OPTIMIZATION OF THE LQ45 INDEX STOCK PORTFOLIO ON THE INDONESIAN STOCK EXCHANGE USING THE SINGLE INDEX MODEL

Abstract

The objective of this research is to ascertain the optimal stock portfolio employing the Single Index Model within the context of the LQ45 Index, which is listed on the Indonesia Stock Exchange (IDX), during the period spanning from 2018 to 2021. This investigation employs quantitative descriptive methodologies alongside purposive sampling. The research findings reveal that, among the 28 stocks consistently included as subjects of study, seven stocks have been identified as falling within the category of an optimal portfolio. These stocks encompass Bank Central Asia Tbk. (BBCA), Aneka Tambang (Persero) Tbk. (ANTM), Bukit Asam Coal Mine Tbk. (PTBA), Adaro Energy Tbk. (ADRO), Vale Indonesia Tbk. (INCO), Bank Rakyat Indonesia (Persero) Tbk. (BBRI), and Telekomunikasi Indonesia (Persero) Tbk. (TLKM), all of which demonstrate the highest values of Excess Return to Beta (ERB). Notably, BBCA shares, predominantly engaged in the domain of banking and related financial services, represent the most substantial proportion of the investment portfolio. These shares, distinguished by their considerable asset value and share capitalization, claim a prominent position. The composite portfolio comprised of these seven stocks yields the highest anticipated return while upholding a specific risk level, thereby classifying it as the optimal portfolio category. These outcomes substantiate that the optimal portfolio emerges from a diversified amalgamation of stocks spanning distinct sectors, specifically encompassing financial services, mining, and infrastructure (telecommunications).