YULIANTY, FIRDHA (2020) ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL DENGAN METODE SINGLE INDEX MODEL (Studi Pada Perusahaan Sektor Properti dan Real estate yang tercatat dalam Bursa Efek Indonesia (BEI) periode Januari 2015-Januari 2019). S1 thesis, Universitas Mercu Buana.
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Abstract
Almost all investments are contain an element of an uncertainty or risk. When the expected level of return is higher, then the level of risk that will be faced will also be higher. To minimize the level of risk, investors can diversify their investments by dividing funds into several types of investments or diversifying their investments on various investment opportunities. The purpose of this study is to determine the stocks of property and real estate sector companies that included in optimal portfolio, the composition of stocks in optimal portfolio, and the expected return and risk of portfolio. There are 34 stocks from property and real estate sector companies were used as research samples based on the purposive sampling method. The portfolio formation method used is the Single Index Model method. The results show there are nineteen stocks that a candidate for a portfolio of nineteen stocks that are examined. nineteen such optimal portfolios are expected to have a return of 0.000898 or 0.090% per day and the risks that have to be faced by investors over its investments on the stock of nineteen is 0.000853 or 0.085%. Keyword: Single Index Model, Optimal Portfolio Hampir semua investasi mengandung unsur ketidakpastian atau risiko. Ketika tingkat return yang diharapkan semakin tinggi, maka risiko yang akan dihadapi juga akan semakin besar. Untuk meminimumkan tingkat risiko, investor dapat melakukan diversifikasi investasi dengan membagi dana ke dalam beberapa jenis investasi. Tujuan penelitian ini ialah untuk mengetahui saham-saham dari perusahaan sektor properti dan real estate yang dapat membentuk portofolio optimal, besarnya komposisi proporsi dana dalam portofolio, serta return, dan risiko portofolio yang dibentuk. Sebanyak 34 emiten dari perusahaan sektor properti dan real estate yang dijadikan sampel penelitian berdasarkan metode purposive sampling. Metode pembentukan portofolio yang digunakan adalah metode Single Index Model. Hasil penelitian menunjukkan terdapat sembilan belas dari tiga puluh empat kandidat saham yang termasuk dalam pembentuk portofolio optimal. Sembilan belas portofolio optimal yang terbentuk diharapkan memberikan return sebesar 0.000898 atau 0.090% perhari dan risiko portofolio yang harus dihadapi investor atas investasinya sebesar sebesar 0.000853 atau 0.085% . Kata Kunci: Single Index Model, Portofolio Optimal.
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