The Comparison of Optimal Portfolio Formation Analysis with Single Index Model and Capital Asset Pricing Model in Making Investment Decision

Abstract

This research aims to find out the portfolio comparison that results from Single Index Model and Capital Asset Pricing Model methods, also portfolio performance evaluation results from Sharpe Index, Treynor Index, and Jensen Index on stocks listed in the LQ45 Index from 2017-2019. Samples taken consisted of 17 shares of companies listed on the LQ45 Index successively and it has a positive average return. Analysis using the Single Index Model method produces an optimal portfolio consisting of 6 shares. Whereas the Capital Asset Pricing Model method produces an efficient portfolio consisted of 13 shares. Portfolio performance evaluation created from both methods results from the rank of shares from each portfolio also has a positive average index, that means shares consisted of these portfolios are worth to be invested.

Optimal Portfolio Using Roy’s Safety-First Method on Primary Consumer Goods Sector Stocks

“…Investors invest in stocks to get profits or investment returns. Stock return consists of realized return, which is the return that has occurred, and expected return, which is the return that investors expect to get in the future (Sholehah et al, 2020). Realized return and expected return of stocks are calculated using equations ( 1) and ( 2).…”

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“…(6) Menghitung bobot investasi y i saham terpilih metode CAPM. (7) Menentukan bobot saham yang dinormalisasi untuk portofolio optimal berdasarkan saham terpilih metode CAPM. (8) Menghitung kinerja portofolio optimal berdasarkan rasio Sharpe, Treynor dan Modigliani Square.…”