Analysis of the Optimal Portfolio Formation of a Single Index Model for Making Investment Decisions on the Indonesia Stock Exchange on LQ-45 Stock

Abstract

The purpose of this research is to analyze optimal portfolio with a model of single index model for investment decision at BEI on stock LQ-45.This research is  comparative descriptive research. The population in this study is included in the LQ-45 from August 2012 to July 2017. Sample selection technique used is purposive sampling. This study uses secondary data published through Yahoo Finance and BI. Obtained a sample size of 21 company shares of 76 shares of the company. The analysis method used is Portfolio Analysis of an optimal model of single index with excel and independent sample test with SPSS. The results of this study conclude (1) 7 stocks enter into the portfolio candidate ad the proportion is ICBP (28.8%), AKRA (16.5%), BBCA (29.3%), UNVR (15.3%), BBRI (6.4%), ADRO (1.7%),  dan BBNI (2%)(2) There is a difference in return rates between the portfolio candidates with the non- portfolio candidates (3) There is no difference in risk rate between the portfolio candidates and non-portfolio candidates (4) There is no difference in average trading volume between the portfolio candidates with non-portfolio candidates.