Abstact

The subject is to entire banking sector stocks that are actively traded on a consistent basis or at least have the closing price in the period of October 2011 to February 2012 and not doing corporate action in the form of stock split, reverse stock split, and rights issue. Of the 34 bank listed on the stock exchange, Indonesia turned out Effects there are only 29 stocks that meet requirements. This research aimed to get information about banking shares are feasible for investment as well as the optimal form of portfolios 2 banking stocks and get the optimal portfolio of banking shares 3. Expected annual return of banking stocks are between -42,25% to 171,26%by an average of 100,24%. The zero risk does not mean that the investment on the stock investment banking is risk free, but by chance there were 2 bank which has a fixed price so their expected return on its own bank is 0,0% and 0,0% risk also. Banking shares were feasible for investment are 15 sets of shares, that are Bank Himpunan Saudara (SDRA)by its sharp ratio 0.53005, Bank of India Indonesia (BSWD) by its sharp ratio0.41909, Bank Tabungan Pensiun Nasional (BTPN)by its sharp ratio 0.40016, Bank Maya (MAYA) by its sharp ratio 0.37486, Bank NISP by its sharp ratio 0. 23847, Bank Bumi Arta (BNBA) by its sharp ratio 0.23415, Bank Danamon (BDMN) by its sharp ratio 0.17349. Optimal portfolio of two forms of banking stocks is 68% of SDRA stock and 32% of stock BSWDhas the expected return 109,11%, 161,44% risk and its sharp ratio 0,64023. The optimal portfolio of three forms of banking stocks is a portfolio consisting of 28,56% share SDRAm 13,44% share of BSWD and 58% share of BTPN has the expected return 67,44%, 78,32% risk and its sharp ratio 0,7877.