Aptisi Transactions on Technopreneurship (ATT) Vol.
4 No.
1 March 2022
P-ISSN: 2655-8807
E-ISSN: 2656-8888
Analysis Investor Index Indonesia with Capital Asset Pricing Model (CAPM) Erry Sigit Pramono1.
Dudi Rudianto2.
Fernando Siboro3.
Muhamad Puad Abdul Baqi 4.
Dwi Julianingsih5 Bakrie University.
Indonesia1,2 University of Raharja.
Indonesia3,4,5 e-mail: admisi@bakrie.
id1,dudi.
rudianto@bakrie.
id2, fernando.
siboro@raharja.
puad@raharja.
info4, dwi.
julianingsih@raharja.
Pramono, .
Rudianto.
Siboro.
Abdul Baqi .
, & Julianingsih.
Analysis Investor Index Indonesia with Capital Asset Pricing Model (CAPM).
Aptisi Transactions on Technopreneurship (ATT), 4.
, 38Ae49.
DOI: https://doi.
org/10.
34306/att.
Abstract This study aimed to compare composition of the optimal portfolio of stocks, the proportion of funds in each of these stocks and calculate risk and return portfolio from Investor33 (INV.
Index and Jakarta Islamic Index (JII) in the research period January 2016-December 2018.
The method used in this research is a quantitative descriptive method.
Sample in this study using purposive sampling were 24 stocks from the INV33 Index and 17 stocks from JII Index.
The results of the study were as follows : .
The optimal portfolio of stocks by using capital asset pricing model from INV33 Index are CPIN (Charoen Pokphand Indonesia Tb.
ITMG (Indo Tambangraya Megah Tb.
BBCA (Bank Central Asia Tb.
UNTR (United Tractor Tb.
, (TLKM) Telekomunikasi Indonesia (Perser.
Tbk.
ICBP (Indofood CBP Sukses Makmur Tb.
BBTN (Bank Tabungan Negara Persero Tbk and from JII Index are ADRO (Adaro Energy Tb.
ICBP (Indofood CBP Sukses Makmur Tb.
INCO (Vale Indonesia Tb.
INDF (Indofood Sukses Makmur Tb.
TLKM (Telekomunikasi Indonesia Persero Tb.
UNTR (United Tractor Tb.
The composition of the proportion of funds in optimal portfolio formed by INV33 Index are BBCA .
,49%).
CPIN .
,11%).
ICBP .
,78%).
ITMG .
,59%).
UNTR .
,95%).
TLKM .
,11%) and BBTN .
,97%) and from JII Index are ICBP .
,96%).
ADRO .
,47%).
UNTR .
,26%).
INCO .
,88%).
TLKM .
,43%) and INDF .
,00%).
The optimal portfolio of stocks return from INV33 Index was greater than stock portfolio return from JII Index and the optimal portfolio of stocks risk from INV33 Index was lower than stock portfolio risk from JII Index.
Keywords: Stock Optimal Portfolio.
Capital Asset Pricing Model.
INV33 Index and JII Index Copyright A 2022 P.
Erry Sigit Pramono1.
Dudi Rudianto2.
Fernando Siboro3.
Muhamad Puad Abdul Baqi 4.
Dwi Julianingsih5 This work is licensed under a Creative Commons Attribution 4.
0 (CC BY 4.
n 35 Introduction The stock portfolio aims to select the most efficient combination of stocks, namely those that provide the greatest expected return in the future with a certain level of risk.
principle, a stock portfolio in addition to maximizing returns also avoids risk because not all stock investments can increase their returns.
The essence of the formation of an efficient and optimal portfolio is to reduce risk by diversifying shares, namely allocating a number of investor funds to various investment alternatives that are negatively correlated with the aim that the funds issued by investors can generate optimal returns.
the definition of a portfolio as a collection of many assets so that exposure to certain assets is limited while Elton et.
stated that a portfolio is a collection of several investment alternatives.
Because investment is a trade-off between return and investment risk (Reilly and Brown, 2.
, the purpose of portfolio formation is to maximize return and minimize risk.
The question that arises is which company shares should be included in the portfolio? Investors must have knowledge in order to be able to determine which company shares will be selected in their portfolio and how much funds will be allocated in each of the selected shares.
There are still many investors who have difficulty choosing stocks to include in their portfolios and the use of funds for each of the selected stocks.
that portfolio analysis can help investors make decisions to choose the optimal stock.
This study uses the CAPM model because CAPM is a model that can describe or predict the reality in a complex market and is a balance model that describes the relationship between risk and return in a simpler way because it only uses one variable .
lso known as the Beta variabl.
to describe risk.
Because the CAPM can describe the relationship between risk and return in a simpler way, each investor can do portfolio analysis himself to find out which portfolio is profitable and how to optimize the returns from a portfolio combination by considering the level of risk of the existing portfolio.
CAPM can help investors in a portfolio by calculating the risk that cannot be diversified and comparing it with the predicted rate of return .
Based on the CAPM, the level of risk and the rate of return is stated to have a positive and linear relationship.
Research on the formation of an optimal portfolio using the Capital Asset Pricing Model has been carried out previously by Sipa .
with the title "Analysis of Optimal Stock Portfolio Formation Using the Capital Asset Pricing Model (Empirical Study on Stocks Included in the LQ 45 Index on the Indonesia Stock Exchang.
" and Sevanya and Abriandi .
with the title "Optimal Portfolio Formation by Using the Capital Asset Pricing Model on the Stocks Incorporated in the LQ 45 Index on the Indonesia Stock Exchange for the 2011-2015 Period".
The research period used in this study is the 2016-2018 period due to the use of the latest data and the time period used for moderate investors is 3 years.
This study aims to compare the composition of the optimal stock portfolio along with the proportion of funds in each stock based on the results of the optimal portfolio formation on the stocks included in the INV33 and JII indexes using the CAPM and to compare returns and risks for each stock included in the index.
INV33 and JII.
Based on the problems above, the researcher is interested in conducting research with the title "Comparative Analysis of Optimal Portfolio Formation with the Capital Asset Pricing Model (CAPM) method on stocks in the Investor33 Index and Jakarta Islamic Index (JII) 2016-201.
Method Some of the previous studies used as a reference in writing this research include the Analysis Investor Index Indonesia With CAPMA n 36 Aptisi Transactions on Technopreneurship (ATT) Vol.
4 No.
1 March 2022
P-ISSN: 2655-8807
E-ISSN: 2656-8888
No.
Researcher Title Result Sipa.
Alfinia Ahmad Analysis of Optimal Stock Portfolio Formation Using Capital Asset Pricing Model (Empirical Study on Stocks Included in the LQ 45 Index on the Indonesia Stock Exchang.
The results showed the selection of 6 stocks that make up the optimal portfolio of 38 research samples.
The composition of the proportion of funds formed using the JCI as a proxy for market returns is 76% allocated to WSKT shares, 11.
83% allocated to AKRA shares, 14.
55% allocated to BBTN shares, 10.
46% allocated to PTPP shares, 5 .
97% was allocated to TLKM shares, and 3.
43% was allocated to ICBP shares.
The composition of the proportion of funds formed using the LQ 45 index as a proxy for market return 16% allocated to WSKT shares, 11.
44% allocated to AKRA shares, 14.
98% allocated to BBTN shares, 10.
76% allocated to PTPP shares , 7.
73% allocated to TLKM shares, and 3.
allocated to ICBP shares Sevanya,Adelina D.
P Portfolio Establishment Research results show dan Abriandi, .
Optimal by Using Capital the selection of 6 stocks that make Asset up the optimal portfolio of 13 Pricing Model on stocks that research samples.
The portfolios are included in the LQ 45 included include UNVR with a index on the Indonesia Stock proportion of 42.
00% of funds.
Exchange for the 2011-2015 BBCA with a proportion of funds 72%.
BBRI with a proportion of funds of 14.
LPKR with a proportion of funds 34%.
CPIN with a proportion of funds of 7.
68%, and GGRM with the proportion of Fikry Yuliansyah .
Formation Comparison Portfolio With Using the Index Method Sole And Capital Asset Pricing Model (CAPM) (Study on Jakarta Stock Islamic Index (JII) Period Analysis Investor Index Indonesia With CAPMA Hasil penelitian menunjukkan berdasarkan Capital Asset Pricing Model (CAPM) menghasilkan 10 saham perusahaan yang masuk ke dalam portofolio efisien dari 11 saham yang dijadikan sampel.
Saham perusahaan yang masuk ke AU n 37 dalam portofolio efisien yaitu ADRO.
ASII.
ICBP.
INDF.
KLBF.
LSIP.
TLKM.
UNTR.
UNVR.
WIKA dan portofolio optimal berdasarkan Metode Indeks Tunggal dengan menentukan saham yang masuk dalam kandidat portofolio optimal berdasarkan ERB bernilai positif terpilihnya 6 saham dari 11 sampel penelitian sebagai ADRO.
TLKM.
LSIP.
UNTR.
UNVR dan ICBP.
Dari 6 saham kandidat portofolio saham terpilih 2 saham yang masuk portofolio optimal yaitu saham ADRO dan TLKM.
Komposisi proporsi dana yang terbentuk dengan menggunakan indeks JII adalah ADRO dengan proporsi dana sebesar 21,54% dan TLKM dengan proporsi dana sebesar 78,46%.
Sholikah .
Analisis The results of the study show the selection of 10 stocks efisien form an efficient portfolio of dengan 15 research samples.
From 15
Capital Asset Pricing Model company used 10
(CAPM)
dalam companies that include shares memilih undervalued or companies that alternatif investasi terbaik.
have a rate of return (Studi individual share is greater than Perusahaan rate of return that Manufaktur Sektor Industri expected (R.
> E(R.
, and 5 Barang Konsumsi di ISSI companies that include shares Tahun 2016-2.
company that classified as undervalued is PT.
Wilmar Cahaya Indonesia Tbk (CEKA).
Varia Power Laboratoria Tbk (DVLA).
Indofarma (Perser.
Tbk (INAF).
Kimia Farma Tbk (KAEF).
Mandom Indonesia Tbk (TCID).
Martina Berto Tbk (MBTO).
Mustika Ratu Tbk (MRAT).
Unilever Indonesia Tbk (UNVR).
Kedawung Setia Industri Tbk (KDSI) and PT.
Makmur Industri Tbk (LMPI), for undervalued stocks the decision taken is buy the shares.
Share which includes overvalued as many as 5 companies namely.
PT.
Akasha Wira International Tbk Analysis Investor Index Indonesia With CAPMA n 38 Aptisi Transactions on Technopreneurship (ATT) Vol.
4 No.
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P-ISSN: 2655-8807
E-ISSN: 2656-8888
(ADES).
PT.
Indofood CBP Sukses Makmur Tbk (ICBP).
Sido Herbal and Pharmaceutical Industry Muncul Tbk (SIDO).
Mustika Ratu Tbk (MRAT), and PT.
Kedaung Indah Tbk (KICI), for shares that are overvalued, the decision taken is to sell shares.
Susanti .
Analisis Penggunaan Capital The results of the study show Asset Pricing Model (CAPM) the selection of 8 stocks Sebagai Dasar Pengambilan form an efficient portfolio of Keputusan Investasi Saham 21 research samples.
Bank Pada Sub Sektor Perbankan di Central Asia Tbk (BBCA).
Bank Bursa Efek Indonesia (BEI) Bukopin Tbk (BBKP).
Bank periode 2011 Ae 2014 Negara Indonesia (Perser.
Tbk (BBNI).
Bank Rakyat Indonesia (Perser.
Tbk (BBRI).
Bank Tabungan Negara (Perser.
Tbk (BBTN).
Bank Jabar Banten (BJBR).
Bank Mandiri (Perser.
(BMRI) and Bank Woon Brothers Indonesia 1906 Tbk (SDRA), the decision taken is take or buy and There are 13 company shares which is inefficient, namely the Bank MNC International Tbk (BABP).
Bank Danamon Indonesia Tbk (BDMN).
Bank Pundi Indonesia Tbk (BEKS).
Bank Bumi Artha Tbk (BNBA).
Bank CIMB Niaga Tbk (BNGA).
Bank Maybank indonesia Tbk (BNII).
Bank Permata Indonesia (BNLI).
Bank Sinar Mas Tbk (BSIM).
Bank National Pension Savings Tbk (BTPN).
Bank Victoria International Tbk (BVIC).
Bank Artha Graha Internasional Tbk (INPC).
Bank OCBC NISP Tbk (NISP), and Bank Pan Indonesia Tbk (PNBN) Saputra,Wildan Deny, al .
Penggunaan Metode Capital The results of the study show that Asset Pricing Model (CAPM) from Dalam Menentukan Saham Of the 37 company stocks Efisien (Studi Pada Saham- sampled, there are 21 company Analysis Investor Index Indonesia With CAPMA n 39 Saham Perusahaan Yang stocks that are included in the Terdaftar Di Indeks Kompas efficient stock group, namely 100 Periode 2010-2.
AALI.
AKRA.
ASRI.
BBCA.
BBKP.
BBNI.
BMRI.
BWPT.
CPIN.
GGRM.
GJTL.
INDF.
INTP.
JSMR.
KLBF.
LPKR.
MNCN .
PGAS.
PTPP.
SMGR.
UNVR and 16 shares of companies that are included in the group of inefficient shares, namely ADRO.
ANTM.
ASII.
BBRI.
BBTN.
BDMN.
INCO.
INDY.
ITMG.
LSIP.
MEDC.
PTBA.
SGRO.
SMRA.
TLKM.
UNTR Kanta Giri.
Laxmi dan Optimum Portfolio The results show that from the Parhi.
Gayadhar.
Construction Using Single optimal portfolio using the Single Index Model Index Model with the aim of building an optimal portfolio and determining the weight of each stock in the optimal portfolio, it produces 5 stocks that can be used as portfolio candidates from a total of 50 stocks.
be sampled in the optimal Of the 5 stocks, there are 4 stocks originating from the pharmaceutical sector and 1 stock originating from the infrastructure sector which can be concluded that stocks from the pharmaceutical sector are stronger to be used as an optimal portfolio The differences between this research and previous research are:
The research was conducted on stocks listed on the Investor Index 33 (INV.
and the Jakarta Islamic Index (JII).
The period used for research is the period 2016-2018 Result 1 Result Data analysis in this study was conducted by analyzing the formation of a stock portfolio and hypothesis testing analysis.
Where the analysis of optimal portfolio formation using the Capital Asset Pricing Model (CAPM) method which then calculates the optimal portfolio return and risk.
The description of the analysis of the results of this study begins with the formation of a stock portfolio, calculating the proportion of shares, calculating the return and risk of a stock portfolio and testing hypotheses.
2 Individual Shares of Return (R.
The rate of return on individual shares is the amount of real profit received by investors when investing in shares.
The rate of return of shares is based on the monthly Analysis Investor Index Indonesia With CAPMA n 40 Aptisi Transactions on Technopreneurship (ATT) Vol.
4 No.
1 March 2022
P-ISSN: 2655-8807
E-ISSN: 2656-8888
closing price of companies listed on the INV33 and JII Indexes for 2016-2018.
Monthly closing price data .
losing pric.
is taken from the website w.
Table 1.
Stock Return and Stock Variance List Ae INV33 .
Index No.
Code
Name
1 AALI
Astra Agro Lestari Tbk -0,003201 0,007483 2 AKRA AKR Corporindo Tbk -0,011242 0,005767 3 AMRT Sumber Alfaria Trijaya Tbk 0,016257 0,005815 4 ASII Astra International Tbk 0,010304 0,002935 5 BBCA Bank Central Asia Tbk 0,019776 0,002047 6 BBNI Bank Negara Indonesia (Perser.
Tbk 0,018720 0,005583 7 BBTN Bank Tabungan Negara (Perser.
Tbk 0,024559 0,011336 8 BSDE Bumi Serpong Damai Tbk -0,007053 0,005807 9 CPIN Charoen Pokphand Indonesia Tbk 0,032992 0,008879 10 ICBP Indofood CBP Sukses Makmur Tbk 0,013498 0,002540 11 INDF Indofood Sukses Makmur Tbk 0,012413 0,004662 12 INTP Indocement Tunggal Prakasa Tbk 0,000606 0,011416 13 ITMG Indo Tambangraya Megah Tbk 0,047665 0,026418 14 JSMR Jasa Marga (Perser.
Tbk -0,003079 0,004854 15 KLBF Kalbe Farma Tbk 0,005617 0,003353 16 PGAS Perusahaan Gas Negara (Perser.
Tbk 0,001997 0,020568 17 PTPP PP (Perser.
Tbk -0,013321 0,013295 18 PWON Pakuwon Jati Tbk 0,009388 0,006485 19 SMGR Semen Indonesia (Perser.
Tbk 0,004604 0,009314 20 SMRA
Summarecon Agung Tbk -0,013724 0,014355 21 TBIG
-0,010102
0,006716
0,006967
0,003329
23 UNVR
Tower Bersama Infrastructure Tbk Telekomunikasi Indonesia (Perser.
Tbk Unilever Indonesia Tbk 0,007319 0,003391 24 UNTR United Tractor Tbk 0,016649 0,006647 22 TLKM Based on table 1.
shows the stock return (R.
and stock variance (E.
during the 2016-2018 period from the INV33 Index.
There are 17 stocks that have a positive average rate of return [(R.
and 7 stocks that have a negative average rate of return [(R.
The highest average rate of return (R.
of the 24 stocks was ITMG at 0.
047665 while the lowest value was INTP at 0.
Meanwhile, the highest stock variance (E.
was ITMG at 0.
026418 while the lowest value was BBCA at 0.
Analysis Investor Index Indonesia With CAPMA n 41 Table 2.
List of Stock Returns and Stock Variances Ae JII Index Kode No.
Nama Emiten
Saham
ADRO
Adaro Energy Tbk.
0,029868
0,011835
AKRA
ASII
AKR Corporindo Tbk Astra International Tbk BSDE
ICBP
Bumi Serpong Damai Tbk Indofood CBP Sukses Makmur Tbk -0,011242 0,010304 -0,007053 0,005767 0,002935 0,005807 0,013498 0,002540 INCO
Vale Indonesia Tbk 0,030180 0,022939 INDF
Indofood Sukses Makmur Tbk 0,012413 0,004662 KLBF
LPPF
PGAS
PTPP
Kalbe Farma Tbk Matahari Department Store Tbk.
Perusahaan Gas Negara (Perser.
Tbk PP (Perser.
Tbk 0,005617 -0,025773 0,001997 -0,013321 0,003353 0,010639 0,020568 0,013295 SMGR Semen Indonesia (Perser.
Tbk SMRA
0,009314
0,014355
TLKM
UNTR
UNVR
Summarecon Agung Tbk Telekomunikasi Indonesia Tbk.
United Tractor Tbk Unilever Indonesia Tbk 0,004604 -0,013724 0,006967 0,016649 0,007319 0,003329 0,006647 0,003391 WIKA Wijaya Karya (Perser.
Tbk.
-0,003236
0,016234
(Perser.
Based on table 2.
shows the stock return (R.
and stock variance (E.
during the 2016-2018 period from the JII Index.
There are 17 stocks that have a positive average rate of return [(R.
and 7 stocks that have a negative average rate of return [(R.
The highest average rate of return (R.
of the 17 stocks was INCO at 0.
030180 while the lowest value was PGAS at 0.
Meanwhile, the highest stock variance (E.
was INCO at 0.
022939 while the lowest value was ICBP at 0.
Table 3.
List of Stock Returns and Stock Variances Ae JII Index Code No.
Name E(R.
AALI Astra Agro Lestari Tbk -0,003201 0,007483 AKRA AKR Corporindo Tbk -0,011242 0,005767 BSDE Bumi Serpong Damai Tbk -0,007053 0,005807 JSMR Jasa Marga (Perser.
Tbk -0,003079 0,004854 PTPP PP (Perser.
Tbk -0,013321 0,013295 SMRA Summarecon Agung Tbk -0,013724 0,014355 TBIG Tower Bersama Infrastructure Tbk -0,010102 0,006716 Based on table 3, it shows that there are 7 stocks that have an average negative rate of return [(R.
from the INV33 Index.
Stocks with an average negative rate of return are not included in the candidate stock portfolio.
2 Discussion of Research Results Analysis Investor Index Indonesia With CAPMA n 42 Aptisi Transactions on Technopreneurship (ATT) Vol.
4 No.
1 March 2022
P-ISSN: 2655-8807
E-ISSN: 2656-8888
Comparison of the optimal stock portfolio composition for stocks included in the Investor33 Index and JII on the Indonesia Stock Exchange in 2016-2018 using the Capital Asset Pricing Model (CAPM) model In the formation of efficient stocks included in INV33 for the January 2016-December 2018 period, 17 samples from 33 stocks included in the INV33 index were used.
Meanwhile, in the formation of efficient stocks that are included in the JII for the January 2016-December 2018 period, 11 samples of 30 stocks included in the JII index are used.
Stocks included in the research sample are stocks that are included in the INV33 and JII indices continuously during the study period.
The data needed in the study, apart from the company stock sample, is also the closing price.
JCI.
INV33.
JII and BI Rate.
For the selection of which stocks are included as efficient and inefficient stocks using the Capital Asset Pricing Model (CAPM) approach and are included in the optimal portfolio formation candidates.
If the stock return (R.
is greater than the expected return [(R.
>(E(R.
], it is categorized as an efficient stock, while if the stock return is less than the expected return [(R.
<(E(R.
], it is categorized as an inefficient stock.
Table 4.
List of Stock Returns and Stock Variances Ae JII Index Indeks INV33 No.
Code Indeks JII E(R.
No.
Code E(R.
1 BBCA
0,01978 0,01000
1 ADRO
0,02987
0,01383
2 BBNI
0,01872 0,01564
2 ICBP
0,01350
0,00772
3 BBTN
0,02456 0,01722
3 INCO
0,03018
0,00923
4 CPIN
0,03299 0,00938
4 INDF
0,01241
0,01073
5 ICBP
0,01350 0,00772
5 TLKM
0,00697
0,00419
6 INDF
0,01241 0,01073
6 UNTR
0,01665
0,00855
7 ITMG
0,04766 0,01621
8 TLKM
0,00697 0,00419
9 UNTR
0,01665 0,00855
Based on table 5.
34 shows the results of efficient stock portfolio calculations based on the INV33 and JII indexes.
The calculation results from the 17 sample stocks there are 9 efficient stocks that have Ri>E(R.
based on the INV33 index and the calculation results from the 11 sample stocks there are 6 efficient stocks that have Ri>E(R.
based on the JII After getting an efficient stock portfolio, the next step is to determine the optimal stock In determining the optimal portfolio are efficient stocks that have ERBOuCi from the calculation results by comparing ERB and Ci.
The Ci calculation is used to determine the Cut Off Point (C*) value which is carried out by observing the maximum Ci value from a series of Ci values.
The value of C* is used to determine which stock limit points are included as optimal portfolio candidates.
The securities that make up the optimal portfolio are those that have an ERB value greater than or equal to the ERB value at point C*.
The securities that have a smaller ERB value with the ERB value at point C* is not included in the formation of the optimal portfolio.
Conclusion Based on the results and discussion of the Capital Asset Pricing Model research Analysis Investor Index Indonesia With CAPMA n 43 method on stocks included in the INV33 Index and the JII Index, the following conclusions can be drawn:
There are 7 stocks that meet the criteria for forming an optimal stock portfolio using the INV33 Index, namely CPIN (Charoen Pokphand Indonesia Tb.
ITMG (Indo Tambangraya Megah Tb.
BBCA (Bank Central Asia Tb.
UNTR (United Tractor Tb.
, (TLKM) Telekomunikasi Indonesia (Perser.
Tbk.
ICBP (Indofood CBP Sukses Makmur Tb.
BBTN (State Savings Bank Persero Tb.
There are 6 stocks that meet the criteria for forming an optimal stock portfolio using the JII Index, namely ADRO (Adaro Energy Tb.
ICBP (Indofood CBP Sukses Makmur Tb.
INCO (Vale Indonesia Tb.
INDF (Indofood Sukses Makmur Tb.
TLKM (Telekomunikasi Indonesia Persero Tb.
UNTR (United Tractor Tb.
The proportion of funds from the optimal portfolio of shares using the INV33 Index is the highest proportion is BBCA and the lowest proportion is BBTN, while the proportion of funds from the optimal portfolio of shares using the JII Index is the highest proportion is ICBP and the lowest proportion is INDF.
There are 3 stocks that are included in the optimal portfolio in both the INV33 index and the JII index, namely UNTR.
TLKM and ICBP.
The banking sector stocks based on the INV33 Index have a majority proportion consisting of BBCA and BBTN while in the JII Index there is no banking sector because they are not included in the criteria of Islamic Sharia The amount of return from the optimal stock portfolio using the INV33 Index is higher than the JII Index and the risk from the optimal stock portfolio using the INV33 Index is lower than the JII Index.
Suggestion After analyzing and discussing the formation of an optimal portfolio using the Capital Asset Pricing Model method on stocks that are included in the INV33 Index and JII Index on the Indonesia Stock Exchange for the period January 2016 Ae December 2018, the suggestions from this research are as follows:
For investors, the results of this study can be used as a consideration in making decisions and stock investment strategies.
For academics, this research can be a reference for the development Analysis Investor Index Indonesia With CAPMA n 44 Aptisi Transactions on Technopreneurship (ATT) Vol.
4 No.
1 March 2022
P-ISSN: 2655-8807
E-ISSN: 2656-8888
of financial management science regarding optimal portfolio analysis with CAPM.
For further research, you can continue this research on optimal portfolio formation using other stock indexes such as Kompas 100
and using weekly stock closing data or with a longer research period References