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All Journal Jurnal Aplikasi Bisnis dan Manajemen (JABM) E-Journal
Bonar M. Sinaga
Sekolah Bisnis, IPB University
Decision Sciences, Operations Research & Management

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Portofolio Optimal Investasi Saham dari 6 Sektor pada Indeks LQ45 Periode 2015-2018: Optimal Portfolio Stock Investment from 8 Sectors of LQ45 During Period 2015-2018 Benyamin Verkino; Bonar M. Sinaga; Trias Andati
Jurnal Aplikasi Bisnis dan Manajemen (JABM) Vol. 6 No. 2 (2020): JABM Vol. 6 No. 2, Mei 2020
Publisher : School of Business, Bogor Agricultural University (SB-IPB)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.17358/jabm.6.2.389

Abstract

The purpose of this research is to build an optimum investment portfolio of stocks using Single Index Model (SIM) from 31 stocks of 8 sectors LQ45 indices (trade, mining, infrastructure, consumer, industry, agriculture, finance, and properti) during period 2015-2018. Based on the result of research, investor can form an investment portfolio that consists of 4 stocks (BBCA, SRIL, PTBA, and WSKT from finance, industry, mining, and property sectors) with portfolio’s expected rate of return of 0.351% per week and portfolio’s variance of 0.039% per week, compared with IHSG’s rate of return and variance for 0.091% and 0.037% per week. Signifcance’s test using one sample t-test shows portfolio’s return is significantly greater compared with market’s return or IHSG. Performance measurement of portfolio by using Sharpe, Treynor, and Jensen’s ratio shows a positive ratio compared to IHSG (Sharpe 0.117, Treynor 0.002, Jensen: 0,002) which means this portfolio will give higher rate of return than what is being offered by IHSG. Keywords: IHSG, LQ45, portfolio, sector, single index model
Co-Authors Benyamin Verkino Trias Andati