Analisis Imbal Hasil dan Risiko Portofolio Saham Syariah dan Portofolio Saham Konvensional dengan Metode Efficient Frontier

Abstract

Kondisi pandemi di Indonesia, yang menjadi salah satu penyebab jumlah investor saham naik signifikan, membuat saham syariah semakin diminati. Kenaikan jumlah peminat tersebut harus dibarengi dengan kenaikan angka literasi saham syariah agar umat islam di Indonesia bisa berinvestasi dan tetap menjalankan aturannya sebagai seorang muslim. Perlu dilakukan analisis portofolio saham syariah dan konvensional agar bisa diketahui potensi dari kedua portofolio saham. Data yang digunakan untuk portofolio saham syariah adalah data saham Telkom dan Unilever, sedangkan untuk portofolio saham konvensional adalah data saham BCA dan BRI periode 1 Januari 2012-31 Desember 2018. Dilakukan pemodelan ARMA-GARCH untuk menghilangkan efek autokorelasi dan heteroskedastisitas pada galat. Setelah itu dilakukan pemodelan Copula untuk membentuk fungsi sebaran bersama galat baku. Selanjutnya dibuat grafik efficient frontier dari kedua portofolio dan dianalisis dengan asumsi risiko minimum, imbal hasil maksimum, dan reward-to-variability ratio maksimum. Hasil analisis tersebut menunjukkan portofolio saham syariah relatif lebih cocok dipilih bagi investor moderat, sedangkan portofolio saham konvensional relatif lebih cocok dipilih bagi investor agresif.

Pandemic conditions in Indonesia, which one of the causes the number of stock investors increase significantly, the sharia stock becomes more interesting. The increase in the number of enthusiasts must be accompanied by an increase in the literacy rate of the sharia stock so that Muslims in Indonesia can invest and continue to carry out their rules as a muslim. It is necessary to analyze the returns and risks of sharia and conventional stock portfolio so that the potential of these two stocks portfolio can be seen. The data used for sharia stocks portfolio are Telkom and Unilever, whereas the data used for conventional stocks portfolio are BCA and BRI for the period 1 January 2012-31 December 2018. ARMA-GARCH modeling was carried out to eliminate the effects of autocorrelation and heteroscedasticity on the errors. After that, Copula modeling was carried out to form a joint cumulative distribution function of standard errors. Next, an efficient frontier graphs were made of those portfolios and analyzed with the assumption of minimum risk, maximum return, and maximum reward-to-variability ratio. The results of the analysis show that the sharia stock portfolio is relatively more suitable for moderate investors, while the conventional stock portfolio is relatively more suitable aggresive investors.