PEMBENTUKAN PORTOFOLIO OPTIMAL PADA SAHAM INDEKS LQ-45 YANG TERCATAT DI BURSA EFEK INDONESIA
| Main Author: | Munawir, Fitra Al |
|---|---|
| Format: | Thesis NonPeerReviewed |
| Terbitan: |
, 2012
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| Subjects: | |
| Online Access: |
http://eprints.umm.ac.id/19393/ |
Daftar Isi:
- Capital market is an investment instrument used by investors as a source of funding, with hopes of getting a return on investment is high at low risk. Investors should be aware if the high rate of return is obtained, then the level of risk to be faced will also be high. Therefore, it needs a strategy for the investor to minimize the risk to be faced when investing in capital markets, namely by forming a portfolio. Portfolio is the combination of several types of shares in the hope of getting the highest return on the risk of getting a particular or a specific return on the lowest risk, which is called the optimal portfolio. LQ-45 Index stocks are stocks that have large market capitalization and high liquidity. Shares are included in the LQ-45 index is a stock that has a good performance, so it shows the optimal portfolio between risk and expected results. The purpose of this study was to determine the LQ-45 index stocks that form the optimal portfolio and the proportion of funds invested and to determine the level of return and risk of the optimal portfolio is formed. The method used in the formation of optimal portfolios is Single Index Model. Period of this study was from February to December 2011. The formation of optimal portfolios, getting the results that in the first semester there are eight stocks that form the optimal portfolio and the proportion of funds, among others SMGR of 65,55%, UNSP of 7,98%, LSIP of -3,21%, ENRG of 18,94%, INCO of -6,87%, UNTR of 8,86%, GGRM of 8,62% and ELTY of 3,13%. Second semester there are two stocks that form the optimal portfolio and its proportion of funds, among others UNVR of 97,72% dan BBTN of 2,28%. Portfolio rate of return that investors would get in first semester of 7,07% and second semester of 5,58% with the level of risk at the first semester of 0,11% and second semester of 5,06%.