Optimalisasi Portofolio Saham Syariah dengan Model Markowitz pada Dana Takaful Ekuita PT Asuransi Takaful Keluarga Periode Januari 2023-Mei 2025
Keywords:
Markowitz Model, Portfolio Optimization, Sharia Stocks, Expected Return, Risk, Dana Takaful Ekuita.Abstract
Islamic stock investment has an important role in the development of sharia-based financial products, including investment-linked insurance funds. This study aims to analyze the optimal composition of a sharia stock portfolio in the Dana Takaful Ekuita managed by PT Asuransi Takaful Keluarga using the Markowitz Model during the period January 2023 to May 2025. This study applies a quantitative descriptive-analytical approach using secondary data in the form of daily closing stock prices. The analysis was conducted using the Markowitz Mean-Variance Optimization model through the calculation of stock returns, expected returns, risks, covariance, correlation, efficient frontier, and portfolio optimization based on the Sharpe Ratio with a maximum allocation limit of 20% per stock and without short selling.
The results indicate that among 20 analyzed sharia stocks, 15 stocks generated positive average returns, while 5 stocks produced negative average returns. The optimal portfolio consisted of 12 selected stocks, with the highest allocation in INDF (20.00%), ICBP (17.34%), and EXCL (14.54%). The optimal portfolio generated an expected return of 14.33%, a risk level of 14.79%, and a Sharpe Ratio of 0.968577. These findings indicate that the Markowitz Model can produce an efficient sharia stock portfolio by considering the balance between return and risk. Therefore, the implementation of portfolio optimization through diversification can support investment management strategies in Dana Takaful Ekuita PT Asuransi Takaful Keluarga.
