Open Journal Systems

How Can Sharia-Compliant Investments Minimize Risk Without Sacrificing Returns?

Amelia Prameswari, Dina Yeni Martia, Muhammad Rois

Abstract

This research examines how sharia-compliant investments can minimize risk without sacrificing returns through portfolio optimization. Using the Single Index Model (SIM) and Capital Asset Pricing Model (CAPM), this study evaluates the performance of stocks in the IDX Sharia Growth index from November 2022 to October 2024. Data from 30 companies were analyzed, with stock returns based on daily closing prices, Bank Indonesia Certificates as a proxy for risk-free returns, and the Composite Stock Price Index for market returns. Stocks were ranked based on Excess Return to Beta (ERBi), and the optimal portfolio was determined using the cut-off rate. The results show that the SIM portfolio (12 stocks) offers higher returns with lower risk, while the CAPM portfolio (15 stocks) provides similar returns to individual stocks but with lower risk. The findings confirm that sharia-based portfolio optimization effectively reduces risk while maintaining returns, providing valuable insights for investors seeking sharia-compliant financial strategies.

Keywords

Optimal Stock Portfolio; Single Index Model; CAPM; Risk; Return

References

Amaroh, S., & Nasichah, C. (2021). Risk-Return Analysis on Optimum Portfolio Selection of Islamic Stocks. Equilibrium: Jurnal Ekonomi Syariah, 9(1), 65. https://doi.org/10.21043/equilibrium.v9i1.9433

Amin, M. F., Siregar, E. S., Jambi, J., Bulian, M., Km, N., Duren, S. S., Jambi, K., & Kota, L. (2024). Analisis Pembentukkan Portofolio Optimal Saham Menggunakan Pendekatan Single Index Model ( Studi Pada Perusahaan yang Terdaftar di IDX Sharia Growth ). 2(2).

Aunillah, M. W., & Wahyudi, W. (2022). Analisis Portofolio Optimal CAPM dan Single Index Model pada Perusahaan IDX30. Jurnal Ilmiah Ekonomi Islam, 8(2), 2231. https://doi.org/10.29040/jiei.v8i2.5772

BPS. (2024). Agama di Indonesia, 2024. In Badan Pusat Statistik Kota Samarinda. https://samarindakota.bps.go.id/id/statistics-table/1/MzI0IzE=/agama-di-indonesia-2024.html

Easterday, M. W., Rees Lewis, D. G., & Gerber, E. M. (2018). The logic of design research. Learning: Research and Practice, 4(2), 131–160. https://doi.org/10.1080/23735082.2017.1286367

Firliansyah Alqiha, M., Lindra, G., Imani, L., Bisnis, P., Modal, D. P., Timur, B., & Blok, P. (2021). Analisis Portofolio Optimal Dengan Model CAPM Pada Saham-Saham Syariah Jakarta Islamic Index (JII) Tahun 2017-2020. Accounting and Financial Review, 1(1), 1–14. http://jurnal.unmer.ac.id/index.php/afre

H Mursyidah, S Abdullah, Sri Istiyanti Uswatun Chasanah, Miftahul Huda, Fajri Ikhsan, S. S. (2023). PEMBENTUKAN PORTOFOLIO OPTIMAL PADA INDEKS SAHAM SYARIAH TERBARU DI PASAR MODAL INDONESIA-IDX SHARIA GROWTH (IDXSHAGROW). STATMAT (Jurnal Statistika Dan Matematika), 5(1), 13–30.

Hartono, P. J. (2019). Teori dan Praktik Portofolio dengan Excel. Salemba Empat.

IDX Sharia Growth. (n.d.). Retrieved November 14, 2024, from https://www.idx.co.id/id/idx-Syariah/Indeks-Saham-Syariah

Markowitz, H. (1952). Portofolio Selection. The Journal of Finance, 140(4), 563. https://doi.org/10.2307/2345307

Mutia, C. (n.d.). Rentangnya Masyarakat Terjerat Investasi Bodong. Retrieved November 11, 2024, from https://katadata.co.id/analisisdata/6231b8319b44e/rentannya-masyarakat-terjerat-investasi-bodong

Nasution, A. (2015). Metodologi Penelitian: Metodologi penelitian Skripsi. In Rake Sarasin (Issue September).

OJK. (2023). Daftar Efek Syariah ( Des ). Otoritas Jasa Keuangan, 1–2. https://ojk.go.id/id/kanal/syariah/data-dan-statistik/saham-syariah/Default.aspx

Richo Rianto, M. (2023). Manajemen Investasi Dan Portofolio Pt. Pena Persada Kerta Utama.

Salmah, N. N. A., Arafat, Y., Darmawati, T., & Damayanti, R. (2023). Pembentukan Portofolio Optimal Menggunakan Single Index Model Pada Saham IDX Value 30. Ekonomis: Journal of Economics and Business, 7(1), 691. https://doi.org/10.33087/ekonomis.v7i1.1093

Setyowati, E. I., & Husnurrosyidah, H. (2021). Capm, Indeks Tunggal Dan Treynor Sebagai Analisis Portofolio Pada Saham Syariah. Keunis, 9(1), 63. https://doi.org/10.32497/keunis.v9i1.2222

Sharpe, W. F. (1964). Capital Asset Prices: a Theory of Market Equilibrium Under Conditions of Risk. The Journal of Finance, 19(3), 425–442. https://doi.org/10.1111/j.1540-6261.1964.tb02865.x

Suad Husnan. (2003). TEORI PORTOFOLIO DAN ANALISIS SEKURITAS. Unit Penerbit dan Percetakan AMP YKPN.

Tandelilin, E. (2010). Portofolio dan Investasi. Kanisius.

Undang-undang Nomor 8 Tahun 1995 tentang Pasar Modal. (n.d.). Retrieved November 14, 2024, from https://ojk.go.id/id/kanal/pasar-modal/regulasi/undang-undang/Pages/undang-undang-nomor-8-tahun-1995-tentang-pasar-modal.aspx

Wira, D. (2015). Analisis Fundamental Saham. Exceed.

Full Text: PDF

DOI: 10.21043/equilibrium.v13i1.30187