Optimal Portfolio Formation Using Single Index Model on the IDX80 Index for the Period February 2021 – May 2022
Abstract
The policy of the Central Bank of the United States (US), namely the Fed, in raising its benchmark interest rate, has increased the risk of volatility in global markets and triggered negative sentiment for foreign investors in Indonesia. Foreign investors began to relinquish their ownership up to Rp 3.19 trillion. This caused the risk of falling prices. Therefore, investors need to diversify through the formation of an optimal portfolio to minimize risk and maximize return. This study aims to analyze the formation of the optimal portfolio on the IDX80 index for the period February 2021 - May 2022. This type of research is descriptive using quantitative methods. The sample of this research used a purposive sampling technique. This study uses secondary data with data collection methods, namely documentation and literature study. The data analysis method in this study is a single index model. The results showed that of the 53 stock samples, there were 19 optimal stocks. The expected return portfolio level is 0.20% in one day, while the portfolio risk level is 0.05%.
References
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Indonesia. Retrieved June 03, 2022, from Sindonews.com: https://ekbis.sindonews.com/read/765763/178/efek-domino-kenaikan-suku-bunga-the-fed-terhadap-pasar-modal-indonesia-1652191501
Bank Indonesia. (2021). Laporan Tahunan Bank Indonesia 2021. Jakarta: Bank Indonesia. Retrieved from https://www.bi.go.id/id/publikasi/laporan/Documents/LTBI-2021_.pdf.
CNBC Indonesia. (2022, April 13). Pecah Rekor Sejak 1981, Inflasi AS Tembus 8,5%. Retrieved June 03, 2022, from CNBC Indonesia: https://www.cnbcindonesia.com/news/20220413093032-8-331223/pecah-rekor-sejak-1981-inflasi-as-tembus-85
CNN Indonesia. (2022, May 05). The Fed Naikkan Suku Bunga AS Tertinggi Sejak 2000 Demi Tekan Inflasi. Retrieved June 03, 2022, from CNN Indonesia: https://www.cnnindonesia.com/ekonomi/20220505022348-532-793088/the-fed-naikkan-suku-bunga-as-tertinggi-sejak-2000-demi-tekan-inflasi
Dirgantara, H. (2022, May 09). Mengintip Pengaturan Portofolio Investasi di Tengah Tren Kenaikan Suku Bunga. Retrieved June 03, 2022, from Investasi Kontan: https://investasi.kontan.co.id/news/mengintip-pengaturan-portofolio-investasi-di-tengah-tren-kenaikan-suku-bunga
Dwipradnyana, I. M., Gusti, P. I., & Diatmika, I. G. (2021, September). ANALISIS RASIO RENTABILITAS PERUSAHAAN AGRIBISNIS DI BURSA EFEK INDONESIA (BEI) SEBELUM DAN SESUDAH PANDEMI COVID-19. Majalah Ilmiah Untab, 18(02), 255-260.
Febrianti, S., & Marjono, A. T. (2021). Pembentukan Portofolio Optimal Saham Syariah yang Terdaftar di JII dengan Metode Single Index Model. Jurnal Ilmiah Ekonomi Islam, 7(3), 1895-1904.
Hartono, J. (2017). Teori Portofolio dan Analisis Investasi, Edisi 11. Yogyakarta: BPFE.
Hema, Y. (2022, May 08). Kenaikan Suku Bunga The Fed Berdampak pada IHSG, Ini Saran Analis untuk Investor. Retrieved June 03, 2022, from Investasi Kontan: https://investasi.kontan.co.id/news/kenaikan-suku-bunga-the-fed-berdampak-pada-ihsg-ini-saran-analis-untuk-investor
Iryani. (2019). ANALISIS PORTOFOLIO OPTIMAL PADA SAHAM LQ 45 PERIODE 2017-2018. AKMEN Jurnal Ilmiah, 16(4), 493-503.
Kusnandar, V. B. (2022, May 09). Redam Inflasi AS, The Fed Naikkan Suku Bunga Acuan Secara Agresif 50 Bps. Retrieved June 03, 2022, from Databooks: https://databoks.katadata.co.id/datapublish/2022/05/09/redam-inflasi-as-the-fed-naikkan-suku-bunga-acuan-secara-agresif-50-bps
Malik, A. (2022, May 27). Begini Pengaruh Kenaikan Suku Bunga Acuan Bank Sentral ke Reksadana. Retrieved June 03, 2022, from Bareksa: https://www.bareksa.com/berita/reksa-dana/2022-05-27/begini-pengaruh-kenaikan-suku-bunga-acuan-bank-sentral-ke-reksadana
Nurlaeli, S., & Artati, D. (2020). Analisis Kinerja Portofolio Saham dengan Metode Sharpe, Treynor, dan Jensen (Saham IDX30 Tahun 2015 sampai 2019). Jurnal Ilmiah Mahasiswa Manajemen, Bisnis dan Akuntansi, 02(06), 972-990.
Oktaviani, B. N., & Wijayanto, A. (2015). APLIKASI SINGLE INDEX MODEL DALAM PEMBENTUKAN PORTOFOLIO OPTIMAL SAHAM LQ45 DAN JAKARTA ISLAMIC INDEX. Management Analysis Journal, 04(01), 189-202.
Prasetyo, I. F., & Suarjaya, A. A. (2020). Pembentukan Portofolio Optimal dengan Menggunakan Model Indeks Tunggal. E-Jurnal Manajemen, 09(02), 553-575.
Sekaran, U., & Bougie, R. (2016). Research Methods for Business : A Skill-Building Approach. United Kingdom: John Wiley & Sons.
Sugiyono, P. D. (2017). Metode Penelitian Kuantitatif, Kualitatif dan R&D. Bandung: Alfabeta.
Tandelilin, E. (2017). Pasar Modal : Manajemen Portofolio & Investasi. Yogyakarta: PT Kanisius.
Wakidah, A. (2022, March 17). Pengertian dan Kurva Permintaan Investasi Perekonomian. Retrieved June 03, 2022, from Tirto.id: https://tirto.id/pengertian-dan-kurva-permintaan-investasi-perekonomian-gpYD
Published
2022-12-30
How to Cite
ISTIQOMAH, Ananda Nadya; WARSINI, Sabar.
Optimal Portfolio Formation Using Single Index Model on the IDX80 Index for the Period February 2021 – May 2022.
SAR (Soedirman Accounting Review) : Journal of Accounting and Business, [S.l.], v. 7, n. 2, p. 111-127, dec. 2022.
ISSN 2598-0718.
Available at: <https://jos.unsoed.ac.id/index.php/sar/article/view/7053>. Date accessed: 01 july 2025.
doi: https://doi.org/10.32424/1.sar.2022.7.2.7053.
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Articles
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