DESIGN OF LQ45 STOCK PORTFOLIO (FEBRUARY 2018 – JULY 2018 PERIOD) WITH SINGLE INDEX MODEL IN INDONESIAN STOCK EXCHANGE

• Main Author: NIM 13414035, MICHELLE
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/28910
• Institution: Institut Teknologi Bandung

Stock is an attractive instrument of investment because it provides high return. High returns are followed by high risks, so that many investors experience losses. Theoretically, returns are directly proportional to risks. It means that assets with high returns will also pose a high risk. Risks can be reduced by stock diversification, which is a distribution of investment in several stocks through a design of stock portfolio. Stock portfolios that can be designed contain one optimal portfolio. Optimal portfolio is a portfolio that provides a maximum expectation return and minimum of risk. <br /> <br /> In this study, the optimal portfolio will be carried out using single index model. Besides that, there will be a calculation of cost requirements to form the portfolio. Design of stock portfolio is aimed for investors who have funds of 10 million rupiah. Portfolio with cost limit is formed through elimination of shares from optimal portfolio. The less the amount of assets in the portfolio, the cheaper the portfolio. The eliminated shares are determined based on the smallest level of excess return to beta. Excess return to beta is a comparison of the rate of return to risk. The smaller the value of excess return to beta, the smaller the rate of return and the greater the risk of an asset. <br /> <br /> The result of optimal portfolio design consists of INDY (19.73%), INCO (34.69%), PTBA (34.40%), BMTR (3.98%), ICBP (7.17%) and MYRX (0.04%). Fund needed to form an optimal portfolio is Rp 4,061,317,100. Furthermore, the result of portfolio design with cost limitation consists of INDY (21.26%), INCO (37.38%), PTBA (37.07%) and BMTR (4.29%). Fund needed to form limited cost portfolio is Rp 8,885,000.