Optimalisasi Portofolio Menggunakan Capital Asset Pricing Model (CAPM) Pada Perusahaan Indeks Idx-30 Di Bursa Efek Indonesia (BEI)

Abstract

The research method uses is a descriptive method that explains how to optimize the portfolio using the CAPM method. This method focuses on solving existing problems or actual problems. The data collected is initially arranged, explained and then analyzed (this method is often called the analytic method). In this study the data have been analyzed using the formula CAPM .

Based on the results of the calculation of the CAPM analysis shows that shares of LippoKarawaciTbk with a risk level of -0.027395 and an expected rate of return of 5.2% are stocks that have the highest rate of return with little risk. There are also four stocks that have a high rate of return with little risk, namely MatahariDepartement Store Tbk shares have a risk level of -0.01845 and a return rate of 5.1%, shares of Bank Rakyat Indonesia (Persero) Tbk have a risk level of - 0.015186 and a rate of return of 5.1%, SawitSumbermasSaranaTbk has a risk level of -0.013846 and a rate of return of 5.1%, Indonesian cement shares (Persero) Tbk has a risk level of -0.00988 and the level a return of 5.1%. These stocks are stocks that form portfolio optimization on the IDX-30 stock index on the Indonesia Stock Exchange.

Thus, the Capital Asset Pricing Model (CAPM) can explain how to optimize portfolios on the IDX-30 stock index. It can also be concluded that the optimal stock among stocks on the IDX-30 index is LPKR shares. While the efficient shares are LPPF shares, BBRI shares, SSMS shares, SMGR shares.