Analisis Strategi Optimalisasi Portofolio Saham LQ 45 (pada Bursa Efek Indonesia Tahun 2009-2011)

Abstract

<p><em>Capital market </em><em>is</em><em> a </em><em>meeting </em><em>place for pe</em><em>ople</em><em> who h</em><em>ave</em><em> excess money </em><em>and those</em><em> who </em><em>need money</em><em> </em><em>for </em><em> transaction of security. Every investor need</em><em>s </em><em>optimal profits with minimal risk. Portfolio is basically related to how one allocates a number of stocks into various investment types that results </em><em>i</em><em>n optimal profits. By making diversification, investor</em><em>s</em><em> may reduce the rate of risk and at the sametime optimize the rate of expected return. Based on this case this research raises the problem of how to design an optimal portfolio simulation. i.e. a combination of liquid shares LQ 45 list ini Indonesia</em><em>n</em><em> Stock Exchange in the period of 2009-2011 by using two method</em><em>s</em><em>, using Single Index Model and Indexing. Single index Model is a model of portfolio analysis using the account of Excess Return to Beta (ERB) ratio and value of C* to gain optimal shares on portfolio. The procedure of indexing is </em><em>to </em><em>make </em><em>one’s</em><em> own group i.e liquid LQ 45 calculat</em><em>ing</em><em> the risk and return then compare the result with Single Index Model, the procedure </em><em>of</em><em> all securities are ranked by ERB instead of Excess Return to Risk</em><em> (ERR)</em><em>. After securities </em><em>were</em><em> ranked using the above ratio, securities with greater Excess return to standart deviation and cut off point (C*) </em><em>we</em><em>re included into the optimal portfolio. The conclu</em><em>sion</em><em> of this research </em><em>is that it is </em><em>better to choose Single Index Model as the methode result</em><em>ing i</em><em>n optimal profits. </em><em></em></p><em>Keyword: Optimum portfolio, LQ 45, single index, indexing</em>