Optimal Portfolio of Liquid 45 Stocks: Single Index Model Approach

Abstract

The purpose of this study is to analyze the return, risk, and optimal portfolio performance of LQ45 stocks formed by a single index model in the period August 2017-January 2020. This research is a descriptive study with a quantitative approach. The data collection technique used is documentation study. Based on the results of the calculation, it is found that out of 33 stocks that met the sample criteria, 3 stocks were selected to compile the optimal portfolio, namely BRPT, ICBP, and BBCA stocks. The stock had expected returns of 5.50%, 1.34%, and 2.02%, respectively, whit a risk of 12.87%, 4.75%, and 4.08%, respectively. The optimal portfolio formed has expected return of 2.60% and risk of 4.05%. After measuring performance with the Sharpe, Treynor, & Jensen approach, it is found that the performance of the portfolios that is formed is better than market performance.

Optimization Active and Passive Portfolio using Single Index Model and Capital Asset Pricing Model in Indonesia

“…CAPM measures returns based on its relationship to the market as measured by beta so that portfolio calculations with CAPM are assumptions at the time of equilibrium prices or fair prices, this difference in assumptions can be seen from the risk of portfolios with CAPM in accumulation lower than the Single Index Model in line with research by Rashid & Sabir (2023) which shows the return of the CAPM model can describe its return to market risk. The return on CAPM is also affected based on the risk-free interest rate where in this study it is also seen that the CAPM return moves in the same direction as the risk-free interest rate, in line with the research of Rehan et al (2021) and Salam & Kurniasih (2021).…”

Analisis Perbandingan Kinerja Dan Risiko Portofolio Optimal Saham Kompas 100 Menggunakan Single Index Model Dan Capital Asset Pricing Model Periode 2020-2023

“…Perbedaan antara kinerja dan risiko portofolio optimal antara SIM dan CAPM terhadap perbedaan return, maka tidak ada perbedaan risiko portofolio SIM ke CAPM, ada perbedaan kinerja dari portofolio SIM yang dievaluasi menggunakan metode Sharpe, Treynor dan Jensen dan tidak ada perbedaan kinerja portofolio CAPM yang dievaluasi menggunakan metode Sharpe, Treynor dan Jansen (Uno, dan Syarif, 2021). Setelah dilakukan pengukuran kinerja dengan pendekatan Sharpe, Treynor, dan Jensen ditemukan bahwa kinerja portofolio yang terbentuk lebih baik dari kinerja pasar (Kurniasih, 2021). Penentuan portofolio saham menggunakan SIM dapat memberikan return yang optimal dibandingkan dengan penentuan portofolio saham menggunakan model random (Ditasari, dan Pradana, 2021).…”