ANALISIS TINGKAT PENGEMBALIAN DAN RISIKO SAHAM DALAM PENENTUAN PORTOFOLIO OPTIMAL DENGAN MENGGUNAKAN MODEL INDEKS TUNGGAL PADA PERUSAHAAN PERBANKAN YANG LISTING DI BURSA EFEK JAKARTA

INDAH WIJAYANTRI WULYANINGRUM

Abstract


This research represent research of quantitative descriptive is conducted at Perbankan stock which is listing in Jakarta Stock Exchange at period of January 2005 until December 2006 with title ? Analyze rate of return and rate of risk in making optimal portfolio with Single Index Model in perbankan stock is listing in Jakarta Stock Exchange?.
Intention of this research is to determine candidate of optimal portfolio and to know rate of portfolio return and portfolio risk so that all investor can know which company is which have optimal investment rate of return.
Analyze used to Single Index Model by assistance of Microsoft excel program can determine candidate of optimal portfolio with compare between excess return to beta (ERB) with Cut off Rate (Ci). Where stock which shape optimal portfolio was larger or same with C* (Ci value where the last ERB value still larger than Ci).
Result of analysis showed that from 22 perbankan company, there were 8 stock which shaped in optimal portfolio that is: Bank Swadesi stock (BSWD) with proportion 19,56%, Bank Mayapada stock (MAYA) with proportion 4,07%, Bank Niaga Kencana stock (ANKB) with proportion 38,72%, Bank Lippo stock (LPBN) with proportion 4,78%, Bank Rakyat Indonesia stock (BBRI) with proportion 4,50%, Bank Niaga stock (BNGA) with proportion 6,36%, Bank Central Asia stock (BBCA) with proportion 19,24%, Bank Danamon stock (BDMN) with proportion 2,77%. Portfolio return hoped from optimal portfolio was 4,34% and portfolio risk level was 4,12%.
Pursuant to conclusion above, invest in perbankan company sector was really profitable but also risk level still large which investor guaranteed. If want to get maximum profit, invest shouldn?t be in one sector only.

 

Keyword : Model Indeks Tunggal, Portofolio Optimal, Ecxess Returns to Beta. Single Index Model, Optimal Portfolio, Excess Return to Beta

 

Link Terkait : http://skripsi.umm.ac.id/files/disk1/232/jiptummpp-gdl-s1-2007-indahwijay-11572-PENDAHUL-N.pdf


Keywords


Model Indeks Tunggal; Portofolio Optimal; Ecxess Returns to Beta; Single Index Model; Optimal Portfolio; Excess Return to Beta