OPTIMIZATION OF INDONESIAN SHARIA STOCK PORTFOLIO USING DIVIDEND YIELD STRATEGY BASED ON STUDY PERIOD 2013 - 2022

• Main Author: Nurkholis Arba, Rendra
• Format: Theses
• Language: Indonesia
• Subjects: Manajemen umum
• Online Access: https://digilib.itb.ac.id/gdl/view/76567
• Institution: Institut Teknologi Bandung

Indonesia sharia stock exchange is a high growing market. According to the Indonesia Financial Services Authority (OJK), the number of shares listed on the Indonesia sharia stock exchange increased by 44.53% in the period 2017 to 2022. This presents an excellent opportunity and potential for stock investors. This study conducted to analyze Dogs of the Dow (DoD) investment strategy as dividend yield based investment, whether applicable to outperform Jakarta Islamic Index (JII) and other sharia index, even beat overall composite index (IHSG). Data objects were obtained from period 2013 – 2022. The result shows that the strategy defeat sharia index but not as majority. Collectively DoD portfolios 4 times partially able to beat the index in years 2016, 2020, 2021 and 2022. Only in 2016 and 2022, DoD portfolios were able to beat both sharia indexes and IHSG overall. The analysis also resulted that portfolio 3Small DoD portfolio have highest Sharpe ratio compared to others. Although DoD strategy is not significantly battle-proven to win against the index, at some points of research period, it generated higher return and Sharpe ratio. The investors still can use DoD as alternative portfolio for investment, especially for sharia preferred investor or sharia mutual fund manager.