Abstract
As social insurance company of the Republic of Indonesia, PT ABC (Persero) has a captive market based on the provisions of Undang-undang in Indonesia. The company has managed funds from the government, and is one of the four insurance products in the company, into an investment portfolio. As one of the company’s revenue generator, PT ABC needs to put the fund into investment instruments that have higher returns to meet the needs of the company, one of which is through stock investment. The formation of stock portfolio is carried out through an optimum portfolio approach by using single index model method. This is a quantitative descriptive research using analysis tools and data processing by Microsoft Excel software. Portfolios are formed into several scenarios by considering the composition of the current portfolio in one of the company’s products and stock price movements in Indonesia. The data used in this study are historical data on daily stock movements for the five years of the 2014-2018 trading period and historical data on the investment portfolio for XYZ products in 2018. From this research, 2 strategic plans for forming company portfolios and 1 recommendation of stocks are produced that have good resilience during a pandemic. The results of the calculations are expected to be taken into consideration by the company in the formation of future company portfolios
Highlights
has a captive market based on the provisions of Undang-undang
PT ABC needs to put the fund into investment instruments that have higher returns to meet the needs of the company
of which is through stock investment
Summary
Volatilitas sendiri merupakan fluktuasi atas return-return suatu sekuritas atau portofolio pada suatu periode waktu tertentu, sedangkan Confidence level mengacu pada ukuran kepercayaan atas level probabilitas terjadinya estimasi nilai X dalam suatu parameter. 1. Beta dari portofolio (βp) merupakan rata-rata tertimbang dari Beta masing-masing emiten. 2. Alpha dari portfolio (αp) merupakan rata-rata tertimbang dari Alpha tiap-tiap emiten (αi): ap. 3. Return Ekspektasian dari portofolio atas ratarata tertimbang dari return ekspektasian individual saham
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