PEMBENTUKAN PORTOFOLIO OPTIMAL DENGAN PENDEKATAN MARKOWITZ MODEL DAN SINGLE INDEX MODEL (Studi Pada Indeks LQ-45 Periode Tahun 2014-2019)

SARI, FINDI MABELA INDAH (2021) PEMBENTUKAN PORTOFOLIO OPTIMAL DENGAN PENDEKATAN MARKOWITZ MODEL DAN SINGLE INDEX MODEL (Studi Pada Indeks LQ-45 Periode Tahun 2014-2019). S1 thesis, Universitas Mercu Buana Jakarta.

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Abstract

rmine the potential gains and losses that may occur in the future. The object of this research consisted of 25 stocks that were recorded consistently during the 2014-2019 period. The research method used in the formation of optimal portfolios is the Single Index Method and the Markowitz Method, with the measurement of portfolio performance using the Sharpe Index and the Treynor Index. The results show that the optimal portfolio using the Single Index Model consists of 11 stocks, including PTBA, ICBP, BBCA, INCO, TLKM, BBRI, BBTN, UNVR, BMRI, BBNI, and ADRO. Meanwhile, the optimal portfolio with the Markowitz Model consists of 12 stocks, including ADRO, BBCA, BMRI, GGRM, ICBP, INCO, INDF, INTP, PTBA, SMGR, TLKM, and UNVR. Based on the performance measurement between the two methods, there is a difference between the Markowitz Model and the Single Index Model which is formed on the Sharpe Index and there is no significant difference on the Treynor Index.So it can be said that the Single Index Model has better performance than the optimal portfolio formed using the Markowitz Model. Keywords: Optimal Portfolio, LQ 45, Markowitz Model, Single Index Model, Sharpe Index, Treynor Index, Jensen Index Penelitian ini bertujuan untuk mengetahui kinerja portofolio optimal dan mengetahui potensi keuntungan serta kerugian yang terjadi dimasa yang akan datang. Objek penelitian ini terdiri dari 25 saham yang tercatat secara konsisten selama periode 2014-2019.Metode penelitian yang digunakan pada pembentukan portofolio optimal adalah Metode Indeks Tunggal dan Metode Markowitz, dengan pengukuran kinerja portofolio dengan Indeks Sharpe dan Indeks Treynor. Hasil penilitian menunjukkan bahwa portofolio optimal menggunakan Single Index Model terdiri dari 11 saham antara lain PTBA, ICBP, BBCA, INCO, TLKM, BBRI, BBTN, UNVR, BMRI, BBNI, dan ADRO. Sementara portofolio optimal dengan Markowitz Model terdiri dari 12 saham antara lain ADRO, BBCA, BMRI, GGRM, ICBP, INCO, INDF, INTP, PTBA, SMGR, TLKM, dan UNVR. Berdasarkan pengukuran kinerja antara kedua metode, adanya perbedaan antara Markowitz Model dan Single Index Model yang dibentuk pada Indeks Sharpe dan tidak adanya perbedaan yang signifikan pada Indeks Treynor. Sehingga dapat dikatakan bahwa Single Index Model lebih baik kinerjanya dibandingkan portofolio optimal yang dibentuk menggunakan Markowitz Model. Kata kunci : Portofolio Optimal, LQ 45, Markowitz Model, Single Index Model, Model Indeks Tunggal, Indeks Sharpe, Indeks Treynor, Indeks Jensen

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