OPTIMAL PORTFOLIO ANALYSIS OF IDX-30 AND LQ-45 PORTFOLIO WITH THE CAPM METHOD OF THE INDONESIA STOCK EXCHANGE

DOI:10.31933/DIJDBM Abstract: The research objective of this portfolio is to analyze the optimal portfolio IDX-30 and its portfolio of LQ-45 with CAPM method in IDX. This research uses descriptive quantitative method. IDX-30 and LQ45 in the Stock Exchange of the period January 2013 December 2018 the population in the study. A Purposive sampling technique used in determining the sample. Data analysis using Microsoft Excel, from this research are, a). Based on the results of the expected return and risk of IDX-30 and LQ-45, which can be seen from an analysis of individual stocks with a CAPM portfolio. Then the chosen CAPM portfolio, because it produces a good return and minimal risk. And the highest shares of IDX-30 and LQ-45 are TLKM. with the IDX-P13 return result of 6.5809 and a risk of 7.14%. and LQ-45 P20 return of 6.5764 with a risk of 7.89%.b). Optimal portfolios formed using CAPM provide better investment returns than individual shares, because CAPM offers a higher expected return and minimum risk than individual shares. While the optimal portfolio performance of IDX-30 shares evaluated using CAPM is better than the optimal portfolio performance of LQ-45 shares.


INTRODUCTION
Portfolios can be the right choice in investing for investors because of the portfolio easily shaped to fit the desired investment characteristics and objectives to be achieved. An efficient portfolio, a portfolio that offers the lowest risk to the level of a certain return, or offering the greatest return rate with certain risks. The assumptions inherent in the portfolio efficiently is all investors dislike risk (risk averse), while assuming the optimal portfolio is selected portfolio of an investor of the many options that exist on the set of efficient portfolios. Determination model portfolios that emphasize investment risk and return relationship is a model of Markowitz. This model can overcome the disadvantages of random diversification.
The assumption that increasing the number of stocks in the portfolio will continually provide greater benefits, in contrast to Markowitz model. To predict the expected stock returns, can be used CAPM. This method is a model of balance gives precise predictions about the relationship between the risk of an asset with the expected return, determine the price of an asset and CAPM as a basis for determining a group of stocks that can be selected as a location for investment. Index of shares listed on stock exchanges works best is the category LQ-45 & IDX-30, because it is a collection of preferred shares that meet certain criteria. That falls into the criteria LQ-45 stock index and the IDX-30 are stocks that meet the criteria for high rankings on the total transaction, the transaction value, and the frequency of transactions.
A share price condition in Figure 1 shows that in the span of time from 2013 to 2018 the increase in the stock price LQ-45 is greater than 875 percent increase in stock prices IDX-30 amounted to 462 percent. We also see that the highest point LQ45 stock price and the IDX-30 occurred in 2018 which LQ45 stock price reached in 1132 and the share price IDX-30 reached 621. Meanwhile, the market price of the lowest point LQ45 and IDX-30 occurred in 2013 where prices LQ-45 reached 652 and IDX-30 stock price reached 333.
In the calculation of the percentage return per year from 2013 through 2018 can be seen in Figure 2 that occur fluctuate up and down return to the LQ-45 and IDX-30. where stocks that declined in 2013 LQ-45 produces 651 percent return, the same thing happened on the IDX-30, where it can be seen that in 2013 the return IDX-30 down to 332 percent. Meanwhile, shares of which arose in 2018 LQ-45 generates return in 1131 percent and IDX-30 arose in 2018 with a return of 620 percent. From this data it can be seen that in investing there is uncertainty, investors cannot know with certainty the results obtained from its investments. Investment is a way that can be used to increase the value of assets in the future, wherein the level of investment options have varying risk and return. Investing in the stock market has a high profit potential, but so is the risk.

Portfolio theory
According to Hartono (2015) the portfolio can be defined as a combination or a combination of assets. Assets can be construed as investment, financial securities such as deposits, property or real estate, bonds, stocks, and other forms of participation. In the business world, almost all of the owners of capital have a risk-averse attitude which means it does not want a risk that resulted in a loss or reduction in the value of investments. The theory of Markowitz uses some statistical measurement basis for developing a portfolio plan, including the expected return, standard deviation of both securities and portfolio, and the correlation between the returns "Portfolio Theory Markowitz is based on the approach of the mean (average) and variance (variance), where the mean a measure of the rate of return and the variance is a measure of the level of risk (Sukarno, 2007) Return portfolio Return the realization of the portfolio (portfolio Tirrenus in return) is the weighted average of the return realization of each single securities in the portfolio (Hartono, 2015). Meanwhile, the expected return of the portfolio (portfolio expected return) is a weighted average of the return-return expectations of each single securities in the portfolio (Hartono, 2015).

Portfolio risk
Risk can be considered as a possibility of loss or destruction. Risk may cause harm if not anticipated and not managed properly. Portfolio risk is a variant return securities that make up the portfolio (Hartono 2015). Unlike a return of the portfolio is a weighted average of all single security risk. Portfolio risk may be smaller than the average risk weighted single securities respectively. Capital Asset Pricing Model (CAPM) Capital asset pricing model or (CAPM) is a theory that explains how the asset price formed in the market. This is an expansion of Markowitz's portfolio theory and made by William Sharpe (1965), and further developed by Lintner (1965) and Jan Mosin (1963). CAPM provides a framework to determine the balance of expected return for a risky asset. It uses the results of the theory of capital markets to draw correlations between expected return and the risks of systematic asset / or portfolios of individual securities (Sihombing, 2014).

Data Analysis Techniques
Methods of data analysis were performed by using CAPM to determine the optimal portfolio and optimal portfolio performance, while appliance calculations are performed using Excel. Furthermore, the expected return generated optimal portfolio IDX-30 will be compared with the expected return of LQ-45 index and the expected return of Indonesia Composite Index (ICI).

Market return
Expected return The results of the portfolio of alternative combinations of the twenty-two stocks have a portfolio of alternative P 3 with the largest alternative composition formed UNTR shares of 0.1.

Optimal portfolio of individual stocks in a portfolio CAPM
The formation of this optimal portfolio using a mathematical analysis process with the method used, the model of capital asset pricing models. The use of capital asset pricing models to determine the optimal portfolio models, based on a comparison of Ri and E (Ri), if Ri> E (Ri) then the shares are classified as undervalued and Ri <E (Ri) called overvalued. If the shares of IDX-30 and LQ-45 are classified as undervalued, investors or financiers is should buy shares of IDX-30 and the LQ-45 index. If Ri > E (Ri), then the shares are put into optimal portfolio candidates. Whereas if Ri <E (Ri), the shares were not included in the candidate optimal portfolio of stocks. From the calculation table 1, there are factors that need to be noticed by performing classification Ri> E (Ri). Judging from the classification of the entire 15 stock IDX-30, has the result undervalued. Since these shares offer a higher expected return of the assets in the same risk class so they are becoming more attractive. Buying pressure for such assets will push up the price until the assets reach the correct price. Table 2. Optimal portfolio expected return of individual stocks to a portfolio CAPM LQ-45

Optimal portfolio expected return of individual stocks to a portfolio CAPM LQ-45
Seen from Table 2, all the LQ-45 produces undervalued because returns are expected to have a value below the value of individual stock returns. So the conclusion of CAPM calculation, the 22 stock price is quite cheap, because the return is greater than the expected return.

Comparison Portfolio IDX-30 expected return and risk of individual stocks and CAPM.
Table 3. Comparison of Portfolio IDX-30 expected return and risk of individual stocks and CAPM.
In Table 3. Comparison of IDX-30 Portfolios expected return and risk of individual stocks and CAPM in accordance with portfolio objectives seen the highest return and minimum or certain risk, then the chosen CAPM portfolio because there are several individual stocks that produce negative and average returns the return calculation is below 5% or 0.0073. While the average CAPM return is 6.5679 and the highest share is TLKM P 13 return of 6.5809 and a risk of 7.14%. Table 4. Comparison of Portfolio LQ-45 expected return and risk of individual stocks and CAPM

Portfolio Comparison LQ-45 expected return and risk of individual stocks and CAPM
In Table 4. Comparison of LQ-45 Portfolios expected return and risk of individual shares and CAPM that are in accordance with the objectives of the portfolio are considered minimum return and minimum risk, then the chosen CAPM portfolio because there are several individual stocks that produce negative returns and average return calculation under 5% or 0.0055. While the average return of CAPM is 6.5665 and the highest share is TLKM P 20 return of 6.5764 and a risk of 7.89%.
Based on the comparison of portfolio that has been done, of 15 shares of IDX-30 and 22 LQ-45 sample, stock index the best use of capital asset pricing models of IDX-30 in view of the average expected return and risk CAPM. As well, judging from the calculation of the optimal portfolio of individual stocks and shares best CAPM is TLKM because it has highest returns and minimum risk or specific.

CONCLUSION AND SUGGESTION
Based on the results of the expected return and risk of IDX-30 and LQ-45, which can be seen from an analysis of individual stocks with a CAPM portfolio. Then the chosen CAPM portfolio, because it produces a good return and minimal risk. And the highest shares of IDX-30 and LQ-45 are TLKM. with the IDX-P 13 return result of 6.5809 and a risk of 7.14%. and LQ-45 P 20 return of 6.5764 with a risk of 7.89% Optimal portfolios formed using CAPM provide better investment returns than individual shares, because CAPM offers a higher expected return and minimum risk than individual shares. While the optimal portfolio performance of IDX-30 shares evaluated using CAPM is better than the optimal portfolio performance of LQ-45 shares.
Portfolio generated in this study is a portfolio done by using historical data, so it cannot promise similar results when using different samples and different study period. Investors should choose stocks that are more varied in various industries portfolio and subsections listed on the Indonesia Stock Exchange in order to be formed can be optimized to generate returns and minimize risk. Investors can use a method other than the capital asset pricing model (CAPM) to analyze the value of the securities that will be an asset to their investment. Because the model of capital asset pricing model (CAPM) correlates only securities in any form either systematic risk or who unsystematic. In addition to the capital asset pricing puts investors on the assumption of risk-free assets that actually became one so important factor in the investment world today investor expectations equilibrium conditions, as well as the market balances that facilitate investors in the analysis.