SINGLE INDEX MODEL IN DETERMINING OPTIMAL PORTFOLIO COMPOSITION OF JAKARTA ISLAMIC INDEX (JII)

Abstract

The aim of this study is to select the securities from Jakarta Islamic Index (JII Index) into Optimal Portfolio using Single Index Model. This research is using descriptive analysis with quantitative approach. The sample of this study is 29 companies in Jakarta Islamic Index year 2018. The results shows that the optimal portfolio selection is consist of 12 securities that are PWON (11.8%), UNVR (24.4%), TPIA (16.3%), BPRT (7.6%), AKRA (8.8%), ICBP (2.9%), ADRO (7.6%), INCO (2.3%), UNTR(11.3%), MYRX (3.1%), WSKT(3.2%) and PTBA (0.6%). The monthly return of Portfolio is 1.86 % and the risk of portfolio is 0.08%. The risk of portfolio is smaller than individual securities.