Analisis CAPM Dalam Pembentukan Portofolio Optimal Pada Jakarta Islamic Indeks Saat Resesi Di Indonesia

Abstract

The purpose of this study is to determine the optimal portfolio formation using capital asset pricing model analysis, besides that this study also calculates the proportion of funds in each company's stock and calculates the amount of realized return and expected return as well as portfolio risk. The research design used quantitative descriptive analysis. The population of this research is stocks that are included in the Jakarta Islamic Index (JII) during the recession in Indonesia, namely November 20, 2020 to May 31, 2021. By using the purposive sampling method in determining the sample criteria and obtained a number of 29 companies as research samples. The method in forming the optimal portfolio uses the capital asset pricing model. The results of the research are 29 companies that fall into the optimal stock category, there are 12 companies including MDKA, JPFA, ANTM, TKIM, SCMA, EXCL, UNTR, AKRA, MNCN, CPIN, TLKM, PTPP and other shares there are 17 stocks that are not included in optimal stock category. Calculations using the CAPM method obtained a CAPM value of 0.01708 which means that the value of the rate of return on an asset in a company incorporated in the Jakarta Islamic Index for the research period is 0.01708 with a market variance of 0.00062 and a portfolio variance of 1.13500.