Pembentukan Portofolio Optimal Menggunakan Model Markowitz, Model Indeks Tunggal, dan Capital Asset Pricing Model Pada Saham Indeks LQ45 Periode 2016-2020

Angelia, Rahel (2021) Pembentukan Portofolio Optimal Menggunakan Model Markowitz, Model Indeks Tunggal, dan Capital Asset Pricing Model Pada Saham Indeks LQ45 Periode 2016-2020. S1 thesis, Universitas Kristen Indonesia.

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Abstract

Penelitian ini bertujuan untuk membuat portofolio optimal dengan menggunakan Model Markowitz, Model Indeks Tunggal, dan Capital Asset Pricing Model. Sampel dalam penelitian ini terdiri dari 27 saham indeks LQ45 yang tercatat konsisten antara tahun 2016 dan 2020. Berdasarkan hasil penelitian, diketahui bahwa pembentukan portofolio optimal Model Markowitz terdiri dari 10 saham (BBCA, UNVR, ICBP, TLKM, GGRM, UNTR , JSMR, ADRO, PTBA, dan SRIL) dengan ekspektasi pengembalian portofolio sebesar 1,06 % per bulan dan risiko portofolio sebesar 3,68% per bulan. Portofolio optimal Model Indeks Tunggal terdiri dari enam saham (BBCA, PTBA, ADRO, INCO, UNTR, dan ICBP) dengan ekspektasi pengembalian portofolio 2,16 % per bulan dan risiko portofolio 2,98% per bulan. Sedangkan, pembentukan portofolio optimal Capital Asset Pricing Model terdiri dari tujuh saham (BBCA, ICBP, KLBF, UNTR, ADRO, PTBA, dan ASII) dengan ekspektasi pengembalian portofolio bulanan sebesar 1,51% per bulan dan risiko portofolio sebesar 4,14 % per bulan. Berdasarkan penilaian kinerja portofolio menggunakan Sharpe Ratio, Treynor Ratio, dan Jensen's Alpha, diketahui kinerja portofolio Model Indeks Tunggal mengungguli Model Markowitz dan Capital Asset Pricing Model. /This research aims to create an optimal portfolio using the Markowitz Model, Single Index Model, and Capital Asset Pricing Model. The sample in this study consisted of 27 LQ45 index stocks that were consistently recorded between 2016 and 2020. According to the study's findings, the optimal portfolio formation of the Markowitz Model consists of 10 stocks (BBCA, UNVR, ICBP, TLKM, GGRM, UNTR, JSMR, ADRO, PTBA, and SRIL) with an expected portfolio return of 1.06 percent per month and portfolio risk of 3.68 percent per month. The optimal portfolio of the Single Index Model consists of six stocks (BBCA, PTBA, ADRO, INCO, UNTR, and ICBP) with a monthly return of 2.16 percent and a portfolio risk of 2.98 percent. Meanwhile, the Capital Asset Pricing Model's optimal portfolio formation consists of seven stocks (BBCA, ICBP, KLBF, UNTR, ADRO, PTBA, and ASII) with an expected monthly portfolio return of 1.51 percent and a monthly portfolio risk of 4.14 percent. Based on portfolio performance evaluations using the Sharpe Ratio, Treynor Ratio, and Jensen's Alpha, it is known that the portfolio performance of the Single Index Model outperforms that of the Markowitz Model and Capital Asset Pricing Model.

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