Optimal portfolio with single index model (case study in Main Board and Development Board  Indonesian Stock Exchange in a period of January 2007 – December 2009)

Trinarningsih, Wahyu

Each investor will accept minimum risk or maximum return. It can be obtained by forming the optimal portfolio. The aim of this analysis is to obtain optimal portfolio with single index model and then compare this performance use Sharpe, Treynor, and Theta Index. The sample in this study is based on purposive sampling method on the basis of certain criteria. Companies which are involved in this analysis consist of 97 companies in Main Board and 125 companies in Development Board listed in Indonesian Stock Exchange during the period of January 2007 – December 2009. These companies listed in Main Board and Development Board continuously during January 2007 – December 2009. There are 26 companies in Main Board and 49 companies in Development Board are selected since forming optimal portfolio with single index model. The result shows that optimal portfolio can increase the return and decrease the risk. While for performance portfolio, there are differences between optimal portfolio performance of Main Board and market portfolio (performance of Main Board), between optimal portfolio performance of Development Board and market portfolio (performance of Development Board). In addition, the difference also happen between optimal portfolio Main Board and optimal portfolio Development Board. For index performance portfolio, optimal portfolio performance of Main Board is better than this market portfolio (performance of Main Board) is viewed through three indices. Also for optimal portfolio performance of Development Board showed a better performance than this market portfolio (performance of Development Board) is viewed in three indices. Based on Sharpe and Theta Index optimal portfolio performance of Main Board is better than the optimal portfolio performance of Development Board, but according to the Treynor Index optimal portfolio performance of Development Board is better than the optimal portfolio performance of Main Board.

Abstrak

Optimal portfolio with single index model (case study in Main Board and Development Board Indonesian Stock Exchange in a period of January 2007 – December 2009)