Analisis Portofolio Saham dengan Model Black Litterman-CAPM

Arief Surya Lesmana, Yasir Maulana

Abstract


Dalam menghadapi fenomena perubahan kondisi pasar, investor perlu membentuk portofolio yang berbeda agar menghasilkan return dan risiko yang optimal. Tujuan dari penelitian ini adalah untuk membentuk portofolio optimal pada kondisi pasar modal Indonesia yang berbeda. Proksi untuk indeks pasar adalah IHSG dan proksi untuk aset bebas risiko adalah Tingkat suku bunga Sertifikat Bank Indonesia. Sampel dalam penelitian ini adalah 20 perusahaan yang dipilih secara purposive berdasarkan  kapitalisasi pasarnya. Pembentukan portofolio optimal dilakukan melalui model Black Litterman-CAPM. Portofolio optimal terdiri dari 5 saham, yaitu PT Telkom Indonesia (Persero) Tbk sebesar 43,47%, PT Elang Mahkota Teknologi Tbk sebesar 21,22%, PT Bank Central Asia Tbk sebesar 14,29%, PT Mayora Indah Tbk sebesar 12,59%, dan PT Chandra Asri Pacific Tbk sebesar 8,43% dengan return portofolio sebesar 8,05% dan risiko 2,65%. Sedangkan untuk menghadapi kondisi bearish, portofolio optimal terdiri dari 6 saham, yaitu PT Telkom Indonesia (Persero) Tbk sebesar 43,13%, PT Elang Mahkota Teknologi Tbk sebesar 21,25%, PT. United Tractors Tbk sebesar 16,68%, PT Bank Central Asia Tbk sebesar 13,59%, PT Mayora Indah Tbk sebesar 4,17%, dan PT Charoen Pokphand Indonesia Tbk sebesar 1,18% dengan return portofolio sebesar 8,01% dan risiko 5,20%


Keywords


Investasi, Portofolio, model Black Litterman-CAPM, CAPM

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References


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DOI: https://doi.org/10.46576/wjs.v4i2.6275

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