ANALISIS SINGLE INDEX MODEL DALAM PEMBENTUKAN PORTOFOLIO OPTIMAL (STUDI SAHAM INDEKS LQ45 PERIODE 2017–2022)

Abstract

This study examines the optimal portfolio composition of stocks and calculates the return and risk of the optimal portfolio formed using a single index model. The type of research used in this study is descriptive research with a quantitative approach. This research uses secondary data in the form of stock prices for the 2017-2022 period. The data analysis method used is stock analysis with a single index model. The results showed five stocks from 29 stock samples, including the optimal portfolio. Here are the optimal portfolio stocks and their composition: ADRO at 4.41%, ANTM at 10.02%, BBCA at 54.33%, BBRI at 8.65%, and CPIN at 22.59%. The portfolio formed will generate an expected portfolio return of 1.72% and a portfolio risk level of 1.20%. Key words: Expected Return, Optimal Portfolio, Risk, Single Index Model