ANALYSIS OF VALUE AT RISK (VAR) WITH A HISTORICAL METHOD OF THE OPTIMAL PORTFOLIO OF ISLAMIC STOCKS JII’S INDEX WITH A BLACK-LITTERMAN MODEL (CASE STUDY OF BPJS KETENAGAKERJAAN AS A VIEW OF INVESTOR)

• Main Author: Yuliardi, Danang
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/54952
• Institution: Institut Teknologi Bandung

BPJS Ketenagakerjaan supports the government's vision for sharia service products, then it is necessary to place investment funds into sharia instruments. Stocks, as one of the investment instruments, require an optimal portfolio. The Black-Litterman model is a vector combination of market equilibrium, as represented by the Capital Asset Pricing Model (CAPM), with investor perspectives of subjective view on expected return. Furthermore, as the principal of public funds with a substantial share invested in Indonesia, particularly stocks, the impact of BPJS Ketenagakerjaan's investment strategies is a concern for other investors. The BL model portfolio is analyzed using a historical simulation of Value at Risk in order to estimate the risk of loss for BPJS Ketenagakerjaan's investment performance. From the results of the comparison between the expected return on the BL portfolio and the VaR, it can be selected using a view on the mean of the target stock price by consensus to be used as an optimal portfolio. Because, with 6 share compositions, namely 4.4% AKRA, 20.9% ICBP, 21.3% INDF, 14.4% KLBF, 32.1% TLKM, and 6.9% UNVR, the expected value of portfolio returns is slightly lower than the view at the 50% quantile, but has a smaller variance value. Based on the calculation of the VaR value, the results obtained are lower than the views at the 25%, 50%, and 75% quantiles. These results are in accordance with the risk profile of BPJS Ketenagakerjaan.