Analysis of Optimal Portfolio Formation Using a Single Index Model as a Basis for Investment Decision Making [Study on the Jakarta Islamic Index (JII) 2015-2017]
Analisis Pembentukan Portofolio Optimal Menggunakan Model lndeks Tunggal Sebagai Dasar Pengambilan Keputusan Investasi [Studi Pada Jakarta Islamic Index (JII) Tahun 2015-2017]
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(1) * Ayun Niyawati
Universitas Muhammadiyah Sidoarjo
Indonesia
(2) Wisnu Panggah Setiyono Universitas Muhammadiyah Sidoarjo
Indonesia
(*) Corresponding Author
Abstract
The aim of this research is to know the performance ofstocks that become the member ofJakarta Islamic Index (JII) and determine what stocks are part of the optimal portfolio. This research is a quantitative descriptive study. The technique of taking samples is using purpose sampling techniques, with determined criteria. The population needed in this study is 42 stocks. After doing the sampling purposes, the sample is 20 stocks. The analysis technique used is the Single Index Model. The results of this study reveal that there are 5 stocks which eligible to become optimal portfolio members. These shares are UNTR, AKRA, UNVR, TLKM, and ADRO. Then the proportion offunds in each consecutive share is 31.58%, 15.18%, 28.02%, 17.7% and 7.52%. While the portfolio of the portfolio formed (expected portfolio return) is 0. 0203 or 2. 03% with portfolio risk of0. 0006 or 0. 06%.
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Copyright (c) 2021 Ayun Niyawati, Wisnu Panggah Setiyono
This work is licensed under a Creative Commons Attribution 4.0 International License.
