Portfolio Analysis to Determine the Optimal Expected Return and Minimal Risk for Lq45 Companies Listed on the Indonesian Stock Exchange
Downloads
Indonesia’s growing capital market provides investors with diverse opportunities; however, differences in stock returns and risks require systematic portfolio selection. This study aimed to identify LQ45 stocks that formed an optimal portfolio and determine their investment proportions during 2021–2025 using the Single Index Model. A quantitative descriptive approach was employed using secondary data obtained from the Indonesia Stock Exchange and Bank Indonesia, including monthly closing stock prices, Composite Stock Price Index (CSPI) data, and the BI Rate. Stocks were selected through purposive sampling and analyzed based on expected return, beta, residual variance, Excess Return to Beta (ERB), Cut-Off Point, and fund allocation proportion. The findings identified eight stocks as optimal portfolio constituents, namely ASII, TLKM, TOWR, PGAS, UNTR, ANTM, UNVR, and MEDC, with a Cut-Off Point value of 0.01335. PGAS achieved the highest ERB value of 6.4313, indicating the highest return efficiency relative to systematic risk. However, ASII received the largest portfolio allocation at 19%, followed by TLKM at 17%, TOWR at 15%, PGAS and UNTR at 14% each, ANTM at 8%, UNVR at 7%, and MEDC at 6%. The study concluded that the Single Index Model effectively generated a diversified, rational, and risk-conscious investment portfolio for Indonesia’s post-pandemic market and provided practical allocation guidance for investors and investment managers seeking efficient investment decisions.
Albuquerque, P. H. M., de Moraes Souza, J. G., & Kimura, H. (2023). Artificial intelligence in portfolio formation and forecast: Using different variance–covariance matrices. Communications in Statistics—Theory and Methods, 52(12), 4229–4246. https://doi.org/10.1080/03610926.2021.1987472
Barua, R., & Sharma, A. K. (2023). Using fear, greed and machine learning for optimizing global portfolios: A Black–Litterman approach. Finance Research Letters, 58, 104515. https://doi.org/10.1016/j.frl.2023.104515
Bertsimas, D., Gupta, V., & Paschalidis, I. C. (2012). Inverse optimization: A new perspective on the Black–Litterman model. Operations Research, 60(6), 1389–1403. https://doi.org/10.1287/opre.1120.1115
Black, F., & Litterman, R. (1992). Global portfolio optimization. Financial Analysts Journal, 48(5), 28–43. https://doi.org/10.2469/faj.v48.n5.28
Boyd, S., Johansson, K., Kahn, R., Schiele, P., & Schmelzer, T. (2024). Markowitz portfolio construction at seventy. The Journal of Portfolio Management, 50(8), 32–56. https://doi.org/10.2139/ssrn.4695694
Brinson, G. P., Hood, L. R., & Beebower, G. L. (1986). Determinants of portfolio performance. Financial Analysts Journal, 42(4), 39–44. https://doi.org/10.2469/faj.v42.n4.39
Candy, C., & Winardy, A. (2018). The influence of macroeconomic factors on stock return on the LQ45 stock index. JESYA, 2(1), 65–79. https://doi.org/10.36778/jesya.v2i1.35
Colapinto, C., & Mejri, I. (2024). The relevance of goal programming for financial portfolio management: A bibliometric and systematic literature review. Annals of Operations Research. https://doi.org/10.1007/s10479-024-05911-y
Devi, A., Kharen, G., & Putri, R. (2025). Analysis of the formation of an optimal stock portfolio using the single index model approach as the basis for investment decisions: A study on IDXV30 stocks listed on the Indonesia Stock Exchange (IDX) in 2022–2024. Journal of Business Economics and Accounting, 5(1), 523–537. https://doi.org/10.55606/jebaku.v5i1.5461
Dwitayanti, Y., Juliadi, E., & Dewi, A. (2023). Stock fundamental analysis and investment decision making. Western Science Journal Economic and Entrepreneurship, 1(10), 465–471. https://doi.org/10.58812/wsjee.v1i10.291
Hammer, J. A., & Phillips, H. E. (1992). The single-index model: Cross-sectional residual covariances and superfluous diversification. International Review of Financial Analysis, 1(1), 39–50. https://doi.org/10.1016/1057-5219(92)90013-T
Hatemi-J, A., Hajji, M. A., & El-Khatib, Y. (2022). Exact solution for the portfolio diversification problem based on maximizing the risk adjusted return. Research in International Business and Finance, 59, 101548. https://doi.org/10.1016/j.ribaf.2021.101548
Kusy, A., & Alyssa, N. (2025). Optimal portfolio formation through single index model at IDX MES BUMN 17. Warmadewa Economic Development Journal (WEDJ), 8(2), 70–77. https://doi.org/10.22225/wedj.8.2.2025.70-77
Markowitz, H. M. (1952). Portfolio selection. The Journal of Finance, 7(1), 77–91. https://doi.org/10.1111/j.1540-6261.1952.tb01525.x
Putra, R. (2022). LQ45 capital market reaction speed during COVID-19 pandemic. American Journal of Humanities and Social Sciences Research (AJHSSR), 6(6), 227–234.
Putri, M., Manuaba, I., & Ariestiani, N. (2025). The determination of the optimal stock portfolio uses the single index model approach as the basis for investment decisions. Journal of Business Economics and Accounting, 5(2), 654–667. https://doi.org/10.55606/jebaku.v5i2.5444
Sandi, S., Husadha, C., & Kurniawan, D. (2025). Analysis of the formation of the optimal portfolio of stock stocks in the LQ-45 stock index using the Elton and Gruber model for the period 2019–2024. Scientific Journal of Economics and Management, 3(8). https://doi.org/10.61722/jiem.v3i7.6113
Sharpe, W. F. (1963). A simplified model for portfolio analysis. Management Science, 9(2), 277–293. https://doi.org/10.1287/mnsc.9.2.277
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425–442. https://doi.org/10.1111/j.1540-6261.1964.tb02865.x
Suhandi, N. P. M., & Priyanto, P. (2025). Evaluation of stock returns against systematic risk using the capital market line (CML) approach: An empirical study on LQ45 stocks. International Journal of Finance Research, 6, 2746–136.
Tobing, A. S. L., Fitri, N. A., Ajmilia, Q. F., & Sadalia, I. (2024). Optimal portfolio analysis of LQ-45 stocks based on capital asset pricing model. Western Science Business and Management, 2(4), 1101–1113. https://doi.org/10.58812/wsbm.v2i04.1443
Wicaksono, M. F., Imsar, I., & Nurbaiti, N. (2024). Financial literacy assistance and utilization of management information systems for stock investment decision making in the Indonesian capital market. Amalee: Indonesian Journal of Community Research and Engagement, 5(2), 867–878. https://ejournal.insuriponorogo.ac.id/index.php/amalee/article/view/5142
Yuan, J., Jin, L., & Lan, F. (2025). A BL-MF fusion model for portfolio optimization: Incorporating the Black–Litterman solution into multi-factor model. Finance Research Letters, 80, 107464. https://doi.org/10.1016/j.frl.2025.107464
Yuliani, F., & Achsani, N. A. (2017). Analysis of risk-based and return-based portfolio formation (case study of stocks in Jakarta Islamic Index for the period of June 2011–May 2016). Al-Muzara'ah, 5(2), 134–145. https://doi.org/10.29244/jam.5.2.134-145
Copyright (c) 2026 Ratih Paramitasari
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
