FORMATION OF OPTIMAL STOCK PORTFOLIO USING THE SINGLE INDEX MODEL IN THE COVID-19 PANDEMIC

Abstract

This study examines and analyzes how the impact of Covid-19 on the formation of an optimal portfolio using the Single Index Model and measuring optimal portfolio performance using the Sharpe index, Treynor index and Jensen index. The sample data in this study uses stocks listed on the Indonesia Stock Exchange, especially those listed on the LQ45 Index, MNC36 Index, IDX30 Index and Bisnis27 Index from March 1, 2020 to May 31, 2022. The purpose of this study is to analyze the optimal portfolio composition, analyze portfolio returns and risks. optimally, as well as analyzing the performance of stock portfolios formed during the Covid-19 pandemic. The results of the study show that the optimal portfolio formed in the LQ45 index is 20 stocks, the MNC36 index is 12, the IDX30 index is 11 shares, the Bisnis27 index is 14 shares. The optimal portfolios that are formed all produce an expected portfolio return that is greater than the level of risk, and the expected return of the portfolio is higher than the markets expected return and also higher than the risk-free return. The results of the analysis of portfolio performance calculations for each LQ45 Index, MNC36 Index, IDX30 Index and Bisnis27 Index show that the most optimal stock portfolio performance during the Covid-19 pandemic is the portfolio formed from LQ45 index shares, this index means that it is good and deserves to be investment options for investors. Evaluation of the optimal portfolio formed results in realized returns greater than expected returns and also greater than risk-free returns. This study shows that the formation of an optimal portfolio using the Single Index Model provides positive results during the Covid-19 era. KEYWORDS: single index model, portfolio formation, optimal portfolio, portfolio evaluation, Covid-19