Optimalisasi Portofolio Investasi Saham Indeks IDX-MES BUMN 17 Menggunakan Metode Mean-Semivariance

Abstract

YOSSYIFA ZAHRA PERMATA. Optimalisasi Portofolio Investasi Saham Indeks IDX-MES BUMN 17 Menggunakan Metode Mean-Semivariance. Dibimbing oleh ENDAR HASAFAH NUGRAHANI dan RETNO BUDIARTI.

Indeks IDX-MES BUMN 17 memuat saham syariah BUMN dan afiliasinya yang likuid serta berfundamental kuat, tetapi kajian portofolio berbasis penurunan risiko masih terbatas. Penelitian ini bertujuan membentuk portofolio optimal konstituen IDX-MES BUMN 17 dengan metode mean-semivariance (MSV) dan membandingkan kinerjanya dengan mean-variance (MV) melalui Sharpe Ratio. Data berupa harga penutupan harian Januari–Desember 2024 dari 14 saham berdata lengkap; enam saham dengan expected return positif dipilih sebagai kandidat. Matriks semivariance-semicovariance dibentuk menggunakan return harian IHSG sebagai benchmark, lalu bobot dioptimisasi melalui quadratic programming dengan kendala non-negatif. Portofolio MSV optimal terdiri atas IPCC (38,68%), PTBA (27,12%), PGAS (13,99%), ELSA (11,80%), dan BRIS (8,42%). Portofolio ini menghasilkan expected return harian 0,000953, downside deviation 0,005626, dan Sharpe Ratio 0,12827. Hasil ini menunjukkan MSV memberi kinerja lebih baik dan lebih sesuai bagi investor risk averse pada saham syariah BUMN.

YOSSYIFA ZAHRA PERMATA. Optimization of IDX-MES BUMN 17 Stock Investment Portfolio Using the Mean-Semivariance Method. Supervised by ENDAR HASAFAH NUGRAHANI and RETNO BUDIARTI.

The IDX-MES BUMN 17 index consists of liquid, fundamentally strong Islamic SOE and affiliated stocks, yet portfolio studies using downside risk remain limited. This study aimed to construct an optimal IDX-MES BUMN 17 portfolio using mean-semivariance (MSV) and compare its performance with mean-variance (MV) through the Sharpe Ratio. The data were daily adjusted closing prices from January to December 2024 for 14 stocks with complete records; six stocks with positive expected returns were selected. The semivariance-semicovariance matrix was built using daily IDX Composite returns as the benchmark, and the weights were optimized by quadratic programming with non-negative constraints. The optimal MSV portfolio consisted of IPCC (38.68%), PTBA (27.12%), PGAS (13.99%), ELSA (11.80%), and BRIS (8.42%). It produced a daily expected return of 0,000953, downside deviation of 0,005626, and Sharpe Ratio of 0,12827. These results indicate that MSV provides better portfolio performance and is more suitable for risk averse investors in Islamic SOE stocks.