Analysis Investor Index Indonesia with Capital Asset Pricing Model (CAPM)

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Introduction
The stock portfolio aims to select the most efficient combination of stocks, namely those that provide the greatest expected return in the future with a certain level of risk.In principle, a stock portfolio in addition to maximizing returns also avoids risk because not all stock investments can increase their returns.
The essence of the formation of an efficient and optimal portfolio is to reduce risk by diversifying shares, namely allocating a number of investor funds to various investment alternatives that are negatively correlated with the aim that the funds issued by investors can generate optimal returns.the definition of a portfolio as a collection of many assets so that exposure to certain assets is limited while Elton et.al. (2014) stated that a portfolio is a collection of several investment alternatives.Because investment is a trade-off between return and investment risk (Reilly and Brown, 2012), the purpose of portfolio formation is to maximize return and minimize risk.The question that arises is which company shares should be included in the portfolio?Investors must have knowledge in order to be able to determine which company shares will be selected in their portfolio and how much funds will be allocated in each of the selected shares.There are still many investors who have difficulty choosing stocks to include in their portfolios and the use of funds for each of the selected stocks.So that portfolio analysis can help investors make decisions to choose the optimal stock.
This study uses the CAPM model because CAPM is a model that can describe or predict the reality in a complex market and is a balance model that describes the relationship between risk and return in a simpler way because it only uses one variable (also known as the Beta variable) to describe risk.Because the CAPM can describe the relationship between risk and return in a simpler way, each investor can do portfolio analysis himself to find out which portfolio is profitable and how to optimize the returns from a portfolio combination by considering the level of risk of the existing portfolio.CAPM can help investors in a portfolio by calculating the risk that cannot be diversified and comparing it with the predicted rate of return (return).Based on the CAPM, the level of risk and the rate of return is stated to have a positive and linear relationship.
Research on the formation of an optimal portfolio using the Capital Asset Pricing Model has been carried out previously by Sipa (2018) with the title "Analysis of Optimal Stock Portfolio Formation Using the Capital Asset Pricing Model (Empirical Study on Stocks Included in the LQ 45 Index on the Indonesia Stock Exchange)" and Sevanya and Abriandi (2016) with the title "Optimal Portfolio Formation by Using the Capital Asset Pricing Model on the Stocks Incorporated in the LQ 45 Index on the Indonesia Stock Exchange for the 2011-2015 Period".The research period used in this study is the 2016-2018 period due to the use of the latest data and the time period used for moderate investors is 3 years.
This study aims to compare the composition of the optimal stock portfolio along with the proportion of funds in each stock based on the results of the optimal portfolio formation on the stocks included in the INV33 and JII indexes using the CAPM and to compare returns and risks for each stock included in the index.INV33 and JII.Based on the problems above, the researcher is interested in conducting research with the title "Comparative Analysis of Optimal Portfolio Formation with the Capital Asset Pricing Model (CAPM) method on stocks in the Investor33 Index and Jakarta Islamic Index (JII) 2016-201.

Method
Some of the previous studies used as a reference in writing this research include the following: The results show that from the optimal portfolio using the Single Index Model with the aim of building an optimal portfolio and determining the weight of each stock in the optimal portfolio, it produces 5 stocks that can be used as portfolio candidates from a total of 50 stocks.be sampled in the optimal portfolio.Of the 5 stocks, there are 4 stocks originating from the pharmaceutical sector and 1 stock originating from the infrastructure sector which can be concluded that stocks from the pharmaceutical sector are stronger to be used as an optimal portfolio The differences between this research and previous research are: 1.The research was conducted on stocks listed on the Investor Index 33 (INV33) and the Jakarta Islamic Index (JII).
2. The period used for research is the period 2016-2018

Result 3.1 Result
Data analysis in this study was conducted by analyzing the formation of a stock portfolio and hypothesis testing analysis.Where the analysis of optimal portfolio formation using the Capital Asset Pricing Model (CAPM) method which then calculates the optimal portfolio return and risk.The description of the analysis of the results of this study begins with the formation of a stock portfolio, calculating the proportion of shares, calculating the return and risk of a stock portfolio and testing hypotheses.

Individual Shares of Return (Ri)
The rate of return on individual shares is the amount of real profit received by investors when investing in shares.The rate of return of shares is based on the monthly After getting an efficient stock portfolio, the next step is to determine the optimal stock portfolio.In determining the optimal portfolio are efficient stocks that have ERB≥Ci from the calculation results by comparing ERB and Ci.The Ci calculation is used to determine the Cut Off Point (C*) value which is carried out by observing the maximum Ci value from a series of Ci values.The value of C* is used to determine which stock limit points are included as optimal portfolio candidates.The securities that make up the optimal portfolio are those that have an ERB value greater than or equal to the ERB value at point C*.The securities that have a smaller ERB value with the ERB value at point C* is not included in the formation of the optimal portfolio.

Conclusion
Based on the results and discussion of the Capital Asset Pricing Model research method on stocks included in the INV33 Index and the JII Index, the following conclusions can be drawn: 1.There are 7 stocks that meet the criteria for forming an optimal stock portfolio using the INV33 Index, namely CPIN (Charoen Pokphand Indonesia Tbk), ITMG (Indo Tambangraya Megah Tbk), BBCA (Bank Central Asia Tbk), UNTR (United Tractor Tbk), (TLKM) Telekomunikasi Indonesia (Persero) Tbk, ICBP (Indofood CBP Sukses Makmur Tbk), BBTN (State Savings Bank Persero Tbk).
2. The proportion of funds from the optimal portfolio of shares using the INV33 Index is the highest proportion is BBCA and the lowest proportion is BBTN, while the proportion of funds from the optimal portfolio of shares using the JII Index is the highest proportion is ICBP and the lowest proportion is INDF.There are 3 stocks that are included in the optimal portfolio in both the INV33 index and the JII index, namely UNTR, TLKM and ICBP.The banking sector stocks based on the INV33 Index have a majority proportion consisting of BBCA and BBTN while in the JII Index there is no banking sector because they are not included in the criteria of Islamic Sharia 3. The amount of return from the optimal stock portfolio using the INV33 Index is higher than the JII Index and the risk from the optimal stock portfolio using the INV33 Index is lower than the JII Index.

Suggestion
After analyzing and discussing the formation of an optimal portfolio using the Capital Asset Pricing Model method on stocks that are included in the INV33 Index and JII Index on the Indonesia Stock Exchange for the period January 2016 -December 2018, the suggestions from this research are as follows: 1.For investors, the results of this study can be used as a consideration in making decisions and stock investment strategies.
2. For academics, this research can be a reference for the development Analysis Investor Index Indonesia With CAPM… ■ 44

Table 1 . Stock Return and Stock Variance List -INV33 . Index
closing price of companies listed on the INV33 and JII Indexes for 2016-2018.Monthly closing price data (closing price) is taken from the website www.yahoofinance.com.Based on table 1. shows the stock return (Ri) and stock variance (σi) during the 2016-2018 period from the INV33 Index.There are 17 stocks that have a positive average rate of return [(Ri)>0] and 7 stocks that have a negative average rate of return [(Ri)<0].The highest average rate of return (Ri) of the 24 stocks was ITMG at 0.047665 while the lowest value was INTP at 0.000606.Meanwhile, the highest stock variance (σi) was ITMG at 0.026418 while the lowest value was BBCA at 0.002047.

Table 2 . List of Stock Returns and Stock Variances -JII Index
Based on table 2. shows the stock return (Ri) and stock variance (σi) during the 2016-2018 period from the JII Index.There are 17 stocks that have a positive average rate of return [(Ri)>0] and 7 stocks that have a negative average rate of return [(Ri)<0].The highest average rate of return (Ri) of the 17 stocks was INCO at 0.030180 while the lowest value was PGAS at 0.001997.Meanwhile, the highest stock variance (σi) was INCO at 0.022939 while the lowest value was ICBP at 0.002540.

table 5 .
34 shows the results of efficient stock portfolio calculations based on the INV33 and JII indexes.The calculation results from the 17 sample stocks there are 9 efficient stocks that have Ri>E(Ri) based on the INV33 index and the calculation results from the 11 sample stocks there are 6 efficient stocks that have Ri>E(Ri) based on the JII index.