OPTIMALISASI PORTOFOLIO SAHAM PERBANKAN DENGAN MODEL INDEKS TUNGGAL SHARPE

Abstrak

Investment in banking-sector stocks involves a trade-off between expected return and risk. The classical Markowitz approach requires numerous covariance estimates, making it impractical for large stock universes. This study applies Sharpe's Single Index Model to build an optimal portfolio of eight banking stocks listed on the Indonesia Stock Exchange (BJBR, MEGA, BMRI, BBNI, BBTN, NISP, BDMN, and BRIS) using 15 daily return observations from 8 June to 6 July 2026. The Security Characteristic Line was estimated for each stock to obtain alpha, beta, and residual variance, followed by the Elton-Gruber-Padberg cut-off rate procedure to rank stocks by excess return to beta and select the optimal composition. The results show a cut-off rate of 0.986%, with three stocks (BJBR, BRIS, and MEGA) qualifying for the optimal portfolio, weighted 88.6%, 2.9%, and 8.5%. The optimal portfolio has beta 0.51 and daily standard deviation 1.52%, markedly lower than an equally-weighted naive portfolio of the eight stocks (beta 1.00, standard deviation 2.88%), while achieving a comparable return-to-risk ratio. These findings illustrate the practical benefit of the cut-off rate procedure in selecting an efficient risk-return combination, although the short observation period limits the results to a methodological illustration rather than a definitive investment recommendation.

Keywords: banking stocks, cut-off rate, excess return to beta, optimal portfolio, single index model