Evaluasi Kinerja Dan Pembentukan Portofolio Saham Menggunakan Metode Capm Dan Model Indeks Tunggal Pada Perusahaan Sub Sektor Properti Dan Real Estate Yang Terdaftar Di Bei Periode 2015-2019

Buluama, Andreas (2020) Evaluasi Kinerja Dan Pembentukan Portofolio Saham Menggunakan Metode Capm Dan Model Indeks Tunggal Pada Perusahaan Sub Sektor Properti Dan Real Estate Yang Terdaftar Di Bei Periode 2015-2019. S1 thesis, Universitas Kristen Indonesia.

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Abstract

Tujuan penelitian ini adalah untuk mengetahui tingkat pengembalian, risiko saham sektor properti, dan proporsi dana dari portofolio optimal yang terbentuk. Penelitian ini menggunakan Model Penetapan Harga Aset Modal dan Model Indeks Tunggal. Sampel yang digunakan adalah 38 saham perusahaan properti dan real estate yang terdaftar di Bursa Efek Indonesia. Hasil penelitian menunjukkan bahwa terdapat 9 saham yang masuk dalam portofolio optimal berdasarkan model CAPM dengan proporsi dana BAPA 5,32%, DUTI 3,46%, EMDE 22,18%, FMII 6,01%, GMTD 38,37%, OMRE 10, 67% , PLIN 5,66%, RBMS 3,47% dan RDTX 4,85%. Return portofolio adalah 2,19% per bulan dan 26,34% per tahun dengan risiko 5,44% atau 18,84% per tahun. Untuk portofolio Single Index Model terdapat 8 perusahaan yang masuk portofolio optimal dengan proporsi dana DILD 6,60%, DUTI 7,05%, PUDP 2,51%, RODA 3,97%, OMRE 43,32%, FMII 5,86%, MTLA 22,61% dan BKSL 8,08%. Return portofolio 2,48% per bulan dan 29,85% per tahun dengan risiko 40,24% per tahun. Portofolio yang dibentuk berdasarkan metode CAPM dan Single Index Model memiliki historical performance Sharpe ratio yang lebih besar dibandingkan IHSG. Portofolio CAPM adalah 0,326874 per bulan dan 1,132326 per tahun, portofolio model indeks tunggal adalah 0,178304 per bulan dan 0,6176624 per tahun, sedangkan IHSG adalah -0,107174 per bulan dan -0,059494 per tahun./ The purpose of this study is to determine the rate of return, risk of shares in the property sector, and the proportion of funds from the optimal portfolio formed. This study uses the Capital Asset Pricing Model and the Single Index Model. The sample used is 38 stocks of property and real estate companies listed on the Indonesia Stock Exchange. The results showed that there are 9 stocks that are included in the optimal portfolio based on the CAPM model with the proportion of BAPA funds 5.32%, DUTI 3.46%, EMDE 22.18%, FMII 6.01%, GMTD 38.37%, OMRE 10, 67%, PLIN 5.66%, RBMS 3.47% and RDTX 4.85%. The portfolio return is 2.19% per month and 26.34% per year with a risk of 5.44% or 18.84% per year. For the portfolio of the Single Index Model, there are 8 companies that enter the optimal portfolio with the proportion of DILD funds 6.60%, DUTI 7.05%, PUDP 2.51%, RODA 3.97%, OMRE 43.32%, FMII 5.86% , MTLA 22.61% and BKSL 8.08%. Portfolio return of 2.48% per month and 29.85% per year with a risk of 40.24% per year. Portfolios formed based on the CAPM method and the Single Index Model have a historical performance Sharpe ratio greater than the JCI. The CAPM portfolio is 0.326874 per month and 1.132326 per year, the single index model portfolio is 0.178304 per month and 0.6176624 per year, while the JCI is -0.107174 per month and -0.059494 per year.

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