Determining the Optimal Return of a Sharia-Compliant Stock Investment Portfolio in the Employment Social Security Agency
Keywords:
BPJS Ketenagakerjaan , Markowitz, Optimal Portfolio, Sharia Stock, Single IndexAbstract
The Employment Social Security Agency (BPJS Ketenagakerjaan) is progressively implementing Sharia principles across its operational activities, including the management of equity investments in Sharia-compliant financial instruments. This study aims to determine the optimal Sharia-compliant stock investment portfolio for the Jakarta Islamic Index (JII) using a quantitative, descriptive approach and portfolio optimisation techniques. The analysis employs the Markowitz mean-variance model and the Single Index Model, based on monthly closing prices of Sharia-compliant stocks listed on the JII from 2019 to 2023. The results indicate that the Markowitz model generates an optimal portfolio consisting of ADRO (24.41%), ICBP (0.13%), BPRT (37.76%), and ANTM (37.70%), with an expected return of 0.63% and a portfolio risk of 0.35%. In comparison, the Single Index Model produces a more diversified portfolio comprising ADRO (19.62%), ANTM (23.50%), BPRT (19.65%), INCO (14.69%), ITMG (12.54%), EXCL (5.02%), TLKM (2.89%), and KLBF (2.09%), yielding an expected return of 0.48% and a risk level of 0.23%. Thus, the findings demonstrate that the portfolio constructed using the Markowitz model provides a more optimal risk-return trade-off and is therefore recommended as the preferred Sharia-compliant investment strategy for BPJS Ketenagakerjaan.
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