ANALYSIS OF EFFICIENT PORTFOLIO FORMATION INDONESIA STOCK EXCHANGE IN INDUSTRIAL SECTOR SUMMARY PERIOD 2007 - 2010

Abstract

Essentially an investment in the placement of funds at this time in hopes to gain an advantage in the future. Every advantage is not free from risks to reach it. Therefore, investors need to do a portfolio that is efficient, because it will give the expected rate of return (Expected return) the largest (maximum) with a certain risk level or risk giving the smallest (minimum) with a certain profit level. Research objectives are (1) identify and analyze the level of expected return and risk level of each share, (2) identify and analyze the level of expected return and risk level is in every portfolio composition and (3) determine the composition of investment portfolios that can form efficient. The analysis tools include the calculation of rates of return, rate of expected return, variance and standard deviation of investment, the correlation coefficient, rate of expected return portfolios, as well as variance and standard deviation of the portfolio. This study uses secondary data, ie the closing price (closing price) on the company's monthly share of PT Astra International, Tbk, PT Polychem, Shoes Bata Tbk and PT, Tbk period January 2007 - January 2010. The results showed that during the month of January 2007 until January 2010 stock level is the greatest advantage of the other shares of Bata Shoes, Tbk amounting to 2.53% with a risk (risk) of 13.80%. While the level of expected benefits and risks of the five portfolios are formed and an efficient portfolio is the portfolio composition to a fund-five with 50% -25% -25%, which provide benefits greater than the composition of another fund that is equal to 1.56% but the risks will be borne composition is also greater than other funds when selecting the composition of this fund that is equal to 13.54%.