Analisis Pembentukan Portofolio Optimal Pada Saham Indeks Idx Lq45 Low Carbon Leaders

Abstract

Penelitian ini bertujuan untuk menganalisis pembentukan portofolio optimal pada saham-saham indeks LQ45 Low Carbon Leaders (LCL) periode November 2020 hingga 2023. Metode yang digunakan meliputi Single Index Model (SIM) dan Capital Asset Pricing Model (CAPM). Pada model SIM, portofolio optimal terdiri dari 5 saham: Aneka Tambang Tbk (4,95%), Bank Central Asia Tbk (31,34%), Bank Rakyat Indonesia Tbk (9,58%), Bank Mandiri Tbk (44,84%), dan Medco Energi Internasional Tbk (9,28%) dengan return 0,0174 dan risiko 0,0061. Sementara itu, model CAPM menghasilkan portofolio dengan 8 saham, antara lain: Aneka Tambang Tbk (3,81%), Bank Central Asia Tbk (24,08%), Bank Rakyat Indonesia Tbk (7,36%), Bank Mandiri Tbk (34,45%), Indofood CBP Sukses Makmur Tbk (7,50%), Medco Energi Internasional Tbk (7,13%), Tower Bersama Infrastructure Tbk (7,53%), dan Chandra Asri Petrochemical Tbk (8,14%) dengan return 0,0045 dan risiko 0,0029. Evaluasi kinerja menunjukkan bahwa portofolio SIM lebih unggul dengan Indeks Sharpe 2,2722, Indeks Treynor 0,0125, dan Indeks Jensen 0,013 dibandingkan portofolio CAPM.

This study aims to analyze the formation of an optimal portfolio from the IDX LQ45 Low Carbon Leaders (LCL) stocks for the period from November 2020 to 2023. The methods used include the Single Index Model (SIM) and the Capital Asset Pricing Model (CAPM). Under the SIM, the optimal portfolio consists of 5 stocks: Aneka Tambang Tbk (4.95%), Bank Central Asia Tbk (31.34%), Bank Rakyat Indonesia Tbk (9.58%), Bank Mandiri Tbk (44.84%), and Medco Energi Internasional Tbk (9.28%), with a return of 0.0174 and a risk of 0.0061. In contrast, the CAPM results in an optimal portfolio comprising 8 stocks: Aneka Tambang Tbk (3.81%), Bank Central Asia Tbk (24.08%), Bank Rakyat Indonesia Tbk (7.36%), Bank Mandiri Tbk (34.45%), Indofood CBP Sukses Makmur Tbk (7.50%), Medco Energi Internasional Tbk (7.13%), Tower Bersama Infrastructure Tbk (7.53%), and Chandra Asri Petrochemical Tbk (8.14%), with a return of 0.0045 and a risk of 0.0029. Performance evaluation shows that the SIM portfolio is superior with a Sharpe Index of 2.2722, Treynor Index of 0.0125, and Jensen Index of 0.013 compared to the CAPM portfolio.