Ibnu Khajar_abstract_1522011


Ibnu Khajar
Fakultas Ekonomi Universitas Islam Sultan Agung (Unissula) Semarang
Jl. Raya Kaligawe Km.4 Semarang, 50112.

Telp. + 62 24 658 3584; Fax. +62 24 658 2455
E-mail: didijon58@yahoo.co.id

The objective of investors to invest their money in the stock exchange was to maximize return although they were subject to constraints, primarily risk. Return was the motivating force in the investment process. It was the reward for undertaking the investment. To overcome and lesson the risk, an investor needed to make diversification through the formation of portfolio. The aim of this research was to know the return and risk from the active and passive strategy in the stocks of LQ45, for 6 months periods, August 2009 until January 2010. The active strategy used the single index model and passive used the LQ45 share itself. The results of this research indicated that active strategy (single index model): return portfolio was 5.43% and risk was 4.03%. Passive strategy (following the index): return portfolio was 2% and risk was 3.5% and there was a linear relationship between an asset’s risk and its required rate of return, the bigger the amount of return, the bigger the risk taken by investors or the reverse. The finding showed that between the two strategies, the return and risk of active strategy as a whole was bigger than that of the passive strategy.

Key words: active and passive strategy, risk, return, portfolio

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