Analysis Investor Index Indonesia with Capital Asset Pricing Model (CAPM)

This study aimed to compare composition of the optimal portfolio of stocks, the proportion of funds in each of these stocks and calculate risk and return portfolio from Investor33 (INV33) Index and Jakarta Islamic Index (JII) in research period January 2016-December 2018. The method used in this research is a quantitative descriptive method. Sample in this study using purposive sampling were 24 stock from INV33 Index and 17 stock from JII Index. The results of the study were as follows : (1) The optimal portfolio of stocks by using capital asset pricing model from INV33 Index are CPIN (Charoen Pokphand Indonesia Tbk), ITMG (Indo Tambangraya Megah Tbk), BBCA (Bank Central Asia Tbk), UNTR (United Tractor Tbk), (TLKM) Telekomunikasi Indonesia (Persero) Tbk, ICBP (Indofood CBP Sukses Makmur Tbk), BBTN (Bank Tabungan Negara Persero Tbk and from JII Index are ADRO (Adaro Energy Tbk), ICBP (Indofood CBP Sukses Makmur Tbk), INCO (Vale Indonesia Tbk), INDF (Indofood Sukses Makmur Tbk), TLKM (Telekomunikasi Indonesia Persero Tbk), UNTR (United Tractor Tbk). (2) The composition of the proportion of funds in optimal portfolio formed by INV33 Index are BBCA (46,49%), CPIN (20,11%), ICBP (12,78%), ITMG (8,59%), UNTR (6,95%), TLKM (4,11%) and BBTN (0,97%) and from JII Index are ICBP (34,96%), ADRO (19,47%), UNTR (16,26%), INCO (10,88%), TLKM (10,43%) and INDF (8,00%). (3) The optimal portfolio of stocks return from INV33 Index was greater than stock portfolio return from JII Index and the optimal portfolio of stocks risk from INV33 Index was lower than stock portfolio risk from JII Index.

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OPTIMALISASI PORTOFOLIO SAHAM-SAHAM LQ-45 DENGAN MENGGUNAKAN CAPITAL ASSET PRICING MODEL

KARISMATIKA: Kumpulan Artikel Ilmiah, Informatika, Statistik, Matematika dan Aplikasi ◽

10.24114/jmk.v4i1.11859 ◽

2018 ◽

Vol 4 (1) ◽

Author(s):

M . Iqbal ◽

Arnah . Ritonga

Keyword(s):

Asset Pricing ◽

Optimal Portfolio ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Pricing Model ◽

Capital Asset ◽

Microsoft Excel ◽

Asset Pricing Model ◽

Excel Solver ◽

The Individual

ABSTRAKTujuan dari penelitian ini adalah untuk memilih dan membentuk sebuah portofolio optimal dari aset-aset berisiko (saham) pada Indeks Liquiditas 45 (LQ-45) dengan menggunakan Capital Asset Pricing Model (CAPM). Sebanyak 45 saham di LQ-45 yang diperoleh dari www.finance.yahoo.com kemudian diseleksi untuk didapatkan lima saham terbaik dengan kriteria returnpositif, beta saham agresif, saham undervalued, dan koefisien variasi positif terkecil. Dengan empat kategori sebelumnya kemudian diperoleh lima saham terbaik yaitu saham Unilever Indonesia Tbk. (UNVR), saham Bank Negara Indonesia (Persero) Tbk. (BBNI), saham HM Sampoerna Tbk. (HMSP), saham Adaro Energy Tbk. (ADRO), dan saham Indocement Tunggal Prakasa Tbk. (INTP). Kriteria portofolio optimal pada penelitian ini adalah portofolio optimal berdasarkan Model Markowitz dengan preferensi return dan risiko dari saham-saham individual, bukan salah satu di antara keduanya. Pembentukan portofolio optimal termasuk menghitung varian, kovarian, dan bobot masing-masing saham, serta return dan risiko portofolio yang dibantu dengan Microsoft Excel Solver add-ins. Fungsi objektif dari optimalisasi ini adalah meminimumkan varian dari portofolio (atau standar deviasi portofolio) sehingga diperoleh output yaitu bobot kelima saham dalam portofolio optimal. Dari penelitian ini diperoleh sebuah portofolio optimal dengan kombinasi dari kelima saham unggul dengan bobot berturut-turut 65.4 %, 0.0 %, 20.6 %, 14.0 %, dan 0.0 %. Return dan risiko portofolio optimal tersebut berturut-turut 2.4408 % dan 3.7072 %.Kata Kunci: CAPM, LQ-45, Portofolio Optimal, Model MarkowitzABSTRACTThe purpose of this research is to select and to form an optimal portfolio from risky assets (stocks) listed in Indeks Liquiditas 45 (LQ-45) using Capital Asset Pricing Model (CAPM). There are 45 stocks listed in LQ-45 which obtained from www.finance.yahoo.com to be selected aiming to choose five best stocks categorized by positive return stocks, aggressive beta stocks, undervalued stocks, and stocks with least positive coefficient of variation. Using four categorizes mentioned before, the five best stocks are stock of Unilever Indonesia Tbk. (UNVR), Bank Negara Indonesia (Persero) Tbk. (BBNI), HM Sampoerna Tbk. (HMSP), Adaro Energy Tbk. (ADRO), and Indocement Tunggal Prakasa Tbk. (INTP). The optimal portfolio’s criteria in this research is based on Markowitz Model using return and risk preferences of the individual stocks. The forming of the optimal portfolio includes calculating variances, covariances, and weights of stocks, and also return and risk of the portfolio utilizing Microsoft Excel Solver add-ins software. The objective function of the optimalization is minimizing the variance of the portofolio (or the deviation standard of the portfolio) such that generated the weights of the five stocks as the outputs of the minimization. Therefore, there is a combination of the stocks forming an optimal portfolio that is including 65.4 % of UNVR, 0.0% of BBNI, 20.6 % of HMSP, 14.0 % of ADRO, dan 0.0 % of INTP. The return and the risk of the portfolio are 2.4408 % and 3.7072 %. Keywords : CAPM, LQ-45, OptimalPortofolio,MarkowitzModel

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Performance and Risk Comparison Analysis of Optimal Portfolio of Shares LQ-45 Using Single Index Model and Capital Asset Pricing Model August 2017 – January 2020 Period

European Journal of Business Management and Research ◽

10.24018/ejbmr.2021.6.1.700 ◽

2021 ◽

Vol 6 (1) ◽

pp. 102-105

Author(s):

Dikri Cakrawala Uno ◽

Andam Dewi Syarif

Keyword(s):

Asset Pricing ◽

Optimal Portfolio ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Pricing Model ◽

Capital Asset ◽

Asset Pricing Model ◽

Single Index ◽

Index Model ◽

Single Index Model

The purpose of this research is to determine the differences between performance and risks optimal portfolio of Single Index Model (SIM) and Capital Asset Pricing Model (CAPM) in the period August 2017 - January 2020. This research is a descriptive study with a quantitative approach. The data collection technique used is documentation study. Based on the results of the calculation, it is found that there is a difference return of the SIM portfolio to CAPM, there is no difference risk of the SIM portfolio to CAPM, there is a difference performance of the SIM portfolio that evaluated using the Sharpe, Treynor and Jansen methods and there is no difference performance of the CAPM portfolio that evaluated using the Sharpe, Treynor and Jansen method.

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CAPM, INDEKS TUNGGAL DAN TREYNOR SEBAGAI ANALISIS PORTOFOLIO PADA SAHAM SYARIAH

KEUNIS ◽

10.32497/keunis.v9i1.2222 ◽

2021 ◽

Vol 9 (1) ◽

pp. 63

Author(s):

Ery Indah Setyowati ◽

Husnurrosyidah Husnurrosyidah

Keyword(s):

Asset Pricing ◽

Investment Decisions ◽

Optimal Portfolio ◽

Capital Asset Pricing Model ◽

Stock Index ◽

Capital Asset Pricing ◽

Portfolio Performance ◽

Pricing Model ◽

Capital Asset ◽

Asset Pricing Model

<em>This study aims to analyze the optimal portfolio of stocks using a single index model and the Capital Asset Pricing Model (CAPM) in making investment decisions as well as the expected profit and risk of the optimal portfolio formed on Islamic stocks in the Indonesian Sharia Stock Index (ISSI) on the Indonesia Stock Exchange. 2016-2020 period. This research design is descriptive quantitative research. The study population was all stocks that were consistently included in the Indonesian Sharia Stock Index (ISSI), amounting to 207 stocks. The number of samples of this study was 136 stocks using the Slovin method. The results show that there are 54 stocks that meet the criteria for optimal portfolio formation. The optimal portfolio of ISSI index stocks has a portfolio return rate of 21.95% and a portfolio risk of 10.49%. The portfolio performance based on the Treynor index shows that the best of the 54 stocks is PTSP shares amounting to 32.73% of the trading sector. While the results in determining investment decisions using the Capital Asset Pricing Model (CAPM) method and 136 company shares, there are 65 undervalued stocks, and 71 stocks are overvalued.</em><p> </p>

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The Investing Decisions during the COVID-19 Pandemic by Using the Capital Asset Pricing Model (CAPM) Method in LQ 45 Index Companies

International Journal of Science, Technology & Management ◽

10.46729/ijstm.v1i4.66 ◽

2020 ◽

Vol 1 (4) ◽

pp. 409-420

Author(s):

Elly Susanti ◽

Ernest Grace ◽

Nelly Ervina

Keyword(s):

Asset Pricing ◽

Stock Exchange ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Pricing Model ◽

Capital Asset ◽

Expected Return ◽

Asset Pricing Model ◽

Proportional Relationship ◽

Quantitative Descriptive

Investors need to invest wisely because the Covid 19 pandemic has gone global, so that the stock exchange has also begun to waver. Therefore, several methods are needed to determine investment decisions. This study uses the CAPM (Capital Asset Pricing Model) method and classifies and evaluates LQ 45 index companies based on the level of undervalued and overvalued. This type of quantitative descriptive research is the type of research applied in this research. In this study using saturated samples. Data processing was done using Microsoft Excel application program. The results of the study by comparing the beta value with the expected return have an inversely proportional relationship. from the 45 companies, there are 20 Undervalued companies and 25 Overvalued companies.

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