Analisis Perbedaan Kinerja Portofolio Optimal Indeks Sri Kehati dan LQ45 Periode 2010-2014

Abstract

This research is purpose to analyze the optimal forming portfolio and to knows the performance of stock portfolio between SRI-Kehati and LQ45. Sampling method that used in this research is purposive sampling, which SRI-Kehati and LQ45 as the research sample, consistent stock SRI-Kehati and LQ45 period 2010-2014 Secondary data is used in this research, provide by stock listed in SRI-Kehati and LQ45 since 2010 until 2014. The methodology used in the formation of the optimal portfolio is single index model, and performance measure used three index, as index Sharpe, index Treynor and index Jensen.  The result of this research found that the combination of optimal stock portfolio SRI-Kehati consist of 12 stock from 16 stocks as a sample, and LQ45 consist of 14 stock from 21 stocks as a sample. Based on the calculation of ERB value compare with cut-off point (C*). ERB value selected into optimal portfolio is stocks that have positive ERB. Stocks that have negative ERB are not eligible to establish an optimal portfolio. Return of portfolio SRI-Kehati Index 0.094% lower than LQ45 Index approximately 0.103%.In term of risk, SRI-Kehati Index has lower standard deviation 0.79%  compare with LQ45 Index 0.82%. Then, portfolio return of LQ45 better than return of SRI-Kehati, although comparative value is very small and not significant.But, in terms of risk,LQ45 has higher risk than SRI-Kehati, although the comparison value is not significant. The stock portfolio of LQ45 is better than stock portfolio of SRI-Kehati. In terms of portfolio performance, through the third calculation index portfolio LQ45 better than portfolio SRI-Kehati index.    Keyword : Single Index Model, Index Sharpe, Index Treynor, Index Jensen