NURAHMAN, ARDI (2021) ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL SAHAM PADA JAKARTA ISLAMIC INDEX (JII) DENGAN PENDEKATAN MODEL INDEKS TUNGGAL. S1 thesis, Universitas Mercu Buana Jakarta.
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Abstract
This study aims to determine the stocks listed in the Jakarta Islamic Index (JII) period June 2017 – November 2019 to be included in the optimal portfolio of stocks as a means of investment. The population in this study were all stocks that were included in the Jakarta Islamic Index (JII), namely as many as 30 stocks, and the sample used was as many as seven company stocks, the sample in this study was selected by selecting stocks that were included in the JII for five consecutive periods and choose stocks with a positive expected return. The method used is descriptive quantitative analysis method using the calculation of the Single Index Model. The results in this study indicate that there are four stocks that are eligible to be included in the optimal portfolio of the seven stocks studied. These shares are INCO with a proportion of funds of 0.26653 (26.65%), ICBP with a proportion of funds of 0.62194 (62.19%), ANTM with a proportion of funds of 0.05890 (5.90%), and SMGR of 0, 05263 (5.26%). The optimal portfolio formed provides an expected return of 0.0145657 or 1.46% per month and has a risk of 0.0010926 or 0.11%. Keywords: Optimal Portfolio, Single Index Model, Proportion of funds, Return and risk. Penelitian ini bertujuan untuk menentukan saham – saham yang terdaftar di Jakarta Islamic Index (JII) periode Juni 2017 – November 2019 untuk dimasukan kedalam portfolio optimal saham sebagai sarana investasi. Populasi pada penelitian ini adalah seluruh saham yang masuk kedalam Jakarta Islamic Index (JII) yaitu sebanyak 30 saham, dan sampel yang digunakan yaitu sebanyak tujuh saham perusahaan, sampel dalam penelitian ini diseleksi dengan memilih saham yang masuk kedalam JII selama lima periode berturut – turut dan memilih saham dengan expected return positif. Metode yang dihunakan adalah metode analisis deskriptif kuantitatif dengan menggunakan perhitungan Model Indeks Tunggal. Hasil dalam penelitian ini menunjukan terdapat empat saham yang layak untuk dimasukan kedalam portfolio optimal dari tujuh saham yang diteliti. Saham – saham tersebut adalah INCO dengan proporsi dana 0,26653 (26,65%), ICBP dengan proporsi dana 0, 62194 (62,19%), ANTM dengan proporsi dana 0,05890 (5,90%), dan SMGR sebesar 0, 05263 (5,26%). Portofolio optimal yang terbentuk memberikan expected return sebesar 0,0145657 atau 1,46% per bulan dan memiliki risiko sebesar 0,0010926 atau 0,11%. Kata Kunci: Portofolio Saham, Single Index Model, Proporsi dana, Return dan risiko.
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