Konstruksi Portofolio Optimal Saham-Saham LQ45 Tahun 2019 di Bursa Efek Indonesia

  • Wibisono Hardjopranoto Jurusan Manajemen, Fakultas Bisnis dan Ekonomika, Universitas Surabaya, Raya Kalirungkut Surabaya, 60293-Indonesia
Abstract Views: 158 PDF Downloads: 83
Keywords: Sharpe’s Single Index Model, Portfolio Analysis, Optimal Portfolio Con-struction, Risk Characteristic Line

Abstract

Abstract—The ideal investment objective is to build an optimal investment portfolio. An investment portfolio that is able to provide maximum return at a certain level of risk. William Sharpe's (1963) Single Index Model (SIM) is a model with simple application, especially when compared to the Markowitz model (1952), mainly because of the consideration of the number of input variables. A simple SIM explains the relationship between market returns (rm) as an independent variable and returns on securities, ri with variations in the risk as the slope characteristic line, βi. The main limitation of MIS is that the risk in investing is represented only by changes in the index that are representative of the market. Using SIM, this study will describe the optimal portfolio construction by selecting LQ45 stocks on the Indonesia Stock Exchange (IDX) in 2019. The implementation of the SIM resulted in 19 LQ45 stocks selected from 45 stocks as optimal portfolio "members", along with the composition the weighting of the investment value starts from the highest weight to the lowest weight. Because using a single index in measuring risk, the application of SIM is aware of its various weaknesses and must be wise in choosing the index as the market. However, the application of SIM can provide valuable lessons for investment management.
Keywords: Portfolio Analysis, Optimal Portfolio, Risk Characteristic Line, Single Index Model

Abstrak—Tujuan investasi yang ideal adalah membangun portofolio investasi yang optimal. Portofolio investasi yang mampu memberikan imbal hasil (return) maksimal pada tingkat risiko tertentu. Single Index Model (SIM) William Sharpe (1963) merupakan model yang aplikasinya sederhana, terutama jika dibandingkan dengan model Markowitz (1952), terutama karena pertimbangan jumlah variabel masukannya. SIM  secara sederhana menjelaskan hubungan antara imbal hasil pasar (market return, rm) sebagai variable bebas dengan imbal hasil sekuritas, ri dengan variasi perubahan risiko berupa slope characteristic line,  Keterbatasan utama SIM adalah karena risiko berinvestasi hanya diwakili satu-satunya oleh perubahan-perubahan indeks tertentu mewakili pasar. Dengan menggunakan SIM, penelitian ini hendak menggambarkan bangunan portofolio optimal dengan memilih saham-saham LQ45 di Bursa Efek Indonesia (BEI) tahun 2019. Penerapan SIM dimaksud menghasilkan 19 saham LQ45 yang terpilih dari 45 saham sebagai “anggota” portofolio optimal, berikut komposisi pembobotan nilai investasinya mulai dari bobot yang tertinggi ke bobot terendah. Karena menggunakan indeks tunggal dalam mengukur risiko, penerapan SIM selain harus menyadari berbagai kelemahannya juga harus benar-benar bijak dalam memilih indeks sebagai pasarnya. Bagaimanapun, penerapan SIM mampu memberikan pelajaran yang sangat berharga bagi manajemen investasi.
Kata kunci: Portfolio Analysis, Optimal Portfolio, Risk Characteristic Line, Single Index Model

Downloads

Download data is not yet available.

References

PUSTAKA ACUAN
Benari, Y 1988, ‘An asset allocation paradigm’, Journal of Portfolio Management, Winter, pp. 22-26.

Bodie, Z, Kane, A, Marcus, AJ, & Mohanty, P 2009, Investments, Tata McGraw Hill Education Private Limited, New Delhi.

Bursa Efek Indonesia (BEI) 2019, Indeks saham, dilihat 7 Mei 2020, https://www.idx.co.id/ produk/indeks/

Chandra, P 2009, Investment Analysis and Portfolio Management (3rd ed), Tata McGraw-Hill Publishing Company Ltd, New Delhi.

Chauhan, AA 2014, ‘A study on usage of Sharpe’s Single Index Model in portfolio construction with reference to Cnx Nifty’, Global Journal of Research Analysis, Vol. 3 No. 10, pp. 92-94.

Elton, EJ et al. 1978, ‘Optimum portfolio from simple ranking devices’, Journal of Portfolio Management, Spring, pp. 15-19.

May, E 2016, 15 September, Mengenal LQ 45, dilihat 7 Mei 2020, https://finance.detik.com/bursa-dan-valas/d-3298411/mengenal-lq-45

McAleer, M & Da Veiga, B 2008, ‘Single -index and portfolio models for forecasting value- at-risk thresholds’, Journal of Forecasting, Vol. 27, No. 3, p. 217.

Nalini, R 2014, ‘Optimal portfolio construction using Sharpe’s Single Index Model-A study of selected stocks from BSE’, International Journal of Advanced Research in Management and Social Sciences, Vol. 3, No. 12, pp. 72-93.

Reilly, FK & Brown, KC 2006, Investment analysis and portfolio management, CENGAGE Learning, New Delhi.

Sharpe, WF 1963, ‘A simplified model for portfolio analysis’, Management Science, Vol. 9, No. 2, pp. 277-293.
Sinaee, H & Moradi, 2010, ‘Risk-return relationship in Iran stock market’, International Research Journal of Finance and Economics, Vol. 41, pp. 10-17.

Yahoo! Finance, 2020, dilihat 11 Maret 2020, https://finance.yahoo.com/quote/^JKLQ45?p=^JKLQ45&.tsrc=fin-srch

BIBLIOGRAFI
Diksha P, n.d., Sharpe theory of portfolio management: Financial economics, dilihat 7 Mei 2020, http://www.economicsdiscussion.net/portfolio-management/theories-portfolio-management/sharpe-theory-of-portfolio-management-financial-economics/29763

Mandal, N 2013 March, ‘Sharpe’s Single Index Model and it’s application to construct optimal portfolio: An empirical study’, Great Lakes Heral, Vol. 7, No. 1.
Published
2020-10-28
How to Cite
Hardjopranoto, W. (2020). Konstruksi Portofolio Optimal Saham-Saham LQ45 Tahun 2019 di Bursa Efek Indonesia. KELUWIH: Jurnal Sosial Dan Humaniora, 1(2), 68-84. https://doi.org/10.24123/soshum.v1i2.2866
Share |