ANALISIS PORTOFOLIO OPTIMUM SAHAM SYARIAH BERDASARKAN UKURAN PERUSAHAAN DENGAN MODEL INDEK TUNGGAL (STUDI KASUS: SAHAM JAKARTA ISLAMIC INDEX (JII) PERIODE JUNI 2019 – NOVEMBER 2021)

Abd.Rohman, NIM.: 16610040 (2023) ANALISIS PORTOFOLIO OPTIMUM SAHAM SYARIAH BERDASARKAN UKURAN PERUSAHAAN DENGAN MODEL INDEK TUNGGAL (STUDI KASUS: SAHAM JAKARTA ISLAMIC INDEX (JII) PERIODE JUNI 2019 – NOVEMBER 2021). Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

The period of technological progress, in which people in general are required to optimize their income to make ends meet. Income is no longer allocated only to meet consumption needs, but also to invest. Investment when viewed from its form is divided into two, namely real investment and financial investment. investing in the form of a portfolio needs to do an analysis of the opportunities for returns and risks to be faced In this study, it is known how to analyze the optimum portfolio of Islamic stocks included in the Jakarta Islamic Index (JII) based on company size with a single index model. This model is based on the observation that the price of a security fluctuates with the market price index, the samples taken are consistent stocks in the period June 2019-November 2021, 17 consistent stocks are obtained. As for the shares, 3 shares (WIKA, AKRA, JPFA, EXCL, PTBA, INCO, INTP, ANTM) are small, 2 shares (INDF, ADRO, KLBF, UNTR) are medium size, and 2 shares (BRPT, CPIN, ICBP, UNVR, TLKM) are large based on market cap size. The results of research using a single index model produce an optimum portfolio. The size of the small shares of Aneka Tambang Tbk (ANTM) and Vale Indonesia Tbk. (INCO), where ERB > C* ie 0.0159 > 0.0074 and 0.0108 > 0.0074. The proportion of INCO shares is 0.3638 or 36.38%, and ANTM shares is 0.6361 or 63.61%. The largest proportion of funds in ANTM shares is 63.61%, the expected return and portfolio risk is 3.9% per month with a risk of 0.21%. From the analysis for medium size, there is one share of Adaro Energy Tbk. (ADRO) which is included in the optimum portfolio criteria with an ERB value of 0.0218 > 0.0032 (C*), in which the proportion of this stock is 1.00% so that the expected return and portfolio risk is 2.91% per month with a risk of 0.07% . The large size has shares of Barito Pacific Tbk. (BRPT) and Charoen Pokphand Indonesia Tbk (CPIN) which are included in the optimum portfolio criteria, ERB values > C* are 0.0115 > 0.0015 and 0.0027 > 0.0015. The proportion of BRPT shares is 0.7935 or 79.35%, and CPIN shares is 0.2064 or 20.64%. Whereas the largest proportion of funds is in BRPT shares, namely 79.35%. The expected return and portfolio risk is 0.49% per month with a risk of 0.005%.

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