THE IMPLEMENTATION OF MARKOWITZ MODERN PORTFOLIO OPTIMIZATION ON BAHANA ICON SYARIAH EQUITY FUND

• Main Author: Nuralif Verdiyanto, Raka
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/53466
• Institution: Institut Teknologi Bandung

The growth in the number of mutual fund investors and net asset value in sharia mutual funds, supported by the prospect of Indonesia’s growth in 2021, is a golden opportunity for PT Bahana TCW Investment Management to offer their mutual fund products to investors. The performance of a mutual fund can be seen from the growth of the net asset value that has been managed in recent years using the concept of time diversification. However, Bahana Icon Syariah, one of Bahana TCW’s mutual fund products, is less preferred by investors due to historical poor performance over the last five years compared to the reference index of Indonesia Sharia Stock Index (ISSI). The performance is not in line with the objective of actively managed investment funds to beat the benchmark index and obtain an optimal rate of return in the long-term through the majority investments in sharia stocks securities listed in the reference index. Therefore, this study will evaluate and determine the optimal portfolio using the modern portfolio theory developed by Harry Markowitz in four different market conditions – overall in the last five years, sideways, bullish, and bearish – with two variables, which are active and semi-active investment strategy. Data inputs refer to stocks that have always been recorded at least 80 percent in the Jakarta Islamic Index 30 (JII 30) and Jakarta Islamic Index 70 (JII 70) during the research period from October 2015 to October 2020. The findings reveal that the concept of Markowitz’s modern portfolio can be applied to any type of market conditions since it always generates higher expected return and Sharpe ratio than the benchmark index. The active investing strategy is always superior to the semi-active investment strategy based on the Sharpe ratio under any form of market conditions. The recommendations of this study refer to three things, in (stocks that enter the portfolio) based on top 10 stocks in overall condition, watch list (considered stocks) based on sideways, bullish, and bearish conditions, and out (outgoing stocks from the portfolio) based on the stock screening results on the overall condition. The results showed that there were 8 stocks worthy of being included in the portfolio, 4 stocks worthy of consideration, and 9 stocks worthy of being removed from the portfolio. The results of this study are expected to be used and developed as one of the company's tools to obtain optimal portfolio returns for companies and investors.