Analisis Perbandingan Kinerja Portofolio Optimal yang Dibentuk dari Saham Indeks Lq45 dengan Portofolio Reksadana Mandiri Investa Equity Asean 5 Plus

Abstract

The increase in the number of investors becomes a huge potential to increase the capacity of the capital market. Among the instruments of investment in the stock market, shares are the most frequently traded (Ichsan et al., 2013). The participation of local investors in investing in the capital market can not be separated from expectations of profit or return that can be obtained as well as the risks attached to investment instruments. Risks in stock investments can be minimized by reducing them to a minimal point through the process of diversifying stocks by forming a portfolio. This research type is descriptive research with quantitative approach. The stock candidate population used in the formation of the Optimal Portfolio is all of the shares classified into the LQ45 Index. While the sample of stock candidates included in the formation of portfolio is 41 stocks with purposive sampling technique. The type of data used is secondary data with data collection techniques documentation. In forming the portfolio used the single index model and constant correlation model. While to measure the portfolio performance used measurement scale Sharpe Index, Treynor Index and Jensen Alpha. Based on the performance measures of Sharpe Index, Treynor Index and Jensen Alpha, the portfolio formed from LQ45 shares using single index model has lower performance than portfolio performance formed from LQ45 stock by using constant correlation model. Based on Treynor Index performance measure, the portfolio formed from LQ45 stock using single index model has higher performance than Mandiri Investa Equity Asean 5 Plus portfolio. While based on Sharpe Index and Jensen Alpha's performance the portfolio formed from LQ45 stock using single index model has lower performance than Mandiri Investa Equity Asean 5 Plus portfolio. Based on Treynor Index performance measure, the portfolio formed from LQ45 stock using constant correlation model has higher performance than Mandiri Investa Equity Asean 5 Plus portfolio. While based on Sharpe Index and Jensen Alpha's performance the portfolio formed from LQ45 shares using constant correlation model has lower performance than Mandiri Investa Equity Asean 5 Plus portfolio.