Analysis of the Application of the Single Index Model in the Formation of the Optimal Portfolio on Idxbumn20 Stock in The Pandemic Period (April 2020-June 2021 Period)

Ayu, Nurahmawati (2022) Analysis of the Application of the Single Index Model in the Formation of the Optimal Portfolio on Idxbumn20 Stock in The Pandemic Period (April 2020-June 2021 Period). Undergraduate thesis, Uniiversitas 17 Agustus 1945 Surabaya.

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Abstract

ANALYSIS OF THE APPLICATION OF THE SINGLE INDEX MODEL IN THE FORMATION OF THE OPTIMAL PORTOFOLIO ON IDXBUMN20 STOCK IN THE PANDEMIC PERIOD (APRIL 2020-JUNE 2021 PERIOD) Investors are always looking for the best stock with a high return when it comes to investing. The goal of this research is to use the single index approach to establish the best stock portfolio on the Indonesia Stock Exchange using IDXBUMN20 stocks. This research is during pandemic era, it covers the period from April 2020 to June 2021, which is when the pandemic is expected to occur. This research is based on numbers. This research is quantitative research. The population in this research is IDXBUMN20 stock, which totals are 20 stocks. The sampling technique in this research is saturated sampling or total sampling which 20 IDXBUMN20 stocks are sampled in this research. This research uses descriptive research to examine IDXBUMN20 stocks on the Indonesia Stock Exchange in order to combine stocks into an optimal portfolio with the appropriate proportion of funds, as well as portfolio returns and risks determined from the optimal portfolio using the Single Index approach. From the 20 stocks analyzed, 7 belong into the optimal portfolio category, with proportions of funds from PTBA (132.24 percent), WIKA (-4.61 percent), TINS (-600.05 percent), SMBR (-18.65 percent), SMGR (57.82 percent), WSKT (-6.75 percent), and PTPP (-0.01 percent). Return portfolio formed is equal to -0.082401654 or -8.24 percent which is smaller than individual stock returns. Then the portfolio risk formed is -0.177240262 or -17.72 percent. The portfolio risk is then -0.177240262 or -17.72 percent, implies that the value is smaller than the individual risk of each stock.

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