Analisis Portofolio Saham Optimal dengan Single Index Model pada Saham-Saham LQ-45 di Bursa Efek Indonesia periode Februari 2010 - Januari 2015

Abstract

The purpose of this study was to analyze the formation composition for the optimal portfolio by a single index model method in LQ-45 stock at IDX The population of LQ-45 are the firms what list in the IDX as many as 45 companies in the period February 2010 until January 2015. Purposive sampling was for the sampling, which sampling are taken from certain criteria and representative sample of the population is represented by 22 sample stockcompanies. Data collection methods used a documentation method from the Indonesian Stock Exchange in this study. Data were analyzed using a single index model. This model analyzes the variables of share and market in formation composition for the optimal portfolio. Single index model used the value excess return to beta (ERB) of LQ-45, and then narrow down the value of the shares with cut off point (C*). When ERB > C* then the stock is included in the optimal portfolio. However, if the ERB < C* then the stock isn’t included in the optimal portfolio. The results showed there were 12 stocks in a portfolio of 22 stocks candidate who studied with cut off point of 0,00888. Optimal portfolio is formed by having ERB is grater than C*. The proportion of each stock fund are JSMR (Jasa Marga (Persero)Tbk) 19,04%, BBCA (Bank Central Asia Tbk) 17,60%, UNVR (Unilever Indonesia Tbk) 16,49%, BBNI (Bank Negara Indonesia (Persero)Tbk) 11,95%, BMRI (Bank Mandiri (Persero) Tbk) 8,42%, INDF (Indofood Sukses Makmur Tbk) 6,34%, GGRM (Gudang Garam Tbk) 6,30%, SMGR (Semen Gresik (Persero) Tbk 3,25%, LPKR (Lippo Karawaci Tbk) 2,97%, INTP (Indocement Tunggal Prakasa Tbk) 2,86%, KLBF (kalbe Farma Tbk) 2,76%, PGAS (Perusahaan Gas Negara (Persero) Tbk 2.02%. with a portfolio return of 0,19194 or 19,194% and the portfolio risk of 0,00197.or 0,197%. Based on the conclution and test data, it can be concluded that the mody appropriate estimation models used panel data regression study is Common effect Model.