Analisis Portofolio Optimal Saham Menggunakan Model Markowitz Dan Single Index (Studi Kasus Pada LQ 45 Periode 2010)

Syahputra, Ibnu Bagus (2012) Analisis Portofolio Optimal Saham Menggunakan Model Markowitz Dan Single Index (Studi Kasus Pada LQ 45 Periode 2010). S1 thesis, STIE Indonesia Banking School.

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Abstract

This study is designed to help investors who attempt to invest in the stock market. Investing in the stock market promises a very high returns but followed with a high risk, as saying "high risk high return". Risks of investment in stocks are generally divided by two, the systematic risk and unsystematic risk. Systematic risk is the risk that occurs due to macro factors which affect the overall market and this risk cannot be avoided, while the unsystematic risk is a risk that can be avoided or minimized by the investors, usually through diversification. Diversification can be set by combining a variety of securities in the investment, or in other words by forming portfolios. Therefore, researchers attempted to analyze the stock optimum portfolio model on LQ45 index in 2010 using the Markowitz Model and the Single Index model. The research method used was purposive sampling method, which sampling method is based on certain criteria. Sample’s criteria for this study is company's stocks which are classified into the category of LQ45 index in 2010. There are only 39 stocks among 45 existing stocks. Analysis of data using Microsoft Office Excel is to seek stocks return, standard deviation, correlation, covariant, variance of portfolio, portfolio return and standard deviation on the Markowitz model, also to calculate the beta, alpha, unsystematic variant, excess return to beta (ERB), cut off point, beta and alpha of portfolios, return and risk of in Single Index Model.The result of this study is the determination of the optimum portfolio of Markowitz model based on the investors’ preferences, which are divided into two types. The first type of investor with high risk averse, who chooses the optimal point above the GMV point, get return of 2.00% and the risk of 2.11%, with composition of stocks are AALI as 7.74%, BNBS as 17.86%, GGRM as 12.17%, INTP as 10.96%, JSMR as 1.77%, KLBF as 0.80%, PGAS as 27.05%, and UNVR as 21.66%. The second type of investor with low risk averse, can invest in stocks that generate return of 5.50% and risk of 3.28% with composition of stocks are BBNI as 1.42%, GGRM as 20.44%, ITMG as 4.92%, KLBF as 25.90%, LSIP as 23.02%, PGAS as 1.92%, and UNVR as 22.38%. On the other side, by using the single index model in which forming an optimal portfolio based on the cut-off point will generate a portfolio return of 7.93% with a risk of 6.56%. The composition of the stocks are KLBF as 19.57%, ITMG as 14.87%, UNVR as 12.83%, BBNI as 12.34%, GGRM as 11.29%, INDY as 10.35%, JSMR as 7.62%, UNTR as 4.33%, ADRO as 3.50%, and LSIP as 3.30%. Keyword: Portfolio Optimal, Model Markowitz, Single Index Model, Stock.

Item Type: Thesis (S1)
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions: KODEPRODI61201#Manajemen
Depositing User: Ms Dyta Medina
Date Deposited: 21 Oct 2020 08:26
Last Modified: 21 Oct 2020 08:26
URI: http://repository.ibs.ac.id/id/eprint/1483

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