Abstract
This study aimed to compare composition of the optimal portfolio of stocks, the proportion of funds in each of these stocks and calculate risk and return portfolio from Investor33 (INV33) Index and Jakarta Islamic Index (JII) in research period January 2016-December 2018. The method used in this research is a quantitative descriptive method. Sample in this study using purposive sampling were 24 stock from INV33 Index and 17 stock from JII Index. The results of the study were as follows : (1) The optimal portfolio of stocks by using capital asset pricing model from INV33 Index are CPIN (Charoen Pokphand Indonesia Tbk), ITMG (Indo Tambangraya Megah Tbk), BBCA (Bank Central Asia Tbk), UNTR (United Tractor Tbk), (TLKM) Telekomunikasi Indonesia (Persero) Tbk, ICBP (Indofood CBP Sukses Makmur Tbk), BBTN (Bank Tabungan Negara Persero Tbk and from JII Index are ADRO (Adaro Energy Tbk), ICBP (Indofood CBP Sukses Makmur Tbk), INCO (Vale Indonesia Tbk), INDF (Indofood Sukses Makmur Tbk), TLKM (Telekomunikasi Indonesia Persero Tbk), UNTR (United Tractor Tbk). (2) The composition of the proportion of funds in optimal portfolio formed by INV33 Index are BBCA (46,49%), CPIN (20,11%), ICBP (12,78%), ITMG (8,59%), UNTR (6,95%), TLKM (4,11%) and BBTN (0,97%) and from JII Index are ICBP (34,96%), ADRO (19,47%), UNTR (16,26%), INCO (10,88%), TLKM (10,43%) and INDF (8,00%). (3) The optimal portfolio of stocks return from INV33 Index was greater than stock portfolio return from JII Index and the optimal portfolio of stocks risk from INV33 Index was lower than stock portfolio risk from JII Index.
Highlights
The stock portfolio aims to select the most efficient combination of stocks, namely those that provide the greatest expected return in the future with a certain level of risk
(2) The composition of the proportion of funds in optimal portfolio formed by INV33 Index are BBCA (46,49%), CPIN (20,11%), Indofood CBP Sukses Makmur Tbk (ICBP) (12,78%), ITMG (8,59%), UNTR (6,95%), TLKM (4,11%) and BBTN (0,97%) and from Jakarta Islamic Index (JII) Index are ICBP (34,96%), ADRO (19,47%), UNTR (16,26%), INCO (10,88%), TLKM (10,43%) and INDF (8,00%). (3) The optimal portfolio of stocks return from INV33 Index was greater than stock portfolio return from JII Index and the optimal portfolio of stocks risk from INV33 Index was lower than stock portfolio risk from JII Index
Based on the results and discussion of the Capital Asset Pricing Model research method on stocks included in the INV33 Index and the JII Index, the following conclusions can be drawn: 1. There are 7 stocks that meet the criteria for forming an optimal stock portfolio using the INV33 Index, namely CPIN (Charoen Pokphand Indonesia Tbk), ITMG (Indo Tambangraya Megah Tbk), BBCA (Bank Central Asia Tbk), UNTR (United Tractor Tbk), (TLKM) Telekomunikasi Indonesia (Persero) Tbk, ICBP (Indofood CBP Sukses Makmur Tbk), BBTN (State Savings Bank Persero Tbk)
Summary
The stock portfolio aims to select the most efficient combination of stocks, namely those that provide the greatest expected return in the future with a certain level of risk. A stock portfolio in addition to maximizing returns avoids risk because not all stock investments can increase their returns. The essence of the formation of an efficient and optimal portfolio is to reduce risk by diversifying shares, namely allocating a number of investor funds to various investment alternatives that are negatively correlated with the aim that the funds issued by investors can generate optimal returns. There are still many investors who have difficulty choosing stocks to include in their portfolios and the use of funds for each of the selected stocks. That portfolio analysis can help investors make decisions to choose the optimal stock
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