Optimization Active and Passive Portfolio using Single Index Model and Capital Asset Pricing Model in Indonesia

Abstract

The purpose of this study is to evaluate the performance and return of portfolios with active and passive strategies using the Capital Asset Pricing Model (CAPM) and a single index model in order to create the best possible portfolio for companies that do not consistently appear in the LQ 45 index between 2018 and 2023. Secondary data on the closing stock prices of the stocks in the LQ 45 index, which is reviewed on a daily basis, is used in the research. Using the LQ 45 index, the study tracks the performance and return of these erratic equities across the research period. The results showed that portfolios with a single index model provided higher returns than the Capital asset pricing model and portfolios with active strategies were able to provide greater returns than portfolios with passive strategies but the statistical test results did not show significant differences between them. The findings offer fresh perspectives on how to construct the ideal portfolio utilizing the Single Index Model and CAPM for the LQ 45 index stocks, which saw volatility between 2018 and 2023. The results can serve as a reference for future research and insight for investors in choosing investment strategies in the capital market.