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

doi:10.61132/jeap.v3i4.2671

Authors

Budi Agustian Rahmat Politeknik Negeri Padang
Randy Heriyanto Politeknik Negeri Padang
Rini Susanti Politeknik Negeri Padang

DOI:

https://doi.org/10.61132/jeap.v3i4.2671

Keywords:

Expected Return, LQ45 Index, Optimal Portfolio, Portfolio Risk, Single Index Model

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.

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