OPTIMASI PORTOFOLIO CAPITAL ASSET PRICING MODEL (CAPM) PADA INDEKS BISNIS-27

Aditya Fadillah Aridwianto (Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro)
Dhelia Artasevia Artasevia (Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro)
Najwa Mayang Vianisa (Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro)
Syifa Gumay (Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro)
Valentin Asman Lestari (Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro)
Di Asih I Maruddani (Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro)

Jurnal Gaussian
Vol 14, No 2 (2025): Jurnal Gaussian

Stock efficiency analysis helps investors understand the intrinsic value of a stock and serves as a foundation for identifying risk factors and potential returns associated with it. This study evaluates stocks in the Business Index 27 from 22 Mei 2023 – 22 Mei 2024 by considering criteria such as positive returns, lowest correlation, and sectoral differences. Based on this evaluation, three stocks with efficient performance were selected: MEDC, BRPT, and JSMR. An optimal portfolio was formed by weighting these three stocks using the Capital Asset Pricing Model (CAPM) method, with weight proportions of MEDC at 23.3%, BRPT at 11.7%, and JSMR at 64.9%. Risk evaluation using the Historical Simulation method to calculate Value at Risk (VaR) indicates a potential loss of 10%. This study provides insights into identifying efficient stocks and forming an optimal portfolio, which can assist investors in making investment decisions in the Business Index 27.