ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL DENGAN SINGLE INDEX MODEL (SIM) PADA PERUSAHAAN TERINDEKS LQ45 PERIODE 2020 – 2022

Abstract

This study aims to form an optimal portfolio of company shares contained in the LQ-45 Index for a two-year period, namely June 2020 - June 2022 with a closing price per month. The samples used were taken from four companies that were always active and consistently listed on the LQ-45 Index during the 2020-2022 period, namely PT. Telkom Indonesia, PT. Vale Indonesia, PT. HM. Sampoerna and PT. Gudang Garam with the method used is the Single Index Model. The results of the study show that of the four sample companies, there are two companies that are included in the optimal portfolio, namely Telkom Indonesia in the period June 2021 – June 2022 and Vale Indonesia in the period June 2020 – June 2021. Portfolios formed using the Single Index Model method are able to provide higher returns greater than market returns in the two periods and smaller portfolio risk than market risk in the 2020-2021 period.