STUDY KOMPARATIF KINERJA PORTOFOLIO OPTIMAL SAHAM LQ45 DAN 50 MOST ACTIVE STOCKS BY TRADING FREQUENCY

STUDY KOMPARATIF KINERJA PORTOFOLIO OPTIMAL SAHAM LQ45 DAN 50 MOST ACTIVE STOCKS BY TRADING FREQUENCY Surya Darmitha1 I.B Anom Purbawangsa2 1,2Fakultas Ekonomi dan Bisnis Universitas Udayana (Unud), Bali, Indonesia E-mail: suryadarmitha.sd@gmail.com/ telp: +62 81 236 069 604 ABSTRAK Tujuan penelitian ini adalah untuk membandingkan kinerja portofolio optimal dari saham- saham indeks LQ-45 dan 50 Most Active Stocks by Trading Frequency di Bursa Efek Indonesia. Populasi dalam penelitian ini adalah 58 emiten yang konsisten masuk ke dalam indeks LQ-45 dan 50 Most Active Stocks by Trading Frequency periode Februari 2013 – Januari 2016. Teknik penentuan sampel menggunakan sampling jenuh dimana semua anggota populasi digunakan sebagai sampel. Metode observasi digunakan dalam penelitian ini untuk pengumpulan data. Penelitian ini menggunakan Model Indeks Tunggal dalam membentuk portofolio dan Indeks Sharpe dalam mengukur kinerja portofolio yang dibentuk. Hasil penelitian ini menunjukan bahwa pada dasarnya kedua indeks pembentuk portofolio optimal memiliki kinerja portofolio lebih besar dari return market, namun secara absolut nilai kinerja indeks LQ-45 lebih besar dibandingkan dengan nilai kinerja 50 Most Active Stocks by Trading Frequency. Kata kunci: model indeks tunggal, indeks sharpe, lq-45, 50 most active stocks by trading frequency ABSTRACT The purpose of this study is to compare the performance of the optimum portfolio of LQ-45 and 50 Most Active Stocks by Trading Frequency in the Indonesia Stock Exchange. The population in this study are 58 listed companies that consistently get into the LQ-45 index and 50 Most Active Stocks by Trading Frequency during February 2013 until January 2016. Sampling technique applied is saturation sampling, where all members of population used as a sample. Data collection methods used in this study is observation. This study uses Single Index Model in shaping the portfolio and Sharpe Index in measuring the performance of the portfolio. The result of this study shows that basically the two indexes that forms an optimum portfolio has a portfolio performance that is larger than the market return, but the absolute value of the performance LQ-45 is larger than the value of the performance 50 Most Active Stocks by Trading Frequency. Keywords: single index model, sharpe index, lq-45, 50 most active stocks by trading frequency