Analisis Portofolio Saham Optimal Model Markowitz Pada Jakarta Islamic Indeks (JII) Tahun 2016-2020

Abstract

This study aims to determine the stocks listed in the Jakarta Islamic Index (JII) on the Indonesia Stock Exchange which are included in the optimal portfolio for the 2016-2020 period and the amount of fund composition of each stock in the formation of the optimal portfolio. The population in this study are all stocks included in the Jakarta Islamic Index (JII) which are listed on the Indonesia Stock Exchange (IDX) for the 2016-2020 period. The sample of this research is 6 stocks that become portfolio candidates and 10 stocks that become non-candidate portfolios. The results of the portfolio candidate research show the proportion of ADRO funds (5.09%), INDF (22.64%), KLBF (19.65%), TLKM (33.70%), UNTR (17.74%) and WIKA (1.19%). The return is 0.91% and the risk is 7.45%. The results of the non-candidate portfolio research show the proportion of funds from AALI (0.42%), ASII (7.14%), ICBP (28.22%), ITMG (5.81%), JSMR (7.09%), LSIP (1.85%), MIKA (11.54%). , SILO (3.84%), SSMS (10.03%), and UNVR (24.06%). The return is 0.73% and the risk is 8.57%. The results of testing the first hypothesis show that there is no significant difference between stock returns that are included in the candidate and stock returns that are not included in the candidate portfolio and the results of testing the second hypothesis indicate that there is no significant difference between the risk of stocks that are included in the candidate and the risk of stocks that are not included in the candidate portfolio.

Keywords: Optimal Portfolio, Markowitz Model, Jakarta Islamic Index (JII).