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

This study aimed to compare composition of the optimal portfolio of stocks, the proportion of funds in each of these stocks and calculate risk and return portfolio from Investor33 (INV33) Index and Jakarta Islamic Index (JII) in the research period January 2016-December 2018. The method used in this research is a quantitative descriptive method. Sample in this study using purposive sampling were 24 stocks from the INV33 Index and 17 stocks from JII Index. The results of the study were as follows : (1) The optimal portfolio of stocks by using capital asset pricing model from INV33 Index are 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 (Bank Tabungan Negara Persero Tbk and from JII Index are ADRO (Adaro Energy Tbk), ICBP (Indofood CBP Sukses Makmur Tbk), INCO (Vale Indonesia Tbk), INDF (Indofood Sukses Makmur Tbk), TLKM (Telekomunikasi Indonesia Persero Tbk), UNTR (United Tractor Tbk). (2) The composition of the proportion of funds in optimal portfolio formed by INV33 Index are BBCA (46,49%), CPIN (20,11%), ICBP (12,78%), ITMG (8,59%), UNTR (6,95%), TLKM (4,11%) and BBTN (0,97%) and from JII Index are ICBP (34,96%), ADRO (19,47%), UNTR (16,26%), INCO (10,88%), TLKM (10,43%) and INDF (8,00%). (3) The optimal portfolio of stocks return from INV33 Index was greater than stock portfolio return from JII Index and the optimal portfolio of stocks risk from INV33 Index was lower than stock portfolio risk from JII Index.


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)  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).

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

A. Comparison of the optimal stock portfolio composition for stocks included in the Investor33 Index and JII on the Indonesia Stock Exchange in 2016-2018 using the Capital Asset Pricing Model (CAPM) model
In  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 There are 6 stocks that meet the criteria for forming an optimal stock portfolio using the JII Index, namely ADRO (Adaro Energy Tbk), ICBP 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 3. For further research, you can continue this research on optimal portfolio formation using other stock indexes such as Kompas 100 and using weekly stock closing data or with a longer research period