ANALISIS RISIKO PORTOFOLIO OPTIMUM SAHAM SYARIAH MENGGUNAKAN SHARIA COMPLIANT ASSET PRICING MODEL-ZAKAT RATE DENGAN PENDEKATAN TAIL-VALUE AT RISK MONTE-CARLO

Roziq Alfansyah, NIM.: 22106010017 (2026) ANALISIS RISIKO PORTOFOLIO OPTIMUM SAHAM SYARIAH MENGGUNAKAN SHARIA COMPLIANT ASSET PRICING MODEL-ZAKAT RATE DENGAN PENDEKATAN TAIL-VALUE AT RISK MONTE-CARLO. Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

The development of sharia investment in Indonesia, which continues to show a positive trend, encourages the need for effective risk management strategies aligned with sharia principles. This research aims to construct an optimal sharia stock portfolio by combining the Sharia Compliant Asset Pricing Model-Zakat Rate (SCAPM-ZR) and the Tail-Value at Risk (T-VaR) method. The SCAPM-ZR model is utilized by integrating the zakat rate as a substitute for the risk-free rate to ensure sharia compliance, while T-VaR is selected for its ability to measure extreme risk (tail risk) more accurately through a Monte Carlo simulation approach compared to Value at Risk (VaR). The analysis was conducted using monthly stock data from the Jakarta Islamic Index 70 (JII 70) for the period of January 2021 to December 2025. The results show that although 12 stocks met the cut-off point criteria, a portfolio composition of 8 stocks proved to be the most optimal based on Sharpe Ratio efficiency. The resulting weight proportion is concentrated in AKRA 19,51%, JPFA 15,84%, supported by MAPI 11,29%, TPIA 12,34%, EXCL 12,79%, ITMG 10,46%, ISAT 8,97%, dan BRPT 8,80%. This optimal portfolio generated expected return of 1.8707% with a Sharpe Ratio of 0.4096 and a T-VaR 95% value of 6.28%. Backtesting results indicate a valid and accurate status, reflecting a balance between potential returns and measured extreme risk mitigation. This demonstrates that the combination of the SCAPM-ZR model and Monte Carlo T-VaR is highly effective in forming an optimal and reliable sharia portfolio in the face of market dynamics.

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