Open AccessOptimal Portfolio of Liquid 45 Stocks: Single Index Model Approach
Author(s) -
Abd Muhni Salam,
Augustina Kurniasih
Publication year - 2021
Publication title -
international journal of science and society
Language(s) - English
Resource type - Journals
ISSN - 2715-8780
DOI - 10.54783/ijsoc.v3i3.354
Subject(s) - treynor ratio , portfolio , single index model , econometrics , sharpe ratio , rate of return on a portfolio , index (typography) , risk–return spectrum , stock (firearms) , stock market index , actuarial science , statistics , sample (material) , portfolio optimization , economics , mathematics , stock market , financial economics , computer science , geography , context (archaeology) , chemistry , archaeology , chromatography , world wide web
The purpose of this study is to analyze the return, risk, and optimal portfolio performance of LQ45 stocks formed by a single index model in the period August 2017-January 2020. This research is a descriptive study with a quantitative approach. The data collection technique used is documentation study. Based on the results of the calculation, it is found that out of 33 stocks that met the sample criteria, 3 stocks were selected to compile the optimal portfolio, namely BRPT, ICBP, and BBCA stocks. The stock had expected returns of 5.50%, 1.34%, and 2.02%, respectively, whit a risk of 12.87%, 4.75%, and 4.08%, respectively. The optimal portfolio formed has expected return of 2.60% and risk of 4.05%. After measuring performance with the Sharpe, Treynor, & Jensen approach, it is found that the performance of the portfolios that is formed is better than market performance.