The Analysis of Optimal Portfolio Establishment and Assessment on Jakarta Islamic Index ST

Abstract

The purpose of this research is to determine the optimal portfolio of stocks listed on the Jakarta Islamic Index from 2014 to 2016 by using Single Index The model and to determine the optimal level of performance portfolio using Treynor Index on Jakarta Islamic Index stocks optimal portfolio formation from 2014 to 2016. The criteria for sampling in this research are listed on the Jakarta Islamic Index (JII) from 2014 to 2016. Based on these criteria, samples of 21 companies were obtained.The results of this research shows that by the Single Index in 2014 there were nine stocks which established optimal portfolio, namely AALI, TLKM, ICBP, UNVR, KLBF, INDF, BSDE, AKRA, and MPPA with Treynor index value of 0.32416276. In 2015, there were 10 stocks which established the optimal portfolio, namely KLBF, PGAS, ICBP, TLKM, WIKA, UNVR, BSDE, ASRI, INTP and SMRA with Treynor index value of 0.28099925. Meanwhile in 2016, there were 4 stocks which established optimal portfolio, namely AKRA, UNVR, TLKM, and ICBP with Treynor index value of 0.74799645. The study shows that the best performance of the optimal portfolio occurred in 2016, as the 2016 portfolio has the highest Treynor index value compared to those of the portfolio in 2014 and 2015.

Keywords: Optimal Portfolio, Single Index Model, Portfolio Performance