Diversification of Jakarta Islamic Index (JII) Stock Optimal Portfolio for the Period 2018-2023

Khairul Alim; Bayun Matsaany; Anisa Rahmawati

doi:10.36456/jstat.vol16.no2.a8339

Authors

Khairul Alim Program Studi Matematika, Jurusan MIPA, Fakultas Sains dan Teknologi, Universitas Jambi
Bayun Matsaany Program Studi S1 Terapan Teknologi Rekayasa Manufaktur, Jurusan Teknik Mesin, Politeknik Negeri Jakarta
Anisa Rahmawati Program Studi Manajemen Logistik Industri Elektronika, Politeknik APP Jakarta

DOI:

https://doi.org/10.36456/jstat.vol16.no2.a8339

Keywords:

Diversification, Investment, Sharia, Stocks

Abstract

Investment is placing funds into an asset to gain profits in the future through changes in asset prices or capital gains. In Indonesia, stock investment, primarily through the Indonesia Stock Exchange (BEI), is popular among the public. BEI offers various indices, including the Jakarta Islamic Index (JII), which has garnered significant attention. JII comprises stocks of companies that adhere to Sharia principles. In investment, careful analysis is crucial to avoid errors in stock selection. Diversification is a strategy that involves spreading investments across several stocks, aiming to maximize profits while minimizing risks. While the easiest way for investors to enter the stock market is by purchasing the best-performing single stock, relying solely on one stock can be risky if its price drops. This research compares investment outcomes between single-stock and diversified portfolios of two or three stocks, selected based on the Sharpe, Treynor, and Jensen indices. The research analyzes the closing stock prices within the JII index from March 2018 to February 2023. The study results show that diversifying investments across multiple stocks can reduce investment risks, even though it may reduce profit potential.

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