GDL

To prove a difference on return of portfolio resulted by single index model and double index in Jakarta Stock Exchange. The writer selected share from LQ-45 for six months from June 2003 until December 2003 which was available in Jakarta Stock Exchange. The data gained for this research is analyzed and processed further to gained optimal return portfolio using single index model and double index model. The calculation results are optimal portfolio of single index model consist of Bimantara Citra Tbk 94% and Astra Agro Lestari Tbk 6%. The implementation of this portfolio results an actual return of 1.095% a month and a variance 4.817%. The optimal portfolio double index model consist of Bimantara Citra Tbk 80% and Astra Agro Lestari Tbk 2%. The implementation of the portfolio results an actual return of 1.094% a month and a variance of 4.822%. The statistics testing using t-test right side with significance level of 5% show that both actual return of the portfolios are not different significantly so investor have better use single index model because of it's calculations are simpler but can give a satisfactory result.

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