Article Per Year (5 Year)
p-Index From 2021 - 2026
0.23
P-Index
This Author published in this journals
All Journal Jurnal Ekonomi, Akuntansi dan Perpajakan
Budi Agustian Rahmat
Politeknik Negeri Padang
Economics, Econometrics & Finance

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search

 1 
Analisis Pembentukan Portofolio Optimal Saham LQ45 dengan Menggunakan Metode Indeks Tunggal di Bursa Efek Indonesia Periode 2022-2024 Budi Agustian Rahmat; Randy Heriyanto; Rini Susanti
Jurnal Ekonomi, Akuntansi, dan Perpajakan Vol. 3 No. 4 (2026): November : Jurnal Ekonomi, Akuntansi, dan Perpajakan (JEAP)
Publisher : Asosiasi Riset Ekonomi dan Akuntansi Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.61132/jeap.v3i4.2671

Abstract

This study aims to analyze the formation of an optimal portfolio of LQ45 stocks on the Indonesia Stock Exchange (IDX) for the 2022-2024 period using the Single Index Model (SIM). This quantitative descriptive study utilizes a sample of 27 stocks from the LQ45 index population, selected through purposive sampling based on specific criteria. The analysis reveals that out of 12 stocks with a positive expected return, 5 stocks qualify for inclusion in the optimal portfolio because their Excess Return to Beta (ERB) values exceed the cut-off point (0.0036412). These five stocks and their respective fund weightings are AMRT (41.66%), INDF (22.71%), ICBP (21.21%), MEDC (11.70%), and PGAS (2.72%). This optimal portfolio generates an expected return of 2.11% per month with a risk level of 4.98% per month. The portfolio's performance is proven to be more efficient, yielding a Coefficient of Variation of 2.36, which outperforms the average performance of the overall LQ45 Index. In conclusion, the SIM method can be effectively used to construct a stock portfolio with superior return and risk efficiency compared to the market index.
Co-Authors Randy Heriyanto Rini Susanti