ANALISIS PEMBENTUKAN PORTOFOLIO DENGAN MENGGUNAKAN MODEL MARKOWITZ DAN SINGLE INDEX MODEL PADA SAHAM YANG MASUK DALAM INDEKS LQ45 DI BURSA EFEK INDONESIA TAHUN 2009-2013

Abstract

The purpose of the study is to determine the model of the most efficient stock portfolio. Researchers compared two calculations is forming portfolios using Markowitz model and Single Index Models that can be used by investors or other users in making an investment in a healthy manner. This study was performed using stocks into LQ45 the period 2009 to 2013, and also using the Microsoft Excel program. The results showed that the calculation of the most efficient portfolio formation is use a Single Index Model that produces 11 stocks that AALI with the fund proportion 10%, BBCA with the fund proportion 16%, BBNI with the fund proportion 8%, BDMN with the fund proportion 1%, BMRI the fund proportion 10%, INDF with the fund proportion 18%, ITMG with the fund proportion 5%, LSIP with the fund proportion 1%, PGAS with the fund proportion 4%, SMGR with the fund proportion 17%, and UNTR the fund proportion by 10%, resulting the return 2.753%, Expected Return 0.596% and Risk 0.0264%.