COMPARISON ANALYSIS OF INDEX IDX30 OPTIMAL SHARE PORTFOLIO WITH INDONESIAN EQUITY FUND PORTFOLIO PERFORMANCE

Based on the results of the study, the conclusions that can be drawn are as follows. The optimal portfolio calculation results on the Single Index Model method for stocks show that stocks with UNVR issuers are the only ones that are optimal. Whereas in Mutual Funds there is no optimal portfolio calculation results. The results of calculations using the Markowitz method for all stock issuers obtained a return value of 0.000634 with a risk of 0.036057, namely at alpha 0.9. Meanwhile, for all stock mutual fund issuers, a return value of 0.003195 was obtained with a risk of 0.033629, namely at alpha 0.9. Compared to calculations using the Single Index Model Method for all stocks, a return value of 0.0050 is obtained with a risk of 0.0218, while for Equity Mutual Fund issuers a return value of 0.0072 is obtained with a risk of 0.0194, in this case the calculation of the optimal portfolio in stocks and mutual funds using the Markowitz Method produces a smaller return and greater risk than the Single Index Model method. The Single Index Model method which produces stock return calculations is superior to the Markowitz method. This is obtained from the results of the return value obtained on the Single Index Model which is greater than the Markowitz model so that stock investment will be more profitable if using the Single Index Model method. The Single Index Model method is superior to the Markowitz method in calculating mutual fund returns. This is obtained from the results of the return value obtained in the Single Index Model which is greater than the Markowitz model so that mutual fund investment will be more profitable if using the Single Index Model method. The Single Index Model method is superior to the Markowitz method in calculating stock risk. This is obtained from the results of the stock risk value obtained in the Single Index Model which is smaller than the Markowitz model so that stock investment will be riskier if using the Markowitz method. The Single Index Model method is superior to the Markowitz method in calculating mutual fund risk. This is obtained from the results of the mutual fund risk values obtained in the Single Index Model which are smaller than the Markowitz model so that mutual fund investments will be riskier if using the Markowitz method.


INTRODUCTION
The capital market is a meeting place for companies and other institutions (eg the government) that need funds from the public for business development, expansion, additional working capital, etc., with the public wishing to invest their funds. To obtain funding, these companies or institutions issue stocks or bonds, and the public (investors) finance these companies or institutions by purchasing these instruments on the capital market either directly or in the form of mutual funds. Therefore the capital market has an important role for the economy of a country. Apart from stocks, bonds and mutual funds, the capital market also trades other forms such as warrants, rights and other derivative products (Mar'ati, 2010). Capital Market Law No. There are several investment instruments in Indonesia that provide various investment options for investors in Indonesia. Investment is the purchase of financial assets to obtain greater profits in the future. One of the investment instruments that can provide a high return is stock investment. Investment in shares or commonly called stock investment is the purchase or participation or ownership of shares of other companies with the aim of gaining profit and others (Mudjiyono, 2012). The stock price reflects the wealth of the company that issued the shares, where changes or fluctuations are largely determined by the forces of supply and demand that occur on the exchange (secondary market). The more investors who want to buy or hold a stock, the higher the price. conversely, the more investors who want to sell or release a stock, the more the price will move down (Sihombing & Munthe, 2011). The advantages gained through investing in stocks are capital gains (increase in stock prices on the stock exchange) and dividends given by the company to investors. On the other hand, risks can occur in stock investment, namely stock price fluctuations on the stock exchange caused by demand and sales as well as declining company performance.
Apart from investing in stocks, investments in the capital market that also provide high returns are mutual fund investments. Mutual Funds have different proportions and based on the type of Mutual Funds are divided into five types, namely money market Mutual Funds, fixed income Mutual Funds, Mixed Mutual Funds, Equity Mutual Funds and Protected Mutual Funds (OJK, 2015). Mutual Fund performance can be described through the net asset value per unit or total Mutual Fund portfolio value which is calculated on the basis of market price divided by the number of Mutual Fund participation units (UP). NAV is the amount of assets that have been deducted by the related liabilities. The obligations referred to in Mutual Funds are investment manager fees, custodian bank fees, broker fees, taxes and securities purchases that have not been paid (Darmadji, 2012). According to Rofiq and Santoso (2015) say that "Equity mutual funds are mutual funds that place at least 80% of the public managed funds in equity securities and the potential for equity mutual funds has high returns and risks." This shows that Equity Funds have a proportion of 80% in equity and relatively high returns but are also accompanied by high risks compared to other types of Mutual Funds.
The problem that is often faced by investors is the attitude of doubt in choosing stocks that are formed to be their preferred portfolio. This relates to the type of investor who avoids risk and investors who like high enough risk. A rational investor, of course, will choose the optimal portfolio. Stock risk is generally divided into 2 parts, namely risks that affect all investments and cannot be reduced or eliminated by diversification. Meanwhile, unsystematic risk is the risk inherent in certain investments due to the unique conditions of a particular company or industry. The relative measure of systematic risk known as the Beta coefficient shows the relative risk size of a stock to the market portfolio (Hartono, 2017).

LITERATURE REVIEW 2.1 Portfolio Theory
According to Jogiyanto (2017), that Markowitz's portfolio theory is based on the mean (average) and variance (variance) approaches, where the mean is a measure of the rate of return and variance is a measure of the level of risk. Markowitz's portfolio theory is also known as the mean-variant model, which emphasizes efforts to maximize the expected return (mean) and minimize uncertainty or risk (variance) to select and develop optimal portfolios. According to Tandelilin (2017: 156), in forming a portfolio to maximize the expected return at the level of risk borne by investors, the index model or factor model assumes that the rate of return of an effect is sensitive to changes in various factors or indexes. As a process of calculating the rate of return, an index model attempts to capture the major economic forces that can systematically move stock prices for all securities. Implicitly, in the construction of the index model there is an assumption that the rate of return between two or more securities will be correlated (Halim, 2018: 82).

return
One of the goals of investors investing is to get a return. Without the level of profit enjoyed from an investment, of course investors will not invest. So all investments have the main goal of getting a return. According to Jogiyanto (2015: 107), return is the result obtained from investment. According to Samsul (2015: 111), return is income expressed as a percentage of the initial investment capital. Investment income in these shares is the profit obtained from buying and selling shares, where if a profit is called a capital gain and if a loss is called a capital loss. According to Brigham and Houston (2016: 215), return or rate of return is the difference between the amount received and the amount invested, divided by the amount invested.

Risk
Risk according to Hanafi (2014: 1), Risk is a hazard, result or consequence that can occur as a result of an ongoing or ongoing or future process. Risk can be interpreted as a state of uncertainty, where if an unwanted condition occurs it can cause a loss. According to AS/NZS Standard 4360:1995 risk is the chance of something happening that has an impact on goals that are measured in terms of consequences and probabilities.

Investment
Investment is a delay in current consumption to be included in productive assets for a certain period of time in the future (Jogiyanto, 2015: 5). Meanwhile, according to Tandelilin (2017: 2) Investment is a commitment to a number of funds or other resources that are carried out at this time, with the aim of obtaining a number of benefits in the future. Based on some of the definitions above, it can be interpreted that investment is the placement of funds in an asset by sacrificing current consumption for a certain period of time with the aim of obtaining profits in the future.

Share
Shares are certificates that show proof of ownership of a company, and shareholders have claim rights to the company's profits and assets. Shares are securities that show part of the company's ownership, if investors invest by buying shares it means that the investor buys part of the ownership of the company, and the investor is entitled to the profits the company gets in the form of dividends. According to Tandelilin (2017: 31) a share is a certificate that shows proof of ownership of a company, if an investor owns 1 million shares of a company out of a total of 100 million shares, the investor owns 1% of the company.

mutual funds
Mutual Funds are a forum and pattern of fund or capital management for potential investors to invest in investment instruments available on the Capital Market by purchasing a mutual fund participation unit (UP). These funds are then managed by the Investment Manager into investment portfolios, either in the form of stocks, bonds, derivatives, money markets or others. Mutual funds are also an investment alternative for investors, especially small investors and investors who don't have much time and expertise to calculate the risk of their investment. Referring to Capital Market Law No. 8 of 1995, article 1 paragraph 27 defines that mutual funds are a vehicle used to raise funds from public investors to be invested in portfolio securities by investment managers. There are three things that are related to this definition, namely, First, there are funds from the financier community. Second, the fund is invested in a securities portfolio, and Third, the fund is managed by an investment manager. Thus, the funds in mutual funds are shared funds with investors, while the investment manager is the party entrusted with managing the funds.

RESEARCH METHODS
In addition to processing the results of previous research, exploratory research is also needed to formulate problems and identify for further research. Then quantitative research is used to explain problem analysis, to explain the basic theoretical concepts and results of previous research, and to reveal the hypothesis to be tested. Mutual fund research was conducted at the Financial Services Authority (OJK) which is located at Jalan Lapangan Banteng Timur 2-4, Jakarta 10710. The population is a generalization area (read: generalization) which consists of: objects/subjects that have certain qualities and characteristics determined by the researcher to be studied and then conclusions drawn (Sugiyono, 2012: 90). Population can also be defined as a collection of data that may be observed or recorded by a researcher. The population in this study are all IDX30 index companies in 2019-2021 The sample is part of the number and characteristics possessed by the population (Sugiyono, 2012: 91). The sample is determined with the criteria that the stock is consistently at IDX 30 in a row from 2019 to 2021. This data can be obtained from the company's annual report and financial statements. Data collection was carried out by determining sample companies and then downloading the company's annual report on the website www.idx.co.id and the respective company's website. In this study the data used is time series data. Based on Table 1, shows the value of alpha, beta, and also the residual error variance of the issuers studied. From these data will then be used in calculations in determining stocks that match the criteria for forming an optimal portfolio. Based on the ERB calculation, the highest ERB value was obtained from UNVR shares in 2020 which was 2.5288 and the lowest ERB from CPIN shares in 2021 which was -0.2360. There is a negative ERB value because the E(Ri) value owned is smaller than the existing Risk Free value so that it influences the formation of the ERB value of each stock.  Selection of stocks in accordance with the optimal portfolio category can be done with the condition that ERB > C*. Based on Table 4.3, there are only two stocks with ERB values > C* and included in the optimal portfolio, namely UNVR and INDF stocks. Based on Table 4, shows the value of alpha, beta, and also the residual error variance of the mutual funds studied. From these data will then be used in calculations in determining stocks that match the criteria for forming an optimal portfolio. https://jaruda.org Based on ERB calculations, the highest ERB value was obtained from the Mandiri Investa Smart Bangsa mutual fund in 2021 which was 0.6011 and the lowest ERB from the Class A TRAM Consumption Plus mutual fund in 2021 which was -0.2911. There is a negative ERB value because the E(Ri) value owned is smaller than the existing Risk Free value so that it influences the formation of the ERB value of each stock. Selection of stocks in accordance with the optimal portfolio category can be done with the condition that ERB > C*. Based on Table 6, there is only one stock with an ERB value > C* and included in the optimal portfolio, namely stocksMandiri Invest Smart Nation. Based on Table 7 above, it can be seen that during the research period the highest E(Rᵢ) was generated by ADRO shares in 2021, namely 0.04873. While the lowest E(Rᵢ) was produced by UNVR shares, namely -0.0447. Based on Table 8 above, it shows that the proportion of each selected stock is a number of stocks forming an optimal portfolio, but there are also several stocks that do not form an optimal portfolio. Based on Table 9 above, it can be seen that during the research period the highest E(Rᵢ) was generated by the Class A Eastspring Investments Value Discovery mutual fund in 2020, namely 0.1011. While the lowest E(Rᵢ) is produced by TRIM Kapital Plus, which is -0.0165. Based on Table 10 above, it shows that the proportion of each selected mutual fund is a number of stocks forming an optimal portfolio, but there are also several stocks that do not form an optimal portfolio. Based on Table 11, the single index model method is superior to the Markowitz method because the Single Index Model method has a greater return and smaller risk. The following are the results of the independent sample t test. Based on the results of the comparative test using the independent sample T test in Table 12, it is known that the Single Index Model method has a greater return value than the Markowitz method on stocks and mutual funds with a significance of less than 0.05. Furthermore, in the risk analysis, the Single Index Model method also has a lower risk value than the Markowitz method with a significance of less than 0.05. Thus it can be concluded that the Single Index Model method is better than the Markowitz method.

Result
The results of the study show that there are differences in the value of returns between mutual funds and stocks formed by the Single Index Model where stock returns are greater than mutual fund returns. The results of this study are not in line with Oktaviani's research (2016) where it was found that there was no difference in the return value of mutual funds and LQ45 stocks. This also occurs in the Markowitz model where there is a difference in returns between stocks and mutual funds with stock returns greater than mutual fund returns. The results of the study show that there is a difference in the value of risk between Mutual Funds and stocks formed by the Single Index Model where the stock risk is greater than the mutual fund risk. This also occurs in the Markowitz model where there is a difference in risk between stocks and mutual funds with the risk of stocks being greater than the return on mutual funds.
The results showed that the Single Index Model is better than the Markowitz model both in calculating returns and risks in stocks and mutual funds. In line with research conducted by (Azizah et al., 2017) which states that the risk of the Single Index Model portfolio is lower than the risk of the Markowitz portfolio. However, it is different from research conducted by (Azizah et al., 2017) which states that neither portfolio return nor portfolio risk formed using Markowitz and the Single Index Model are no different. (Yuwono & Ramdhani, 2017). Furthermore, research by Rachmatullah et al. (2021) which aims to determine the optimal portfolio composition in stocks that are consistently listed on the Jakarta Islamic Index (JII) from the period 2018 -November 2020. Using https://jaruda.org Volume 1 No.5 (2023) Journal of Accounting Research, Utility Finance and Digital Assets the analysis of the Markowitz method and the Single Index Model, and then looking at the portfolio performance of the two methods . The results showed that the Single Index Model is superior to the Markowitz model with a large return calculation and a small risk.

CONCLUSION
Based on the results of the study, the conclusions that can be drawn are as follows.
1. The optimal portfolio calculation results on the Single Index Model method for stocks show that stocks with UNVR issuers are the only ones that are optimal. Whereas in Mutual Funds there is no optimal portfolio calculation results. 2. The results of calculations using the Markowitz method for all stock issuers obtained a return value of 0.000634 with a risk of 0.036057, namely at alpha 0.9. Meanwhile, for all stock mutual fund issuers, a return value of 0.003195 was obtained with a risk of 0.033629, namely at alpha 0.9. Compared to calculations using the Single Index Model Method for all stocks, a return value of 0.0050 is obtained with a risk of 0.0218, while for Equity Mutual Fund issuers a return value of 0.0072 is obtained with a risk of 0.0194, in this case the calculation of the optimal portfolio in stocks and mutual funds using the Markowitz Method produces a smaller return and greater risk than the Single Index Model method. 3. The Single Index Model method which produces stock return calculations is superior to the Markowitz method. This is obtained from the results of the return value obtained on the Single Index Model which is greater than the Markowitz model so that stock investment will be more profitable if using the Single Index Model method. 4. The Single Index Model method is superior to the Markowitz method in calculating mutual fund returns. This is obtained from the results of the return value obtained in the Single Index Model which is greater than the Markowitz model so that mutual fund investment will be more profitable if using the Single Index Model method. 5. The Single Index Model method is superior to the Markowitz method in calculating stock risk. This is obtained from the results of the stock risk value obtained in the Single Index Model which is smaller than the Markowitz model so that stock investment will be riskier if using the Markowitz method. 6. The Single Index Model method is superior to the Markowitz method in calculating mutual fund risk. This is obtained from the results of the mutual fund risk values obtained in the Single Index Model which are smaller than the Markowitz model so that mutual fund investments will be riskier if using the Markowitz method.