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Journal : Indo-MathEdu Intellectuals Journal

Optimasi Portofolio Saham Syariah Pada Saham IDX Sharia Growth Menggunakan Sharia-Compliant Capital Asset Pricing Model (SCAPM) Azhara, Putri Indah; Subhan, Muhammad
Indo-MathEdu Intellectuals Journal Vol. 7 No. 1 (2026): Indo-MathEdu Intellectuals Journal
Publisher : Lembaga Intelektual Muda (LIM) Maluku

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.54373/imeij.v7i1.5137

Abstract

The decline in global and national economic growth encourages investors to be more careful in making investment decisions, especially in the sharia capital market. This research aims to form an optimal sharia stock portfolio in the IDX Shariah Growth index using the Sharia-Compliant Capital Asset Pricing Model (SCAPM) method as a development of CAPM in accordance with sharia principles. This research is an applied research with a quantitative approach using secondary data in the form of the monthly closing price of IDX Shariah Growth shares for the period December 2022 to May 2025 as well as sukuk yield level data from the Ministry of Finance. The analysis is carried out by applying SCAPM to estimate expected returns, risks, and form an optimal portfolio, with the help of Microsoft Excel. The results of the study show that of the 30 stocks listed in the IDX Shariah Growth index, there are 10 stocks that meet the criteria as optimal stocks and can form an efficient portfolio. Among several portfolio alternatives, the portfolio with the highest number of returned stocks is chosen as the optimal portfolio because it produces the highest returns with still acceptable risk, as indicated by the highest Sharpe ratio value as well as performance above model expectations.
Co-Authors Abdillah Halim Abdul Gafur Abdul Rauf Achmad, Raffi El Shirazy Adi Pratama, Adi Afril Lestari, Windi Agrippina Wiraningtyas, Agrippina Agustina Mutia Ahmad Bashawir Abdul Ghani Aisa, Aufia Aisyah, Ovina Akbar, Faris Akhyar, Mushtofainal Alfaini, Ainul Yaqin Alfian, Muhammad Faizal Ambok Pangiuk Aminah, Ummu Amirul, Muhamad Ardi Amril Amril Ananda, Aldila Andang, Andang Andika Andika Anggraheni, Palupi Angraini, Andi Dian Anis Rachma Utary Anita, Efni Anwar, Fahrizal Aprillia, Pita Ariandi_saputra Ariansyah , Ariansyah Arianti, Riana Dwi Arido Laksono Arif Munandar Arisman Arisman Armiati Arsa Arsa Astuti, Amanda Febri Aswin , Fajar Auliana, Rini Aurelsosa, Langlang Soeltanul Aulia Azhara, Putri Indah Azmiati, Vivilia Bakhtiar, Muh. Irham Buhari Buhari Damayanti, Wa Ode Astika Damiri, Teuku Farhan Darniyanti, Yulia Delmayani, Delmayani Delvianti, Sintia Dewi Setyaningsih Dian Permata Sari Diaz, Yohana Grezia Djalipa, Dedy Dwi Ramadina, Novia Arista Dwi Risma Deviyanti Dwi Supriyanto, Muhammad Sofyan efindel, Sintia Delvianti eka rahmawati Elistia Liza Namigo, Elistia Emilda Kuspraningrum Erwin Saputra Siregar Fadhillah, Hafiz Fahrudin Fahrudin Faidin Faidin Fajrun, Fajrun Falah, Fajrul Farhan, Muhammad Miftah Fatharini, Anjani Tri Fendy Eko Wahyudi, Fendy Eko Fhadilah, Syafirna Firdaus, Dadan Ghazali, M. Gunawan, Dede Reza Hadi, Dedi Abdul Halimah, Ika Nur Hamzah, Hasyrul Harahap, Mutiah Ramadani Hardi Warsono Hasdiansah, Hasdiansah Hawahera, Citra Hermini Susiatiningsih Hidayat, Ahmad Fadel Syakir Hidayati, Zuhriyyah Hudaya, Maula Husin, Nikson Husti , Iyas I Ketut Widnyana I Made Wahyu Wijaya Ifandi Ifandi Ika Riswanti Putranti Ikhsan Abdullah Imanuddin, Akbar Indah Riezky Pratiwi Indrawan, Boby Iqbal, Adi Irma Rubianti Jannah, Ummi Nur Jumni Nelli Karomah, Asror Kautsar Eka Wardhana Kibtiyah, Mariatul Kunnuzi , Kunnuzi Kurnia Putri, Fera Kusumawikan, James William Lasmijiani, Lasmijiani Lestari, Evi Endha Mahmudi, Moh Rosyid Mansurotin, Titin Marniati Kadir Marten Hanura, Marten Masdani, Masdani Masitah Masitah MAULANA, RIZA Maulani Meutia Rani Mayangsari, Ita Medyan Riza Meidina, Mutiara Alda Miftah, AA Minora Longgom Nasution Mubarak, M. Ali MUHAMMAD AGIL Muhammad Iqbal Mundzir, Ali Muslim Afandi Nabila Ihza Nur Muttaqi Nasrullah, Aditya Nelli , Jumni Ni Putu Cempaka Dharmadewi Atmaja Nisa, Hairun Nisa Nofriza, Eri Novi Sylvia Nura, Faris An Nurhayati Nurwijayanti Olahairullah, Olahairullah Olpelda, Danisa Alzura Paganizza, Valeria Pandanarum , Antika Sukma Pane, Astriana Sitorus Pradiptha, Rhama Ady Prakasa, Bayu Pratama, Rifka Pratama, Virgiawan Yoga Pristiansyah, Pristiansyah Putri, Rahmadita Amalia Putriyani, Febby Putu Eka Pasmidi Ariati Rabiatul Adawiah Rahayu Retnowulan, Sri Rahmadhani, Raudha Rahmah, Avivah Ratnawati Ratnawati Rina Dian Rahmawati Risma Deviyanti, Dwi Rizal, Moh Syaiful Ronal Rifandi Rozanna Dewi Rusita Dewi, Sintya Trisna Saddam Al Aziz Safitri, Auliya Nur Said Jalalul Akbar Salianto Salianto, Salianto Salmitha, Lely Sandia, Eci`` Satwika Paramasatya, Satwika Savitri, Viora Roza setiyaningsih, dewi Shodiqin, Ghufron Shofiyani, Amrini Sissah Sissah Siswanto Siswono, Hendrik Sri Rejeki Sri Wulandari Sucipto Sucipto Sukamto, Ika Sumiyarsi Sukanto , Sukanto Susanti, Yepsi Susanto, Willy Suswati, Lis Suzen, Zaldy Sirwansyah Sya'roni, Muhammad Syafruddin, A. Ummu Fauziyyah Syahma, Muhammad Nazli Syirad Ramadhan, Yusuf Sylvia Utami Tunjung Pratiwi Taswin, Taswin Taufiq, La Ode Muh. Trisnawati, Ice Umami, Fahmi Najah Viniolita, Thala Warahma, Izrha Yatmikasari, Ika Yemimaria, Yemimaria Yonesa, Salsabila Yuliyanto Yuliyanto Yulyanti Harisman Yus'iran Zainal Abidin, Moh Ali Zaldy Kurniawan Zayyan, Muhammad Zada Zuliyan, Muhammad Arief