Analisis Pembentukan Portofolio Optimal Menggunakan Model Indeks Tunggal pada Indeks ESG Quality 45 IDX KEHATI

Abstract

ESG is an approach that assesses how companies operate from the perspectives of the environment, social, and governance aspects. The ESG concept helps companies integrate social and environmental responsibilities, enabling investors to select companies focused on sustainable long-term growth and value. The Indonesia Stock Exchange, as the organizer of activities in the capital market, also emphasizes these issues and has launched several ESG Quality 45 IDX Kehati-based indices and carbon intensity, allowing investors to integrate ESG factors into their portfolio formation. This research aims to construct an optimal portfolio consisting of stocks indexed in ESG Quality 45 IDX Kehati. Historical stock data were obtained from www.yahoo.finance.com from December 20, 2021, to March 3, 2023, and processed using Microsoft Excel. The research findings indicate three stocks that form the optimal portfolio: MIKA, BJBR, and SIDO, with respective proportions of MIKA (99.83%), BJBR (0.01%), and SIDO (0.006%). The study also reveals that the expected return of the optimal portfolio is 0.16% higher than the market expected return.