Comparative Analysis of Active and Passive Portfolios with the Single Index Model and Capital Asset Pricing Model in Indonesia

This research conducts a deep comparative analysis between active and passive investment portfolios, applying two fundamental theoretical models in finance: the Single Index Model (SIM) and the Capital Asset Pricing Model (CAPM). The study focuses on stocks traded on the Indonesia Stock Exchange (IDX) that have a unique characteristic: they were not consistently included in the prestigious LQ45 Index list during the research period from January 2015 to June 2025. Using a rigorous quantitative method, the research aims to objectively compare the performance, return, and risk of the meticulously constructed portfolios. The results conclusively indicate that portfolios designed using the Single Index Model consistently show superior performance and returns compared to those based on the CAPM. Furthermore, the analysis also firmly demonstrates that an active portfolio strategy provides a far more superior performance than a passive strategy. These findings make a significant contribution to investors by offering valuable practical insights into selecting the most effective models and strategies to optimize their investment portfolios in the dynamic and competitive Indonesian capital market. This research is also expected to lay the foundation and pave the way for future studies that can explore other factors influencing portfolio performance.