Portfolio Analysis to Determine the Optimal Expected Return and Minimal Risk for Lq45 Companies Listed on the Indonesian Stock Exchange

Abstract

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.