ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL PADA INDEKS BUMN20 DI BURSA EFEK INDONESIA PERIODE JANUARI - DESEMBER 2023

This research analyzes the formation of an optimal portfolio using the
Single Index Model on stocks included in IDX BUMN20 on the Indonesia Stock Exchange during the period January 2023 to December 2023. The Single Index Model was chosen as the analysis method because of its simplicity in simplifying the calculation of the Markowitz model, so that it can provide the required input parameters more efficiently. Historical monthly stock price data from 20 companies
included in IDX BUMN20 as the research population. 19 stocks that met the research criteria were found after purposive sampling, including ADHI, AGRO, ANTM, BBNI, BBRI, BBTN, BJBR, BMRI, BRIS, ELSA, JSMR, MTEL, PGAS, PTBA, PTPP, SMGR, TINS, TLKM, and WIKA. The data used includes stock closing prices, market indices, and risk-free interest rate data. The analysis begins by calculating the expected return and standard deviation of each stock and market, followed by calculating the alpha, beta, and residual error variance of each stock. The Single Index Model is then used to determine the optimal portfolio by sorting stocks based on the excess return to beta (ERB) ratio and calculating the cut-off point as the limit for including stocks in the optimal portfolio. Research using the Single Index method shows 7 company shares that meet the criteria and deserve to be included in the optimal stock portfolio, namely ADHI,
AGRO, BBNI, ELSA, PGAS, PTBA and PTPP. The research results show that the single index model is effective in helping investors determine the optimal portfolio with expected returns and minimal risk. Knowledge about optimal portfolio formation is very important for investors to make better investment decisions and avoid unnecessary risks.