Optimal Portfolio of Liquid 45 Stocks: Single Index Model Approach

  • Abd Muhni Salam Mercu Buana University Jakarta, Indonesia
  • Augustina Kurniasih Mercu Buana University Jakarta, Indonesia
Keywords: Optimal Portfolio Performance, LQ45, Single Index Model, Optimal Portfolio.

Abstract

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.

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Published
2021-07-06
How to Cite
Salam, A. M., & Kurniasih, A. (2021). Optimal Portfolio of Liquid 45 Stocks: Single Index Model Approach. International Journal of Science and Society, 3(3), 69-84. https://doi.org/10.200609/ijsoc.v3i3.354