16 stocks had optimal portfolios. Optimal portfolio, characterized by high return and low risk.

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Faktor-Faktor Yang Mempengaruhi Kontribusi Peserta Pada Perusahaan Asuransi Jiwa Syariah di Indonesia

Jurnal Ekonomi Syariah Teori dan Terapan ◽

10.20473/vol4iss201710pp802-816 ◽

2017 ◽

Vol 4 (10) ◽

pp. 802

Author(s):

Risma Kartika Mulya Wardhani ◽

Dina Fitrisia Septiarini

Keyword(s):

Life Insurance ◽

Positive Impact ◽

Sampling Technique ◽

Fixed Effect Model ◽

Insurance Companies ◽

Insurance Company ◽

Life Insurance Company ◽

Expected Return ◽

Effect Model ◽

Investment Returns

The aims of this study is to determine the effect of operating costs, investment and claims partially and simultaneously against the contribution to the shariah life insurance companies in Indonesia during 2013-2015. This study uses quantitative approach. The sampling technique is purposive sampling and there were 19 shariah life insurance company as subjects. The technique used is regression analysis using fixed effect model (FEM) panel data. The results study indicate that the operating expenses, investment returns and claims partially and simultaneously are significant and have positive impact on the contribution to the KP equation=67051.80+0,578102BO+2,605768HI+1,427397KLM. The results illustrate that the number of contributions have important influence in the operations of the companies. The amount of contributions received is expected to cover the costs incurred for the company's operations, they can be invested so as to achieve the company's expected return, and to pay claims.

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Analisis Portofolio Optimal Saham Indeks Lq-45 Dengan Model Indeks Tunggal Di Bursa Efek Indonesia

Jurnal Perilaku dan Strategi Bisnis ◽

10.26486/jpsb.v5i2.356 ◽

2017 ◽

Vol 5 (2) ◽

Author(s):

ALMUNFARIJAH ALMUNFARIJAH

Keyword(s):

Central Asia ◽

Stock Returns ◽

Optimal Portfolio ◽

Risk Level ◽

Portfolio Risk ◽

Expected Return ◽

Minimum Risk ◽

High Return ◽

The Difference ◽

Portfolio Return

Rational investors invest in efficient stocks, the stocks that have high return with minimum risk. The sample in this study using the stocks in the group LQ-45 index during the period February 2013-July 2013. The purpose of the study was to establish the optimal portfolio and to know the difference between stock returns and the risk of candidate and non-candidate portfolirn On Equity (ROE).The results showed there were 15 stocks that become candidate in a portfolio out of 45 stocks studied with the cut of point value -2.7-7. Optimal portfolio is formed by 15 stocks that have excess returns to beta (ERB) which is greater than the risk-free return (Rf).The largest proportion of funds owned by PT Kalbe FarmaTbk i.e 16,2 %, and the smallest proportion of the funds owned by PT Bank Central Asia Tbk i.e 0,1101288%. 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 that will invest theirs funds into these 15 companies that have formes this optimal portfolio would get portfolio profit 2,1-7 and portfolio risk -2.7-7. That portfolio profit is not far different with the expected return of each individual stock. So despite using LQ-45 stocks that have the biggest marketing capitalization and the most liquid infact it has not guarante that investors would gain their expectation of getting portfolio return as what they expected.Risk portfolio of 2,1-7 is smaller than the risk level of each individual stock . Although the establishment of the optimal portfolio yield expected return of portfolio which is not much different with thereturn of individual stock,but still provide the benefit of diversification that is beneficial for reducing the risk of each individual stock

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Factors Affecting Audit Delay with Reputation of Public Accounting Firms as Moderation Variables in Food and Beverage Sub Sector Companies in Indonesia stock exchange

AKUNTOTEKNOLOGI ◽

10.31253/aktek.v12i2.492 ◽

2020 ◽

Vol 12 (2) ◽

pp. 49

Author(s):

Rr. Dian Anggraeni ◽

Susanto Wibowo ◽

Etty Herijawati

Keyword(s):

Stock Exchange ◽

Sampling Technique ◽

Data Sampling ◽

Public Accounting ◽

Firm Reputation ◽

Financial Reports ◽

Accounting Firms ◽

Factors Affecting ◽

Sample Data ◽

Food And Beverage

This study is to examine the factors that influence audit delay with the moderating variable of public accounting firm reputation in companies listed on the Indonesia Stock Exchange. Data observations were carried out on food and beverage sub-sector companies with financial reports from 2015-2018. The number of sample data is 36 sample data. The data sampling technique used purposive sampling technique. Statistical test using is multiple linear regressions with statistical software STATA. Statistical results show that Audit Tenure has no significant effect on Audit Delay with KAP as a moderating variable with a significance value of 0.724> 0.05, Leverage has no significant effect on Audit Delay with KAP as a moderating variable with a significance value of 0.203> 0.05 and Profitability has a significant effect. on Audit Delay with KAP as a moderating variable with a significance value of 0.015 <0.05.

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