Comparative Study of Portfolio Group Performance of Blue Chips and Small Chips Shares on the Indonesia Stock Exchange

ABSTRACT : The purpose of this study is to find out how the optimal portfolio performance of the blue chipsand small chips stock groups on the Indonesia Stock Exchange in the period July 2018 – July 2019. This studyuses the Single Index Model in forming optimal portfolios and Sharpe Index in measuring portfolio performanceformed . The population in this study are 45 shares which included blue chips and 61 shares which includedsmall chips. The technique of determining the sample using purposive sampling is a company that has a positivestock return of 80 shares. The method of observation is used in this study for data collection. The results of thisstudy indicate that during the period July 2018 – July 2019, the two forming portfolios have portfolioperformance that are greater than the market return, but in absolute terms the performance value of the bluechips stock group are greater than the performance value of the small chips stock group.

Keywords -single index model, sharpe index, blue chips, small chips