Analisis Perbandingan Strategi Investasi Saham Pada Jakarta Islamic Indeks (JII)

Abstract

Jumlah investor pasar modal Indonesia terus meningkat, namun banyak investor pemula masih kesulitan dalam mengambil keputusan. Hal ini menyebabkan investor mengalami kerugian. Diperlukan pemahaman strategi investasi yang tepat untuk mencapai tujuan finansial. Penelitian ini menganalisis kinerja tiga strategi investasi syariah pada Jakarta Islamic Indeks (JII) periode Januari 2006-Januari 2025, yaitu Dollar Cost Averaging (DCA), Lump Sum (LS), dan Value Averaging (VA). Analisis menggunakan metode komparatif dengan mengukur return, risiko, dan risk adjusted return menggunakan Sharpe ratio, Treynor Ratio, dan Jensen's Alpha. Hasil penelitian menunjukkan bahwa setiap strategi memiliki karakteristik dan keunggulannya masing-masing. DCA stabil dengan volatilitas rendah, ideal untuk investor konservatif dan pemula. Lump Sum menawarkan potensi return tinggi namun risiko besar, cocok untuk investor berpengalaman. Value Averaging seimbang antara risiko dan return, meski lebih kompleks dalam implementasi. Dalam aspek risiko, DCA menunjukkan volatilitas terendah cocok untuk investor konservatif. Lump Sum memberikan risk adjusted return terbaik dengan Treynor Ratio positif, sesuai untuk investor agresif. Sementara Value Averaging menawarkan keseimbangan optimal antara risiko dan return untuk investor moderat. Kata kunci: Dollar Cost Averaging, Investasi Syariah, Jakarta Islamic Indeks, Lump Sum, Risk Adjusted return, Value Averaging.

The number of investors in Indonesia's capital market continues to increase, yet many beginner investors still face difficulties in making decisions. This leads to losses for investors. A proper understanding of investment strategies is necessary to achieve financial goals. This research analyzes the performance of three Islamic investment strategies on the Jakarta Islamic Index (JII) for the period of January 2006 to January 2025: Dollar Cost Averaging (DCA), Lump Sum (LS), and Value Averaging (VA). The analysis uses a comparative method by measuring returns, risks, and risk-adjusted returns using the Sharpe Ratio, Treynor Ratio, and Jensen's Alpha. The results show that each strategy has its own characteristics and advantages. DCA is stable with low volatility, making it ideal for conservative and beginner investors. Lump Sum offers high return potential but comes with significant risk, making it suitable for experienced investors. Value Averaging strikes a balance between risk and return, although it is more complex to implement. In terms of risk, DCA demonstrates the lowest volatility, making it suitable for conservative investors. Lump Sum provides the best risk-adjusted return with a positive Treynor Ratio, making it appropriate for aggressive investors. Meanwhile, Value Averaging offers an optimal balance between risk and return for moderate investors. Keywords: Dollar Cost Averaging, Jakarta Islamic Indeks, Lump Sum, Risk Adjusted return, Sharia Investment, Value Averaging.