Analisis Portofolio dengan Single Index Model dalam Upaya Meminimalisir Risiko Investasi di Pasar Modal (Studi pada Perusahaan Sektor Food And Beverages yang Listing di Bursa Efek Indonesia Periode 2011-2013)

摘要

The objectives of research are to understand the optimum composition, return and risk of portfolio which are formed by Single Index Model. Research type is descriptive study with quantitative approach. This research is conducted at Indonesia Stock Exchange (BEI). The population is 16companies with 13samples. Data type is secondary data. Data analysis tool is Single Index Model. Result of analysis in this 2011 indicates that there are 3stocks from Food and Beverage Companies which establish an optimum portfolio. These three stocks are MLBI (5,71%), PSDN (12,87%), and STTP (81,42%). The portfolio established from these stocks has expected return of 6,91% and involves risk of 0,38%. In 2012 there are 6 stocks from Food and Beverage Companies which produce optimum portfolio, which are ICBP (40,32%), AISA (9,89%), MYOR (6,59%), INDF (27,00%), SKLT (8,03%), and ULTJ (8,17%). Portfolio from these stocks can deliver expected return of 3,72% and include risk of 0,06%. In 2013, there are 6 stocks from Food and Beverage Companies which make up the optimum portfolio, which are STTP (11,00%), ULTJ (21,38%), DLTA (51,10%), MLBI (7,13%), ICBP (8,73%), and AISA (0,65%). The portfolio from these stocks may give expected return of 5,46% and have risk rate of 0,29%.