ANALISIS RISIKO PORTOFOLIO OPTIMAL SAHAM SYARIAH MODEL SCAPM DENGAN PENDEKATAN EXPECTED SHORTFALL

Aslam Qosim Farhan Taqiuddin, NIM.: 22106010074 (2026) ANALISIS RISIKO PORTOFOLIO OPTIMAL SAHAM SYARIAH MODEL SCAPM DENGAN PENDEKATAN EXPECTED SHORTFALL. Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

Investing is the activity of investing capital to achieve future profits through various instruments such as capital markets, mutual funds, stocks, property, and bonds. In practice, a portfolio strategy is needed to optimize asset allocation according to the investor's profile.. A portfolio is a collection of assets arranged to maximize returns or minimize risk. This study aims to analyze the formation of an optimal portfolio of sharia stocks using the Shari'a Compliant Asset Pricing Model (SCAPM) with the Non-Risk-Free Rate (NRF), Zakat, Inflation, and Gross Domestic Product (GDP) approaches, and to measure the risk of extreme losses using Expected Shortfall (ES). The data used are stocks listed on the Jakarta Islamic Index 70 (JII70) for the period January 2021 - October 2025. The analysis stages include calculating stock and market returns and volatility, beta estimation, candidate stock selection, efficient portfolio formation, determining optimal portfolio proportions based on SCAPM, as well as evaluating extreme risks and ES validation tests. The results show that the composition and proportion of stocks differ in each SCAPM approach. AKRA, INDF, JPFA, ELSA, and UNTR stocks consistently dominate the optimal portfolio. The highest weight with the highest expected portfolio return is obtained in the SCAPM PDB approach at 0.016371, with the main composition of AKRA (25.5%), INDF (16.5%), JPFA (15.5%), ELSA (13.6%), UNTR (12.1%), and MAPI (11.6%). At the 95% confidence level with a one-month horizon, the lowest ES value is found in the SCAPM NRF at 9.475%, followed by the SCAPM Zakat (9.8895%), SCAPM Inflation (9.9276%), and the highest in the SCAPM PDB (10.2645%). This shows that the GDP SCAPM approach produces the highest returns but is more sensitive to the risk of extreme losses.

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