An ANALYSIS OF THE APPLICATION OF THE CAPITAL ASSET PRICING MODEL (CAPM) AND REWARD TO VARIABILITY RATIO (RVAR) METHODS IN STOCK INVESTMENT DECISION-MAKING

Case Study: Companies Listed on the LQ45 Index of the Indonesia Stock Exchange (IDX) for the Period February 2020 – January 2025

Authors

  • Winda Khaerunnisa Dapartement of Accounting Program, Universitas Amikom Yogyakarta
  • Fahrul Imam Santoso Dapartement of Accounting Program, Universitas Amikom Yogyakarta

DOI:

https://doi.org/10.30651/stb.v5i1.26265

Keywords:

Capital Asset Pricing Model, Reward to Variability Ratio, Stock Portfolio, Stock return, Stock Risk

Abstract

The aim of this research is to analyze the grouping of stocks within the LQ45 index that can be considered in the construction of an investment portfolio using the Capital Asset Pricing Model (CAPM) and Reward to Variability Ratio (RVAR) methods. The CAPM method is used to measure the expected return of a stock based on its systematic risk. Furthermore, the RVAR method is applied to rank stock performance by comparing return levels with associated risk. This research employs a descriptive method with a quantitative approach. The data used includes monthly stock closing prices, IDX Composite as a market proxy, and the risk-free interest rate for the period from February 2020 to January 2025. The analysis results indicate that the top-performing stocks based on the combination of both methods, in order, are PT Alamtri Resources Indonesia Tbk (ADRO), PT Indo Tambangraya Megah Tbk (ITMG), PT Bukit Asam Tbk (PTBA), PT Aneka Tambang Tbk (ANTM), and PT United Tractors Tbk (UNTR).

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Published

2025-06-05

Issue

Vol. 5 No. 1 (2025): Volume 5 No 1, Mei 2025

Section

Artikel

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