Portofolio Saham-Saham Syariah Menggunakan Metode Markowitz

Abstract

Within the stock investment, portfolio is constructed to maximize profits while minimizing risks. In this study, four sharia stocks portfolios were established to observe their returns and risks performance during prepandemic (2019) and pandemic (2020) periods. There are five stages involved in this study: security analysis, portfolio analysis, portfolio selection, portfolio revision and portfolio evaluation. The portfolio selection stage refers to the Markowitz method, which known as a modern portfolio theory. In this theory, portfolio optimization is focused on reducing risk by assessing the weight of each portfolio stock using variance-covariance matrix which then optimized with Global Minimum Variance Portfolio. The Sample Variance-covariance model, the Single Index Model (SIM) and the Constant Correlation model were used in this research. In the portfolio revision stage, portfolio performance was monitored using fixed and dynamic asset allocation methods. This research found that the best portfolio performance before Covid-19 pandemic (2019) was the one that used the Constant Correlation model. Meanwhile, the best portfolio performance during Covid-19 pandemic (2020) was obtained by the Sample VarianceCovariance model.