ANALISIS INVESTASI PORTOFOLIO OPTIMAL SAHAM SYARIAH DENGAN MENGGUNAAN MODEL MARKOWITZ DAN SINGLE INDEX MODEL (Studi Pada Saham Perusahaan Yang Terdaftar Di JakartaxIslamic Index (JII) Periode Desember 2012- Mei 2015)

Abstract

The purpose of this study was to determine the optimal portfolio using Markowitz Model and Single Index Model. This type of research used in this research is descriptive research with quantitative approach. Samples taken as many as 21 shares of companies listed in the Jakarta Islamic Index (JII). The analysis showed that of the 21 samples contained 8 shares of companies that form the optimal portfolio based on the Markowitz model with the funding mix (AALI) of 2.88%, (ICBP) of 3.23%, (INDF) amounted to 30.93%, (LSIP ) 0.46%, (PGN) of 6.04%, (SMGR) amounted to 11.88%, (UNTR) amounted to 26.48%, (UNVR) amounted to 18.10%, which resulted in the expected return of the portfolio amounted to 0 , 01335 with a risk portfolio that is formed by 0.00105. Based on the Single Index Model there are nine (9) shares that form the optimal portfolio with the composition of the fund (UNTR) amounted to 17.15%, (UNVR) was 2.77%, (AALI) amounted to 10.85%, (KLBF) by 39, 11%, (ICBP) of 0.88%, (INDF) 15.95% (BSDE) amounted to 12.79%, (LSIP) of 0.14%, and (AKRA) 0.36% that generate return the expected amounting to 0.01878 to 0.00097of portfolio risk.

Keywords: Portofolio optimal, Model Markowitz, Single Index Model

ABSTRAK

Tujuan penelitian ini adalah untuk mengetahui portofolio optimal yang dibentuk menggunakan Model Markowitz dan Single Index Model. Penelitian deskriptif dengan pendekatan kuantitatif adalah jenis penelitian yang digunakan dalam penelitian ini. Sampel yang diambil sebanyak 21 saham perusahaan yang terdaftar di Jakarta Islamic Index (JII). Hasil analisis menunjukkan bahwa dari 21 sampel terdapat 8 saham perusahaan yang membentuk portofolio optimal berdasarkan Model Markowitz dengan komposisi dana (AALI) sebesar 2,88%, (ICBP) sebesar 3,23%, (INDF) sebesar 30,93%, (LSIP) sebesar 0,46%, (PGAS) sebesar 6,04%, (SMGR) sebesar 11,88%, (UNTR) sebesar 26,48%, (UNVR) sebesar 18,10%, yang menghasilkan return ekspektasian portofolio sebesar 0,01335 dengan risiko portofolio yang terbentuk sebesar 0,00105. Berdasarkan Single Index Model terdapat sembilan (9) saham yang membentuk portofolio optimal dengan komposisi dana (UNTR) sebesar 17,15%, (UNVR) sebesar 2,77%, (AALI) sebesar 10,85%, (KLBF) sebesar 39,11%, (ICBP) sebesar 0,88%, (INDF)15,95%, (BSDE) sebesar 12,79%, (LSIP) sebesar 0,14%, dan (AKRA) sebesar 0,36% yang menghasilkan return ekspektasian sebesar 0,01878 dengan risiko portofolio sebesar 0,00097.

Kata kunci: Portofolio optimal, Model Markowitz, Single Index Model