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Aplikasi Model Indeks Tunggal dalam Pembentukan Portofolio Optimal pada Data Harga Saham Indeks IDX30 di Bursa Efek Indonesia

Authors

  • Rahmi Oktavia Maudinatul Fakultas Matematika dan Ilmu Pengetahuan Alam, Universitas Islam Bandung

DOI:

https://doi.org/10.29313/jrs.v1i1.305

Keywords:

Indeks IDX30, Model Indeks Tunggal, Portofolio Optimal

Abstract

Abstract. The purpose of this study is to identify and analyze stocks that are included in the optimal portfolio on the IDX30 Index on the Indonesia Stock Exchange (IDX), the proportion of funds and the level of profit for each stock that can form a single index model for the optimal portfolio. The research method used is descriptive with a quantitative approach. The object of this research is secondary data, namely stock prices listed on the IDX30 Index in the period September 2014 – January 2021. The results of this study using a single index model show that from 30 companies there are 11 preferred stocks and the proportion of funds for each share is the value of the proportion the highest fund is BBCA of Rp. 30,025,989 and the lowest proportion of funds is BBTN of Rp. 845,917. Analysis of the level of expected return portfolio that will be obtained by investors is 2.52% and the risk level of the stock portfolio is 1.86%.

Abstrak. Tujuan penelitian ini untuk mengetahui dan menganalisa saham-saham yang termasuk portofolio optimal pada Indeks IDX30 di Bursa Efek Indonesia (BEI), proporsi dana serta tingkat keuntungan pada masing-masing saham yang dapat membentuk model indeks tunggal portofolio optimal. Metode penelitian yang digunakan adalah deskriptif dengan pendekatan kuantitatif. Objek penelitian ini berupa data sekunder yaitu harga saham yang terdaftar pada Indeks IDX30 pada periode September 2014 – Januari 2021. Hasil penelitian ini dengan menggunakan model indeks tunggal menunjukkan bahwa dari 30 perusahaan terdapat 11 saham pilihan dan didapatkan proporsi dana masing-masing saham yaitu nilai proporsi dana tertinggi adalah BBCA sebesar Rp. 30.025.989 dan nilai proporsi dana terendah adalah BBTN sebesar Rp. 845.917. analisis tingkat expected return portofolio yang akan diperoleh oleh investor yaitu sebesar 2,52% dan tingkat risiko portofolio saham yaitu sebesar 1,86%.

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Published

2021-10-26