Optimalisasi Portofolio Investasi Saham Yang Listed Di ESG Leaders BEI (2018-2023)

Authors

  • Ramos Michael Immanuel Lumbanraja Universitas Indonesia, Jakarta, Indonesia
  • Ancella Anitawati Hermawan Universitas Indonesia, Jakarta, Indonesia

DOI:

https://doi.org/10.37385/msej.v4i5.2855

Keywords:

Risiko ESG, Portofolio, Indeks Tunggal, Markowitz

Abstract

Penelitian ini bertujuan untuk menganalisis bagaimana pembentukan portofolio optimal saham-saham ESG dari indeks ESG Leaders kemudian membandingkannya dengan portofolio optimal saham-saham dari indeks LQ45 dengan menggunakan dua metode yaitu Single Index Model dan Markowitz Model, dimana Single Index Model menggunakan satu indeks sebagai dasar pembentukan portofolio optimal, sedangkan Markowitz Model mengoptimalkan diversifikasi portofolio dengan mempertimbangkan hubungan antar saham. Hasil kajian menunjukkan bahwa untuk portofolio ESG Leaders dalam Single Index Model, komposisinya terdiri dari TBIG (13,41%), BBCA (79,33%), dan TOWR (7,26%), dengan ekspektasi return sebesar 1,23% per bulan atau 15,7% per tahun, dan standar deviasi sebesar 5,21% per bulan atau 18,0% per tahun. Nilai Sharpe Ratio adalah 0,1624. Untuk Model Markowitz, portofolio Pemimpin ESG yang optimal terdiri dari BBCA (74,11%), TBIG (12,34%), dan TOWR (13,55%), dengan pengembalian yang diharapkan sebesar 1,212% per bulan atau 15,56% per tahun, dan standar deviasi 4,9% per bulan atau 15,6% per tahun. Nilai Sharpe Ratio adalah 0,167. Implikasi praktis dari penelitian ini adalah tersedianya pilihan strategi investasi yang beragam bagi investor yang tertarik dengan ESG Leaders. Pemilihan model yang tepat akan membantu investor dalam membentuk portofolio yang optimal sesuai dengan tujuan dan preferensi mereka.

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Published

2024-11-20

How to Cite

Lumbanraja, R. M. I., & Hermawan, A. A. (2024). Optimalisasi Portofolio Investasi Saham Yang Listed Di ESG Leaders BEI (2018-2023). Management Studies and Entrepreneurship Journal (MSEJ), 4(5), 4899=4910. https://doi.org/10.37385/msej.v4i5.2855