ANALISIS PERBANDINGAN RETURN ANTARA PORTOFOLIO MODEL INDEKS TUNGGAL DAN RANDOM

The purpose of this research was to compare a rational investor and an investor
who choose stock randomly. A rational investor is the one who success in
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choosing a stock, which gives optimal gain in a certain risk Also, it depends on the investor's preference of different return and risks. A lot of investor involve in stocks trading uses their gambling ability, in other word they choose stock randomly, without paying attention to the character of investments. This research using daily Closing Price daia, the stocks that include in the measurement factors of ILQ-45 from February 2004 until April 2004. The result of the research show that stock choosing process and determination of portofolio using Single Index Model gives maximum return.