Pembentukan Portofolio Optimal Menggunakan Single Index Model Sebagai Pertimbangan Investasi

Abstract

Investors invest with the aim of making a profit and minimizing risk. Investors can create investment portfolios consisting of various kinds of stocks. The selection of these shares is based on calculations in order to create an optimal investment portfolio. This research aims to analyze stocks to be invested by forming an optimal portfolio using Single index model calculation. The research method used was descriptive method with a quantitative approach. The object of this research was the stocks that are included in the LQ45 index for the 2016-2020 period so that a population of 109 shares was obtained. The sampling technique used was purposive sampling with 2 criteria, namely (1) consistent listing in the LQ45 index for the 2016-2020 period and (2) always obtained successive profits for the 2016-2020 period so that  samples of 27 stocks were obtained. The results of the analysis showed that 7 stocks were selected in the optimal portfolio category, namely PTBA (PT, Bukit Asam Tbk.), ANTM (PT. Aneka Tambang (Persero) Tbk.), ADRO (PT. Adaro Energy Tbk.), BBCA (PT. Bank Central Asia Tbk.), BBRI (PT. Bank Rakyat Indonesia (Persero) Tbk.), UNTR (PT. United Tractors Tbk.) and ICBP (PT. Indofood CBP Sukses Makmur Tbk). The proportion of funds for each selected share is PTBA (2.55%), ANTM (10.02%), ADRO (13.66%), BBCA (60.92%), UNTR (6.10%), ICBP (2 0.01%) and BBRI (4.74%). The formation of the portfolio above is able to minimize the risk of 0.22% with a return of 2.16%.

Abstrak

Investor berinvestasi dengan tujuan mendapatkan keuntungan dan meminimalkan risiko. Investor dapat membuat portofolio investasi yang terdiri dari berbagai macam saham. Pemilihan saham-saham tersebut didasarkan pada perhitungan agar terciptanya portofolio investasi yang optimal. Penelitian ini bertujuan untuk menganalisis saham-saham untuk diinvestasikan dengan membentuk portofolio yang optimal menggunakan perhitungan Single Index Model. Metode penelitian yang digunakan yaitu metode deskriptif dengan pendekatan kuantitatif. Objek penelitian ini merupakan saham yang masuk dalam indeks LQ45 periode 2016-2020 sehingga didapatkan populasi sebanyak 109 saham. Teknik pengambilan sampel menggunakan purposive sampling dengan 2 kriteria yaitu (1) listing konsisten di indeks LQ45 periode 2016-2020 dan (2) selalu laba berturut-turut periode 2016-2020 sehingga didapatkan sampel sebanyak 27 saham. Hasil analisis menunjukkan bahwa 7 saham terpilih dalam kategori portofolio optimal yaitu PTBA (PT, Bukit Asam Tbk.), ANTM (PT. Aneka Tambang (Persero) Tbk.), ADRO (PT. Adaro Energy Tbk.), BBCA (PT. Bank Central Asia Tbk.), BBRI (PT. Bank Rakyat Indonesia (Persero) Tbk.), UNTR (PT. United Tractors Tbk.) dan ICBP (PT. Indofood CBP Sukses Makmur Tbk). Proporsi dana setiap saham yang terpilih yaitu PTBA (2,55%), ANTM (10,02%), ADRO (13,66%), BBCA (60,92%), UNTR (6,10%), ICBP (2,01%) dan BBRI (4,74%). Pembentukan portofolio di atas mampu meminimalkan risiko sebesar 0,22% dengan return 2,16%.