STRATEGI AKTIF PASIF DALAM OPTIMALISASI PORTOFOLIO SAHAM INDEKS LQ-45 Ibnu Khajar

Fakultas Ekonomi, Universitas Islam, Agung Unissula, Semarang, Jl Raya, Kaligawe Km, Semarang
2011 | 221 | Jurnal Keuangan dan Perbankan   unpublished
The objective of investors to invest their money in the stock exchange was to maximize return although they were subject to constraints, primarily risk. Return was the motivating force in the investment process. It was the reward for undertaking the investment. To overcome and lesson the risk, an investor needed to make diversification through the formation of portfolio. The aim of this research was to know the return and risk from the active and passive strategy in the stocks of LQ45, for 6
more » ... s of LQ45, for 6 months periods, August 2009 until January 2010. The active strategy used the single index model and passive used the LQ45 share itself. The results of this research indicated that active strategy (single index model): return portfolio was 5.43% and risk was 4.03%. Passive strategy (following the index): return portfolio was 2% and risk was 3.5% and there was a linear relationship between an asset's risk and its required rate of return, the bigger the amount of return, the bigger the risk taken by investors or the reverse. The finding showed that between the two strategies, the return and risk of active strategy as a whole was bigger than that of the passive strategy. Key words: active and passive strategy, risk, return, portfolio Pasar modal di Indonesia telah berkembang dengan pesat dalam beberapa tahun terakhir. Per-kembangan tersebut telah mendorong lahirnya pro-fesi baru, salah satu di antaranya adalah investor saham. Pasar modal menawarkan perolehan keun-tungan yang tinggi, namun dibalik itu telah me-nunggu pula peluang kerugian yang harus ditang-gung oleh investor, high risk high gain. Tersedia be-berapa strategi investasi untuk membentuk porto-folio saham yang dapat digunakan investor di pa-sar modal, antara lain aktif dan pasif. Teori investasi selalu menganjurkan untuk membentuk portofolio dalam berinvestasi saham. Investasi jangan hanya pada satu saham tetapi pada beberapa saham dan industri sesuai pepatah "don't put your eggs in one basket", artinya investor harus melakukan diversifikasi. Portofolio merupa-kan kunci untuk memanajemen risiko portofolio karena memungkinkan investor untuk meminimal-kan risiko tanpa efek yang buruk atas keuntungan (Jones, 1996). Di BEI tersedia hampir 400 saham dari berbagai sektor industri yang dapat diguna-kan investor untuk membentuk portofolio. Perma-salahan yang muncul adalah bagaimana memilih saham di antara sekian banyak saham yang nan-tinya akan mendatangkan gain bagi investor. Sa-ham dari sektor industri apa yang sekiranya layak dibeli dan dimasukkan ke dalam portofolio.
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