ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL DENGAN MODEL INDEKS TUNGGAL PADA SUB SEKTOR PELAYARAN YANG TERDAFTAR DI BURSA EFEK INDONESIA

Abstrak

This study aims to find out whether there is a return and risk recovery for shipping companies listed on the IDX, from the lowest point of the JCI to the enactment of the New Normal policy. The object or population in this study are 18 (eighteen) shipping companies listed on the IDX. The period or duration of this research starts from when the JCI touched its lowest point during the pandemic, which was on March 24, 2020, until the implementation of the New Normal policy on June 8, 2020 with a total of 48 working days. This study uses an analysis of optimal portfolio formation with the Single Index model which later this research is expected to be a consideration for investors who want to invest in shipping companies on the Indonesia Stock Exchange. The analysis results from this study indicate that the Covid-19 pandemic event almost affected all shipping stocks except BBMM and BLTA which remained stagnant. Of the 18 companies studied, there were 12 companies that experienced an increase in returns during the study period. The company that gives the highest return is SOCI, which is 0.018, and the lowest is TAMU, which is -0.014. the results of the calculation using the Single Index method, there are 10 (ten) shipping companies that are included in the optimal portfolio, namely in the order; TMAS, BULL, SOCI, RIGS, MBSS, WINS, TCPI, PORT and NELY, stocks that have the most optimal portfolio are TMAS with an ERB of 0.088, and there are 8 (eight) companies that are not included in the optimal portfolio, namely; BBRM, BLTA, INDX, HITS, TAMU, TPMA, IPCM, and CANI. The proportion of funds that can be invested in stocks that are included in the optimal portfolio is; BULL 0.283 or 28.3%, SMDR 0.200 or 20%, SOCI 0.1317 or 13.1%, TMAS 0.122 or 12.2%, MBSS 0.0938 or 9.3%, RIGS 0.070 or 7%, PORT 0.0487 or 4.8%, TCPI 0.0366 or 3.6%, WINS 0.0164 or 1.6%, san NELY 0.0019 or 0.19%.