PEMBENTUKAN PORTOFOLIO OPTIMAL PADA SAHAM INDEKS LQ45 YANG TERCATAT DI BURSA EFEK INDONESIA

This aim of this study is to determine what stocks are selected in the optimal portfolio, the allocation of funds returned and the return of each portfolio according to using the Single Index Model. The population of this research is all shares included in the LQ45 index which are listed on the Indonesia Stock Exchange Periods from August 2018 to January 2019 (First Period) and February 2019 to July 2019 (Second Period). The results showed that; (1) 5 company shares worth to be included in the optimal portfolio both from the first and second periods. The optimal candidate portfolios are CPIN (Charoen Pokphand Indonesia Tbk.), PGAS (Perusahaan Gas Negara Tbk.), SMGR (Semen Indonesia (Persero) Tbk), ICBP (Indofood CBP Sukses Makmur Tbk.), and JSMR (Jasa Marga (Persero) Tbk.). (2) the proportion of funds per share that is the optimal portfolio choice is CPIN Shares of 0.9804 (98.04%) and PGAS Shares of 0.0196 (1,96%) in the first period and shares of SMGR of 0.0283 (2.83%), ICBP shares of 0.7266 (72.66%), and JSMR shares of 0.2450 (24.50%) in the second period. (3) returns from the optimal portfolio of 7.40% per month for the first period and 0.21% per month for the first period , while the risk that must be borne by investors from the optimal portfolio is 0.0023% for the first period and 0.0017% for the second period. The risk obtained is relatively small so that the maximum return obtained in each period