Evaluasi Kinerja PortofolioSaham Optimal dengan Melakukan Pengelompokan Emiten Berdasarkan Pergerakan Harga Saham

Abstract

The increase in investors inthe capital market can be a positive thing, but there needs to be more understanding for novice investors so that they are not affected by the stock "pompom". Knowledge in the stock analysis is an important variable for investment decisions and a guide ingiving confidence to investors to make investment decisions. What's more, the stock investment carries the wrong risk as a result of changes in stock prices that occur in trading on the stock exchange every day, thus affecting the rate of return which also changes. Investors will face uncertainty in making choices and evaluating future performance, uncertain returns, and because of the risks that affect them. Based on this, there are problems in risk assessment faced by investors. This problem can besolved by taking a calculation approach in selecting stocks and determining the optimal portfolio, the risk in investing can be reduced by investing in various types of stocks, namely by forming an optimal stock portfolio and evaluating the portfolio. Investors cannot measure portfolio performance only by looking at the amount of return, but also by paying attention to the risks they will bear. The optimal portfolio in this study is carried out by utilizing the advantages of the single-index model, namely by calculating the variance of a portfolio from the relationship between the return of each stock and the market return index. Beta. Four stocks were recommended as optimal portfolios that have the largest return to beta value and have good stock portfolioperformance, namely MEGA, JECC,UNIC, and KICI stocks. The recommended stocks move in different fields and sectors with negative correlation valuesand different proportions so that the returns and risks obtained are different in each field and sector sothat the risk of loss of one stock can be neutralized with the gain of the stock. other. These shares have also been in operation for quite a long time and have been listed on the IDX for more than 20 years with a trend that tends to be positive in the last 5 years so these shares are worthy of being considered as a portfolio for investing in stocks