Perbandingan Return Tiga Model Portofolio Saham Indeks Sri Kehati Terhadap Indeks Harga Saham Gabungan

The objective of this research is to determine the most efficient portfolio using Single Index Model, Markowitz Model and Constant Correlation Model. This research paper used the stocks based on Sri Kehati Index from 2012 until May 2017. The secondary data was obtained mainly from finance.yahoo.com. There are three main findings from this research. Firstly, using Single Index Model, the most optimal portfolio can be constructed from the following stocks : ADHI with fund proportion 17%, TLKM with fund proportion 19%, KLBF with fund proportion 13%, BBRI with fund proporton 15%, BMRI with fund proportion 15%, BBNI with fund proportion 10%, BBCA with fund proportion 8%, and INDF with fund proportion 3% . Secondly, using Constant Correlation Model, the most optimal portfolio can be constructed from the following stocks, TLKM with fund proportion 56,20%, ADHI with fund proportion 11,20%, KLBF with fund proportion 17,30%, UNVR with fund proportion 14,20% and BBCA with fund proportion 1,10%. Thirdly, using Markowitz Model, the portfolio can be constructed by ADHI with fund proportion 32.067%, BBCA with fund proportion 12,385%, BBNI with fund proportion 1,6%, BBRI with fund proportion 17.7%, INDF with fund proportion  3%, TLKM with fund proportion 12.909%, and UNVR with fund proportion 20,338%.. In conclusion, when applied to current period (Jan – Mei 2017), all methods produce annualized portfolio return significantly higher than the benchmark (IHSG).