ANALISIS PENENTUAN SAHAM PORTOFOLIO OPTIMAL DENGAN MODEL INDEKS TUNGGAL PADA PERUSAHAAN YANG TERGABUNG INDEKS KOMPAS100 DI BURSA EFEK INDONESIA PERIODE JANUARI 2012 – JANUARI 2013

Keken, Ayu Lestari (2017) ANALISIS PENENTUAN SAHAM PORTOFOLIO OPTIMAL DENGAN MODEL INDEKS TUNGGAL PADA PERUSAHAAN YANG TERGABUNG INDEKS KOMPAS100 DI BURSA EFEK INDONESIA PERIODE JANUARI 2012 – JANUARI 2013. Diploma thesis, Universitas Andalas.

Preview	Text (COVER DAN ABSTRAK) COVER DAN ABTRAK.pdf - Published Version Download (421kB) | Preview
Preview	Text (BAB I) BAB I.pdf - Published Version Download (199kB) | Preview
Preview	Text (BAB V) BAB V.pdf - Published Version Download (120kB) | Preview
Preview	Text (DAFTAR PUSTAKA) DAFTAR PUSTAKA.pdf - Published Version Download (168kB) | Preview
	Text (SKRIPSI FULL TEXT) SKRIPSI FULL TEXT.pdf - Published Version Restricted to Repository staff only Download (3MB)

Abstract

Investment is the placement of the amount of funds made at the present time to earn profits in the future. This optimal portfolio research aims to determine the return and risk of portfolio, and how much proportion of funds invested. Period used in this study is January 2012 to January 2013. Population in this study is the stock company that joined the Compass Index 100. The selection of samples using purposive sampling method. The sample size is 76 samples. The data obtained are secondary data using documentation method. Data analysis techniques in this study the authors use a single index model to determine the stocks that form the optimal portfolio. Stocks that become optimal portfolio candidates are stocks that have ERB greater or equal to cut-off rate. The optimal portfolio is formed by stocks that have excess return to beta (ERB) of -0.2718 and unique cut-off point (C *) of 0.0169. Based on the results of this study shows 46 stocks that become optimal portfolio candidates from 76 shares of the company. The proportion of funds from 46 stocks can be seen that the largest percentage is in the company of Global Mediacom Tbk (BMTR) of 10.16%, while the smallest percentage is in the company of London Sumatera Plantation Tbk (LSIP) of 0.08%. The expected return of the portfolio was 4.33% per month with a risk of 0.78%. The conclusion is that rational investors will invest their funds into an optimal portfolio of 46 stocks. Keywords: optimal portfolio, single index model, expected return, excess return to beta, unique cut-off point, cut-off rate.

Actions (login required)

View Item