ANALISIS PORTOFOLIO OPTIMAL BERDASARKAN INDEKS TUNGGAL PADA SAHAM INDEKS BISNIS-27 (STUDI PADA PERUSAHAAN YANG LISTING DI BURSA EFEK INDONESIA)
| Main Author: | PERKASA, RUSTAMA |
|---|---|
| Format: | Thesis NonPeerReviewed |
| Terbitan: |
, 2011
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| Subjects: | |
| Online Access: |
http://eprints.umm.ac.id/14604/ |
Daftar Isi:
- The purpose of this study to analyze risk and return on the value of shares and the amount of return and risk existing market conditions and to select the optimal portfolio shares that provide maximum return with a certain risk or a certain rate of return with minimum risk to take investment decisions on listing companies on the Stock Exchange Indonesia. This research is a case study. Data analysis tool used is the Single Index Model. This model is able to identify the return and risk generated by each of the securities and markets. ERB values (Excess Return to Beta) in this method be used as an indicator for each of the securities to be positioned into the optimal portfolio candidates. If the value of Beta Excess Return to be greater than the cut-off rate (Ci) of the highest, it will be used as delimiters. Stocks that eventually enter the optimal portfolio is stocks with positive ERB and ERB value of securities is greater than the cut-off point. The next step, after the optimal portfolio is formed to calculate the proportion of funds should be invested in each security. Based on the results of a study of some 18 stocks based on criteria established as a purposive sample of existing sampling during periods of observation in Januari 2009 - September 2010. From this existing securities, it is known that there are 2 stocks that meet the criteria for entry into the establishment of the optimal portfolio. Both stocks are BDMN (PT Bank Danamon, Tbk.) And SMGR (PT Semen Gresik, Tbk.). With the proportion of fund shares that each BDMN (PT Bank Danamon, Tbk.) Amounted to 55.26% and SMGR (PT Semen Gresik, Tbk.) Amounted to 44.74%. Portfolios are formed from 2 with the proportion of shares that have been determined for each stock, giving the portfolio return rate of 52.01% with standard deviation or risk of 0.26%. Return is a return that is very promising because the portfolio return above the market rate of return of 5.15% and still above the risk free rate of return that amount is 6% per month. Conclusion of Single Index Model is very useful to analyze the data in the process of forming an optimal portfolio. In a volatile macroeconomic conditions should be used criteria for the index sample with more varied.