ANALISIS METODE INDEKS TUNGGAL DALAM PEMBENTUKAN PORTOFOLIO OPTIMAL PADA MASA PANDEMI COVID-19

AbstractMany investors are worried about making investment decisions in the midst of the COVID-19 pandemic. Forming a stock portfolio (diversification) can minimize investment risk. The purpose of this study was to determine the value of the profits and risks of the LQ-45 index stocks, and to determine the optimal portfolio during the COVID-19 pandemic. The single index method is used with the assumption that the movement of stock returns is in the same direction as the market index. The sample selection technique used purposive sampling, and obtained seven companies as samples, namely PT. Adaro Energy Tbk (ADRO), PT. Bank Rakyat Indonesia (Persero) Tbk (BBRI), PT. Semen Indonesia (Persero) Tbk (SMGR), PT. Unilever Indonesia Tbk (UNVR), PT. Perusahaan Gas Negara Tbk (PGAS), PT. AKR Corporindo Tbk (AKRA) and PT. Wijaya Karya (Persero) Tbk (WIKA). The results showed that all samples obtained a positive expected return E(Ri), the largest E(Ri) value was obtained by AKRA shares and the smallest E(Ri) value was obtained by UNVR shares. Of the seven samples, only six companies are included in the optimal portfolio, namely PT. AKR Corporindo Tbk, PT. Perusahaan Gas Negara Tbk, PT Bank Rakyat Indonesia (Persero) Tbk, PT. Wijaya Karya (Perser) Tbk, PT. Adaoro Energy Tbk, and PT Semen Indonesia (Persero) Tbk. For the largest proportion of funds obtained by AKRA shares and the smallest proportion obtained by SMGR shares. AbstrakBanyak investor khawatir dalam mengambil keputusan investasi di tengah pandemi COVID-19. Membentuk portofolio saham (diversifikasi) dapat meminimumkan risiko investasi. Tujuan penelitian ini untuk mengetahui besarnya nilai keuntungan dan risiko saham-saham indeks LQ-45, serta menentukan portofolio optimal  di masa  pandemi COVID-19. Metode indeks tunggal digunakan dengan asumsi pergerakan return saham searah dengan indeks pasar. Teknik pemilihan sampel menggunakan purposive sampling, dan diperoleh tujuh perusahaan yang dijadikan sampel yaitu PT. Adaro Energy Tbk (ADRO), PT. Bank Rakyat Indonesia (Persero) Tbk (BBRI), PT. Semen Indonesia (Persero) Tbk (SMGR), PT. Unilever Indonesia Tbk (UNVR), PT. Perusahaan Gas Negara Tbk (PGAS), PT. AKR Corporindo Tbk (AKRA) dan PT. Wijaya Karya (Persero) Tbk (WIKA). Hasil penelitian menunjukan bahwa semua sampel memperoleh nilai expected return E(Ri) yang positif, nilai E(Ri) terbesar diperoleh saham AKRA dan nilai E(Ri) Terkecil diperoleh saham UNVR. Dari tujuh sampel, hanya enam perusahaan yang masuk kedalam portofolio optimal yaitu PT. AKR Corporindo Tbk, PT. Perusahaan Gas Negara Tbk, PT Bank Rakyat Indonesia (Persero) Tbk, PT. Wijaya Karya (Perser) Tbk, PT. Adaoro Energy Tbk, dan PT Semen Indoensia (Persero) Tbk. Untuk proporsi dana terbesar diperoleh saham AKRA dan proporsi terkecil diperoleh saham  SMGR