“MORE VALUEBLE?” PORTFOLIO MIX: ISLAMIC SOCIAL RESPONSIBILITY STOCK

Herwinda Asri Wahyuni, A. Rokhmawati, A. F. Fathoni, Ifa Adina Yafiz
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Abstract

This research was conducted to analyze the optimal portfolio formation using the Single Index Model method by combining stocks included in the SRI-Kehati Index and listed on the Indonesian Sharia Stock Index (ISSI) with the aim of survival and applying sharia principles then measuring optimal portfolio performance using Sharpe Index, Treynor Index, and Jansen Alpha Index. The object of research used is stocks that are consistently included in the Sri Kehati Index and ISSI for the period December 2018 - December 2019. The results of this study show that the optimal portfolio formed has a higher return compared to the benchmark (IHSG) which is 1.99%, meanwhile, the standard deviation of the portfolio or it can be interpreted as portfolio risk is 1.1%. In performance appraisal, in addition to the Jensen Index, the optimal portfolio formed has better performance than the IHSG.
“更宝贵的呢?”投资组合:伊斯兰社会责任股
本研究将SRI-Kehati指数中包含的股票与印度尼西亚伊斯兰教法股票指数(ISSI)中上市的股票结合起来,以生存为目的,运用伊斯兰教法原则,利用夏普指数、Treynor指数和Jansen Alpha指数衡量最优投资组合绩效,利用单指数模型方法分析最优投资组合构成。所使用的研究对象是2018年12月至2019年12月期间一直被纳入Sri Kehati指数和ISSI的股票。本研究结果表明,所形成的最优投资组合相对于基准(IHSG)的收益率为1.99%,同时,该投资组合的标准差(可以理解为投资组合风险)为1.1%。在绩效考核中,除了Jensen指数外,所形成的最优投资组合的绩效优于IHSG。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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