HASIL DAN RISIKO PORTOFOLIO BERBASIS SINGLE-INDEX MODEL SEBAGAI STRATEGI INVESTASI PADA PASAR MODAL

ABSTRACTThis research aims to analyze how much the return and risk level of stocks listed on index LQ45, index shares, in order to determine the portofolio optimal using a single index model, to analyze the combination of stocks included in the portofolio optimal to give return and risk portofolio.The investment decision process is a continuous decision process. This investment decision process goes on and on until the best investment decision. Stock return is income that is expressed as a percentage of the initial capital investment, profits can be in the form of return that have already or expected. Realized return is a profit that has occurred, calculated based on historical data which is also useful as a basis for determining expected profits and risk in the future. Beta is a measure of the systematic risk of a stock portofolio relative to the market risk. General, beta measures the sensitivity of the profit level of a stock against the level of profit sensitivity of a market portofolio. Beta stocks are very useful to measure how much the level of courage of investors about risk. To anticipating the risk that will be faced by investors, a method is needed to minimize the risk, while still optimizing the return to be obtained. To minimize risk and optimize the return of the investments is to diversify stocks, namely to arrange an portofolio optimal consisting of stock instruments traded on the IDX, while the method is an optimal portofolio based on a single index model, this method is calculation the stocks to help investors to determine whether a stocks can be included in the portofolio optimal and determine which stock combinations provide to optimal return. In addition to, forming a portofolio and stock combination investors are expected to make investment strategies in the capital market both active strategies or passive strategies.From the results of the analysis of the study of 45 stocks incorporated in the LQ45 index there were 37 liquid stocks from January 2017 to December 2017, obtained 14 stocks from 37 stocks formed in the portofolio optimal based on the cut off point value of 0.81883 with a return portofolio rate of 13.16 % with risk portofolio level of 0.000047%, this risk is smaller than investment in individual stocks directly. That on individual stocks the higher the risk value, the higher the level of return.Key words: return, risk, single index model, portofolio optimal, and investment strategies

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ANALISIS PORTOFOLIO OPTIMAL SAHAM-SAHAM LQ-45 PADA PERIODE AGUTUS 2005- JULI 2006 DENGAN METODE SINGLE INDEX MODEL DI BURSA EFEK JAKARTA

Business Management Journal ◽

10.30813/bmj.v4i1.648 ◽

2017 ◽

Vol 4 (1) ◽

Author(s):

Robby Iskandar

Keyword(s):

Capital Market ◽

Investment Decision ◽

Optimum Combination ◽

Capital Gain ◽

Rate Of Return ◽

Investment Portfolio ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Risk Rate

When we choose to invest our asset in capital market, we will expect the return, such as dividend and capital gain. Rational investor must be expecting the highest return from the investment they’ve done. Risk possibility and return deviate from expectation are the possibilities should face by investment as a part of investment decision which made by investor.The purpose of this research is to find the most optimum combination to create portfolio in LQ-45 index stocks in August 2005 till July 2006 in Bursa Efek Jakarta (BEJ). From stocks population in LQ-45 index, from 43 stocks listed in August 2005 till July 2006, we choose 7 stocks which fulfill the criteria to build an optimum portfolio. Optimum portfolio will periode 8,98714% rate of return in a month, and 5,1516% risk rate in a month. Keywords : Investment, Portfolio, LQ-45, Rate of Return.

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VOLATILITY SHOCK PERSISTENCE IN INVESTMENT DECISION MAKING: A COMPARISON BETWEEN THE CONSUMER GOODS AND PROPERTY-REAL ESTATE SECTORS OF THE INDONESIAN CAPITAL MARKET

Journal of Indonesian Economy and Business ◽

10.22146/jieb.23225 ◽

2018 ◽

Vol 33 (2) ◽

pp. 112

Author(s):

Ari Christianti

Keyword(s):

Real Estate ◽

Stock Returns ◽

Consumer Goods ◽

Investment Decision ◽

Large Population ◽

Conditional Heteroscedasticity ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Autoregressive Conditional Heteroscedasticity

Research about volatility shock persistence is very important, since it could reflect the risks that can be used to estimate the fluctuations of stock returns in the future. This paper investigates a comparison of the volatility shock persistence sectoral indexes between the consumer goods (CONS) and property-real estate (PROP) sectors, using a single index model analyzed using GARCH (Generalized Autoregressive Conditional Heteroscedasticity) and I-GARCH (Integrated-Generalized Autoregressive Conditional Heteroscedasticity). By using index return data from January 2010-December 2015, the research shows that CONS and PROP tend to produce the same results. The CONS and PROP indexes’ responses to volatility shocks tended to be quite fast. Hence, the single index model of the CONS and the PROP indexes can quickly return to its normal stability. It means that, in the presence of certain information which could affect the volatility of the return from these sectors, the market will respond and adapt immediately. This might be attributed to the fact that CONS is a sector that involves fast moving products. Furthermore, the PROP sector has an indirect effect by increasing the real sectoral economic activity and economic growth in Indonesia, which has a large population. Thus, it is recommended that investors who are risk averse and risk neutral should invest in these sectors, because the volatility of both indexes can be monitored based on the existing information.

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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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Portfolio Analysis Using the Single Index Method in the COVID-19 Pandemic Period

International Journal of Research and Review ◽

10.52403/ijrr.20210626 ◽

2021 ◽

Vol 8 (6) ◽

pp. 215-225

Author(s):

Sulistyo Adi Nugroho ◽

Tony Irawan SE MappEc ◽

Ir Aruddy, Msi

Keyword(s):

Capital Market ◽

Economic Activity ◽

Optimal Portfolio ◽

Share Price ◽

Portfolio Performance ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

The Impact ◽

Rotation Strategy

The COVID-19 outbreak that occurred in early 2020 put pressure on economic activity in many countries, including Indonesia. The pressure on economic activity can be seen from the index movement in the capital market. The JCI as a composite index that reflects transaction activity in the Indonesian capital market has weakened due to the impact of the COVID-19 outbreak in a number of business sectors. The decline in the index is a warning for investors to rearrange the composition of assets in their portfolios so that returns can remain optimal during a pandemic. The single index model (SIM) can be used by investors to make investment decisions, including to rearrange their investment portfolios. The share price data analyzed covers the period from 2 September 2019 to 7 December 2020, where the government confirmed the first positive case of COVID-19 in Indonesia on 3 March 2020. The Single Index Model is used to select assets to form an optimal portfolio. Portfolio performance is measured using the Sharpe, Treynor and Jensen index. The sector rotation strategy results in five selected sectors whose assets will be selected to form an optimal portfolio, namely the consumption sector (JKCONS), the basic and chemical industry sector (JKBIND), the infrastructure sector (JKINFA), the mining sector (JKMING) and the financial sector (JKFINA). The listed companies for analysis were 25 out of 184 issuers in the five sectors. The Single Index Model selects 3 issuers for the pre-COVID period and 10 issuers for the COVID period. The allocation of portfolio funds for the pre-COVID period showed BTPS of 44.94%; CPIN 47.61% and BYAN 7.46%. 2.8% allocation of portfolio funds during the COVID period to BTPS issuers; PBID 22.57%; TKIM 15.96%; BYAN 5.86%; ITMG 17.89%; MYOH 1.56%; PTBA 1.76%; ADRO 12.54% and PPRE 19.05%. The portfolio's expected return is positive, which means that the portfolio formed has the potential to generate profits. The Sharpe, Treynor and Jensen indexes are positive, which means that portfolios formed using a single index model have the potential to have good performance. Keywords: investors, IHSG, portfolio performance, single index model, optimal portfolio.

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

E-Jurnal Manajemen Universitas Udayana ◽

10.24843/ejmunud.2019.v08.i06.p19 ◽

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

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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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Analysis of Optimal Portfolio Formation Using a Single Index Model as a Basis for Investment Decision Making [Study on the Jakarta Islamic Index (JII) 2015-2017]

Proceedings of the ICECRS ◽

10.21070/icecrs2021893 ◽

2021 ◽

Vol 9 ◽

Author(s):

Ayun Niyawati ◽

Wisnu Panggah Setiyono

Keyword(s):

Investment Decision ◽

Optimal Portfolio ◽

Portfolio Risk ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Investment Decision Making ◽

Analysis Technique ◽

Quantitative Descriptive ◽

Portfolio Return

The aim of this research is to know the performance ofstocks that become the member ofJakarta Islamic Index (JII) and determine what stocks are part of the optimal portfolio. This research is a quantitative descriptive study. The technique of taking samples is using purpose sampling techniques, with determined criteria. The population needed in this study is 42 stocks. After doing the sampling purposes, the sample is 20 stocks. The analysis technique used is the Single Index Model. The results of this study reveal that there are 5 stocks which eligible to become optimal portfolio members. These shares are UNTR, AKRA, UNVR, TLKM, and ADRO. Then the proportion offunds in each consecutive share is 31.58%, 15.18%, 28.02%, 17.7% and 7.52%. While the portfolio of the portfolio formed (expected portfolio return) is 0. 0203 or 2. 03% with portfolio risk of0. 0006 or 0. 06%.

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CONSTRUCTION OF OPTIMAL PORTFOLIO JAKARTA ISLAMIC STOCKS USING SINGLE INDEX MODEL TO STOCKS INVESTMENT DECISION MAKING

Dinasti International Journal of Digital Business Management ◽

10.31933/dijdbm.v2i1.644 ◽

2020 ◽

Vol 2 (1) ◽

pp. 167-181

Author(s):

Tri Agus Setyo ◽

Abitur Asianto ◽

Augustina Kurniasih

Keyword(s):

Investment Decision ◽

Optimal Portfolio ◽

Portfolio Performance ◽

Portfolio Risk ◽

Risk And Return ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Investment Decision Making ◽

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, namely (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 value of portfolio performance with the Treynor index is 0.0091.

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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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