Study of Optimal Portfolio Performance Comparison: Single Index Model and Markowitz Model on LQ45 Stocks in Indonesia Stock Exchange

ABSTRACT : The purpose of this study is to determine the company stocks that are included in the optimalportfolio and the proportion of funds for each share and to determine the performance of the portfolio model andthe difference in the average return of the single index model and the Markowitz model. The research isconducted at the Indonesia Stock Exchange on stocks included in the LQ45 index for the period February 2017 -January 2020. The study used secondary data with data collection methods using non-participant observationmethods. The research sample consisted of 28 stocks obtained using purposive sampling method. The dataanalysis technique used is the Wilcoxon-Mann-Whitney test. The results show that the optimal portfolio modelperformance using the single index model has better performance than the Markowitz model, but statisticallythere is no significant difference in the average return using the single index model and the Markowitz model.

Keywords -portfolio, single index model, Markowitz model, LQ45 index