%A NIM.: 21106010053 An Nisa Dwi Sasongko
%O Mohammad Farhan Qudratullah, S.Si., M.Si
%T ANALISIS RISIKO PORTOFOLIO OPTIMAL SAHAM SYARIAH DENGAN PENDEKATAN VALUE AT RISK (VAR) METODE VARIANCE-COVARIANCE MENGGUNAKAN BEST-BETA CAPITAL ASSET PRICING MODEL (BCAPM)  (STUDI KASUS : SAHAM SYARI’AH JAKARTA ISLAMIC INDEX 70 (JII 70) PERIODE JUNI 201
%X Investor must estimate the expected return from the capital market before making an investment, even though there is no guarantee that the return will be profitable. Investment decisions often refer to models, one of which is the Best Beta Capital Asset Pricing Model (BCAPM), which is used to calculate the expected rate of return. However, investing always involves risk. One important aspect of risk assessment is Value at Risk (VaR). VaR is defined as the estimated maximum potential loss under normal market conditions at a certain confidence level over a specific time period. One method for calculating VaR is the Variance-Covariance approach, which has its own advantages.
The data used in this study consist of stocks listed in the Jakarta Islamic Index 70 (JII 70) during the period from June 2018 to December 2023. A total of 22 stocks were consistently included in the JII during this period. Subsequently, stocks whose mean returns exceeded the risk-free rate were selected. Based on the calculations, five stocks were identified as forming the optimal portfolio using the Best Beta Capital Asset Pricing Model (BCAPM).
The calculation results show the fund allocation proportions for each stock as follows: CPIN (14.35%), ICBP (25.21%), KLBF (7.53%), MIKA (19.66%), and TLKM (33.24%) with an expected return of 0,53% per month and a portfolio volatility of 3,32% per month. Using the Variance-Covariance Value at Risk (VaR) method, the maximum potential loss was estimated at confidence levels of 99%, 95%, and 90% over a one-month period with an investment of IDR 10.000.000. The estimated losses were IDR 856.583; IDR 651.779; and IDR 546.990, respectively. Furthermore, the Likelihood Ratio validation test showed that the VaR model could be considered valid for the confidence levels.
%K Best Beta Capital Asset Pricing Model, Value at Risk, Variance
Covariance, Portofolio Optimal
%D 2025
%I UIN SUNAN KALIJAGA YOGYAKARTA
%L digilib71774