Analisis Pembentukan Portofolio Dan Pengambilan Keputusan Investasi Pada Saham Sub Sektor Food And Beverage Periode 2021–2025 Dengan Metode Capital Asset Pricing Model (CAPM)
DOI:
https://doi.org/10.61722/jaem.v3i2.10775Keywords:
Capital Asset Pricing Model (CAPM), investment decisions, optimal portfolio, defensive stocks, food and beverage sub-sectorAbstract
This study aims to analyze the formation of an optimal portfolio and investment decision-making for stock in the food and beverage (F&B) subsector for the period 2021 – 2025 using the Capital Asset Pricing Model (CAPM). Using Purposive sampling, six companies were selected as the research sample. The analysis results show that the average market return is positive at 0,72% per month. All sample stocks consistently have a beta coefficient below one ( < 1) with an industry average of -0,03572, confirming the defensive characteristics of this sector against JCI volatility. Based on a comparison of actual returns and expected returns, three efficient stocks were identified as undervalued: ADES (highest return of 4,73%), CLEO, and STTP. The formation of an optimal portfolio structure from these three stocks resulted in a fund allocation of 64% for ADES, 23% for CLEO, and 13% for STTP. This combination proved optimal, generating a projected portfolio return 0,59% per month and a systematic risk level (Portfolio Beta) of 0,184. This defensive portfolio combination is recommended for investors with a risk-averse profile.
References
Abdillah, A., Putra, A. K., Manajemen, J., Ekonomi, F., & Karawwang, U. S. (2021). Analisis Perbandingan Keakuratan CAPM Dan APT Dalam Upaya Pengambilan Keputusan Investasi Saham Sektor Perbankan Analysis Comperative Accuracy of CAPM and APT in Decision Making Of Share Investment Banking Sector. JURNAL AKUNTANSI DAN BISNIS, 7(1), 42–50. https://doi.org/10.31289/jab.v7i1.4336
Adnyana, M. I. (2020). MANAJEMEN INVESTASI DAN PORTOFOLIO (Melati (ed.)). Lembaga Penerbitan Universitas Nasional (LPU-UNAS).
Alghifari, E. S., Setia, B. I., & Sari, M. (2023). MASIH RELEVANKAH TEORI PORTOFOLIO MODERN ? Jurnal Ilmiah Ekonomi Dan Bisnis, 20(1), 1–8.
Apriani, E., Haeruddin, M. I. M., Rauf, A., Musa, M. I., & Amin, A. M. (2023). Analisis Risiko Dan Pengembalian Dalam Investasi Saham Studi Kasus Pada Sub Sektor Food and Beverages Dan Tabacco Manufacture Periode 2019-2022. Jurnal Ekonomi Kreatif Dan Manajemen Bisnis Digital, 2(1), 1–16. https://doi.org/10.55047/jekombital.v2i1.487
Arifudin, O., Wahrudin, U., & Rusmana, D. F. (2020). Manajemen Risiko. Penerbit Widhina Bhakti Persada Bandung.
Berutu, P. A., Lubis, N. F., Febix, V. Z., & Harahap, M. I. (2026). Capital Asset Pricing Model (Capm) Dalam Pasar Modal Indonesia: Tinjauan Pustaka Terhadap Prinsip, Asumsi, Dan Relevansinya. Journal of Golden Generation Multidisciplinary, 2(1), 265–274. https://ejournal.lppnusantara.com/index.php/jggmultidisciplinary/article/view/358
Istiqomah, & Letraningsih, M. (2017). ANALISIS CAPITAL ASSET PRICING MODELTERHADAP KEPUTUSAN INVESTASI PADA PERUSAHAAN FOOD AND BEVERAGE. Jurnal Ilmu Dan Riset Manajemen, 6(9), 2461–0593. https://doi.org/10.1128/AAC.03728-14
Nasywa, L. Z. (2025). ANALISIS PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL INDEKS TUNGGAL (SINGLE INDEX MODEL) PADA SAHAM INDEKS LQ45. Neraca Akuntansi Manajemen, Ekonomi, 17(10). https://doi.org/10.8734/mnmae.v1i2.359
Pandji, V. cattravelly, Entot Suhartono, Nila Tristiarini, & Melati Oktafiyani. (2024). Pengaruh Self Atribution Bias, Mental Accounting, Familiarity Bias, Terhadap Pengambilan Keputusan Investasi (Studi kasus, Mahasiswa FEB UDINUS SEMARANG). JEMSI (Jurnal Ekonomi, Manajemen, Dan Akuntansi), 10(1), 688–703. https://doi.org/10.35870/jemsi.v10i1.2071
Rakhmatulloh, A. D., & Asandimitra, N. (2019). PENGARUH OVERCONFIDENCE, ACCOUNTING INFORMATION, DAN BEHAVIOURAL MOTIVATION TERHADAP KEPUTUSAN INVESTASI DI KOTA SURABAYA. Jurnal Ilmu Manajemen, 7, 796–806.
Srg, L. N., Sagala, N. R. B., Simanjuntak, H. A., & Harahap, M. I. (2026). Penerapan Modern Portofolio Teori dalam Pengelolaan Investasi di Indonesia. Jurnal Ilmu Manajemen, Bisnis Dan Ekonomi (JIMBE), 3(5).
Tandelilin, E. (2017). Portofolio & Investasi : teori dan aplikasi.
Urwah, K. N., Farida, I., & Faozi, A. Z. (2024). Analisis Capital Asset Pricing Model (CAPM): Dasar Pengambilan Keputusan Investasi Saham pada Perusahaan Sektor Perbankan. Owner, 8(1), 333–344. https://doi.org/10.33395/owner.v8i1.1850
Wahyudi, R. (2024). Mempelajari Efisiensi Pasar Modal Melalui Teori Portofolio. Circle Archive, 1(5).
Yusri, A., & Dewi, A. K. (2025). ANALISIS PENERAPAN METODE CAPITAL ASSET PRICING MODEL (CAPM) DALAM PENGAMBILAN KEPUTUSAN INVESTASI PADA SAHAM SUB SEKTOR FOOD AND BEVERAGE PERIODE 2019-2023. Jurnal Riset Akuntansi & Keuangan, 11(1), 23–36.
