ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL DI INDONESIA (STUDI KASUS PADA SAHAM, REKSADANA DAN EMAS) = ANALYSIS OF OPTIMAL PORTFOLIO FORMATION (CASE STUDY ON STOCKS, MUTUAL FUNDS AND GOLD)

Abstract Investment is an activity carried out by an investor in investing his capital with the aim of expecting a return in the form of dividends and obtaining maximum expected results. The COVID-19 pandemic has an impact on the capital market, especially stocks, the Covid-19 pandemic in Indonesia affects the capital market and causes changes in trading time on the Indonesia Stock Exchange and this is a negative signal (bad news) which causes investors to be more interested in selling their share ownership. The purpose of this study is to analyze the optimal portfolio of 23 energy sector companies listed on the IDX during the Covid 19 pandemic with a single index model with an observation period from 2021 to 2022. The results of the analysis show that the optimal portfolio is formed from all existing samples with their respective weights, namely HITS (0,25%), RAJA (3,20%), INDY (3,48%), PTBA (3,55%), DSSA (4,28%), ENRG (5,06%), BUMI (5,10%), KKGI (5,11%), MEDC (5,61%), MBSS (5,73%), WINS (6,62%), ADRO (11,29%) ITMG (12,65%), MYOH (13,98%) dan PTRO (14,07%). The final results of this analysis show that during the recovery period of the Covid-19 Pandemic, portfolio formation in the energy sector is still profitable.

Keywoards: Optimal Portfolio, Single Index Model, Return, Risk