Paper Title:

Portfolio Optimization of Sharia and Non-Sharia Stocks Using Single Index Model (Case study: Jakarta Sharia Index and Kompas 100 Index)

Author(s):

Kwardiniya Andawaningtyas, Muhammad Luthfi, Marjono, Endang Wahyu Handamari, Umu S'adah, Evi Ardiyani

Department of Mathematics,
Brawijaya University, Malang,
Indonesia.

Department of Mathematics,
IPB University, Bogor,
Indonesia.

E-mail: dina_math@ub.ac.id
muhammadluthfi@student.ub.ac.id
marjono@ub.ac.id
ewahyu-math@ub.ac.id
u.saadah@ub.ac.id
ardiyanievi@apps.ipb.ac.id

Abstract:

Stocks are instruments with high returns but also have increased risks. One way to overcome this risk is to form a stock portfolio. This study observed 30 sharia stocks listed on the Jakarta Islamic Index (JII) and 28 non-shariah stocks listed on the Kompas 100 Index from March 2020 to September 2022. The data used is the daily closing price of stocks, the number of stock dividends, and the daily closing price of the Jakarta Composite Index (JCI) from 3rd March 2020, to 31st August 2022. In addition, interest rate of Bank Indonesia Certificate (SBI) is used as risk-free rate. This study aims to optimize the sharia and non-sharia stocks portfolio using the Single Index Model (SIM), which will then be evaluated using the Sharpe, Treynor, and Jensen ratio. The result is that the optimal portfolio of sharia stocks have better performance than the optimal portfolio of non-sharia stocks based on the Treynor ratio. Meanwhile, the optimal portfolio of non-sharia stocks have better performance than the optimal portfolio of sharia stocks based on the Sharpe and Jensen ratio.

Full Text PDF: