OPTIMAL PORTFOLIO STRATEGY DEVELOPMENT OF JAKARTA ISLAMIC INDEX FOR RETAIL SHARIA INVESTOR

• Main Author: Fathurohman, Muhamad
• Format: Theses
• Language: Indonesia
• Subjects: Manajemen umum
• Online Access: https://digilib.itb.ac.id/gdl/view/84727
• Institution: Institut Teknologi Bandung

Investment is an activity that involves committing a certain amount of money or capital to obtain profits in a certain period. Nowadays there are so many investments that can be made, one of which is investing in stocks. Stocks are a risky investment. As a Muslim, investments need to be done with prudence and comply with the requirements of Islamic sharia. Therefore, this study is intended for a Muslim who wants to invest in stocks by using one of strategies in stock selection and fulfilling Islamic sharia in stock selection. The method used in this study is the Markowitz model method. The sample used is the members of the Jakarta Islamic Index (JII) shares totaling 30 issuers in December 2022. The data timeframe used is the period 2018-2022 on a monthly basis which are before and after the COVID-19 pandemic existed. This is because the author wants to know the performance of the portfolio when there are extreme circumstances such as COVID-19 in portfolio formation compared to the benchmark market, namely IHSG. The results obtained are portfolios with a composition of SIDO of 23.17%, CPIN of 12.19%, HEAL of 12.15%, BRMS of 11.46%, KLBF of 10.96%, ADRO of 9.21%, ICBP of 8.23%, HRUM of 7.93%, BRPT of 3.13%, ITMG of 0.79%, and BRIS of 0.77% with better performance than the market, namely IHSG and JII. The performance measure data result compared to benchmark IHSG and JII are such as a higher Annualized Return on all portfolio O (25,54% vs 4,78% vs 0.96%), a relatively smaller Annualized standard deviation so that it is less volatile compared to IHSG and JII with respect to maximizing return (14.53% vs 14.50% vs 16.90%), a smaller Beta indicates that the portfolio movement moves with the market but is not as volatile as the market (0.6 vs 1.04 vs 1.00), a higher Sharpe ratio on all of portfolio O indicates that a higher ratio between return and risk is more preferable (132.89% vs -9.13% vs -41.76%), a higher the Treynor ratio on all portfolio O is also preferable (30.11% vs -1.32% vs -6.82%), and a higher Jensen ratio is preferable because the portfolio can bring more excess return when compared to the expected return (20,293% vs 0% vs -5,689%).