AN OPTIMAL PORTFOLIO COMPARISON OF SYARIAH STOCKS BEFORE AND 

AFTER THE WEAKENING OF THE 2015 INDONESIAN ECONOMY 

28 

 

AN OPTIMAL PORTFOLIO COMPARISON OF SYARIAH 

STOCKS BEFORE AND AFTER THE WEAKENING OF 

THE 2015 INDONESIAN ECONOMY 

Ahmad Ridho Darmawan31*1 

1 Universitas Islam Negeri Walisongo, Semarang, Indonesia 

Abstract 

This paper contains the results of a comparative study of Islamic stock 

portfolios between the years of 2014-2016. In 2015, Indonesia's economic 

growth experienced the lowest weakening in the past 6 years. The Jakarta 

Islamic Index (JII) on 2014 experienced an uptrend, in 2015 it rebounded to a 

downtrend, and in 2016 an uptrend is experienced again. The purpose of this 

study was to compare the performance of Islamic stock portfolios before, during 

and after the weakening of the Indonesian economy and to find the impact of 

the optimal portfolio strategies in conditions of fluctuating economic growth 

performance. The population are all the Islamic stocks that are listed on JII in 

every period during the years of 2013 - 2016. The sample used the Purposive 

Sampling method, the portfolio performance assessment used the Treynor index 

and analyzed the data using the Paired-sample T-Test. The results of the study 

are that (H1) was rejected with a significance value of 0.699> 0.05, (H2) was 

rejected with a significance value of 0.910> 0.05 and (H3) was rejected with a 

significance value of 0.797 <0.05. In conclusion, all the hypotheses (H1, H2, 

H3) are rejected and H0 is accepted. Based on these results, the use of the 

optimal portfolio method in investment is able to minimize the risks, although it 

doesn’t eliminate the risk. 

Keywords: Jakarta Islamic Index, Stock Portofolio, Stock Return, Stock Risk 

 

1. INTRODUCTION 
In the year 2015 the growth of Indonesia’s Gross Domestic Product (GDP) 

is as large as 4.87% which became the lowest in the last 6 years. This condition 

is the first GDP growth under 5% since the year 2010. 

 
Figure 1 Indonesia GDP Growth 2009-2016 (Percent) 

Source: Secondary data from the Central Body of Statistics which was processed by the Data 

Center and Information System, Ministry of Trade 

 
* Corresponding author. Email address: ahmadrdy17@gmail.com   

4.38%

6.10% 6.17% 6.03%

5.56%

5.01%
4.88%

5.02%

4.00%

4.50%

5.00%

5.50%

6.00%

6.50%

2009 2010 2011 2012 2013 2014 2015 2016



AFEBI Islamic Finance and Economic Review (AIFER) 

Vol.03 No.01, June 2018 

29 

 

Figure 2 Monthly Growth of Combined                 Figure 3 Monthly Growth of 

                 Stock Price Index                                     Jakarta Islamic Index (JII) 

       December 2013-December 2016               December 2013-December 2016 
Source : IHSG secondary data                                         Source: JII Secondary data 
 

In line with the GDP growth, the Combined Stock Price Index and Jakarta 

Islamic Index in the monthly growth of the December 2013-December 2016 

period showed the same performance. 

Based on the stock index data, the Combined Stock Price Index and the 

Jakarta Islamic Index showed the macroeconomic condition that provides 

performance influence in general. Yet it does not mean the JII performance 

development illustrates the performance of each stock in the listing at that 

period as the same with the index performance. For example, the return that is 

shown by the stock of AALI, ADRO and AKRA which are always on the listing 

for the years of 2014-2016. 

Table 1 Return Stock of AALI, ADRO, AKRA in the Closing of 2014-2016 
Stock Code Year. 2014 Year. 2015 Year. 2016 

AALI -3% -35% +11% 
ADRO -4% -50,4% +229% 
AKRA -5,8% +74,15% -16,4% 

Source : Secondary Data of AALI, ADRO, AKRA Return Stocks 2013-2016 which are 

already processed 

      

         Table 1 shows the price fluctuation of some stock which are in the JII list, 

yet there is an incompatibility with the JII value trend in some stock. In other 

words the return of each stock does does not always follow the performance 

trend and the formed stock index, and it shows a development that is not positive 

or negative. The conclusion is that although investment in stocks can be 

appropriate with the syariah principle, Stock investment is still an economic 

business investment which has risks and no guarantee of return inside it. 

In the investment process, determining strategy, forming and managing a 

portfolio is considered adequately important, A portfolio is defined as a series 

of combinations of several assets which are invested by investors. The forming 

of a portfolio is meant so that investors implement diversification in asset 

selections for optimizing the profit expectation and minimize risk chances with 

a logical reason and analysis, so the speculation practice is avoided. The modern 

portfolio approach was first introduced by Harry M. Markowitz. The portfolio 

theory that was introduced by Markowitz assumed that investors make their 

investment decisions based on the expected return and portfolio risk. 

4000

4500

5000

5500

6000
D

e
c-

1
3

A
p

r-
1

4

A
u

g
-1

4

D
e

c-
1

4

A
p

r-
1

5

A
u

g
-1

5

D
e

c-
1

5

A
p

r-
1

6

A
u

g
-1

6

D
e

c-
1

6

IHSG (Indeks Harga Saham Gabungan)

IHSG

550

600

650

700

750

800

D
e

c-
1

3

A
p

r-
1

4

A
u

g
-1

4

D
e

c-
1

4

A
p

r-
1

5

A
u

g
-1

5

D
e

c-
1

5

A
p

r-
1

6

A
u

g
-1

6

D
e

c-
1

6

JII (Jakarta Islamic Index)

JII



AN OPTIMAL PORTFOLIO COMPARISON OF SYARIAH STOCKS BEFORE AND 

AFTER THE WEAKENING OF THE 2015 INDONESIAN ECONOMY 

30 

 

The optimal portfolio other than inputting assets in stock form with the 

highest profit and lowest risk, also considers the proportion and allocation of 

funds in the portfolio forming assets. The most  important matter in the forming 

of the syariah stock optimal portfolio based on the JII is the meaning that listed 

stocks in JII which are the portfolio forming objects are 30 of the most 

liquidable syariah stocks and continue to fluctuate and recorded in the Syariah 

Effect List. Although each stock has different risks and returns, the economic 

phenomenon in Indonesia very much influences the performance or the JII index 

value. Especially in 2015 where the Indonesian and global GDP conditions 

experienced the lowest growth in the last 6 years. Although not all the stock are 

impacted by JII performance. So this shows the urgency about the importance 

if portfolio performance assessment of syariah stock in the periods before, in 

and after the Indonesian economic weakening in 2015. 

 

2. LITERATURE REVIEW 
Investment  

In the Al-Qur’an Surah Al-Hasyr verse 18 Allah stated: 

َٱَّللَّ َخَ يَ  َإِنَّ ٱتَّقُواْٱَّللَّ َۚ َو  ٖۖ ۡتَِلغ د  اَق دَّم  ۡلت نُظۡرَن ۡفٞسَمَّ و   َ نُوْاَٱتَّقُوْاٱَّللَّ َء ام  أ يُّه اٱلَِّذين   ٰ  َٰ لُون  اَت ۡعم  َبِم 
١٨ََِبيُرُۢ

Meaning: O who believe, follow Allah and each self should be attentive to what 

they do for tommorrow (the afterlife); and follow Allah, truly Allah is the All 

Knowing of what you do 

In that verse, Allah orders all believers to oblige to follow Allah and the 

attitude of the followers is that every believer should be attentive to what they 

do for tommorrow. The emphasis of this verse, is that for every believer, one of 

the forms of following Allah is by preparing the life for tommorrow 

(investment). So indirectly, a form of belief and following for every muslim is 

investing with the intention because of Allah, to strengthen their belief. 

Investment itself is based on the word invest meaning to plant. Donald E. 

Fischer and Ronald J. Jordan in their book Security Analysis and Portfolio 

Management, defined that an investment is a commitment of funds made in the 

expectation of some positive rate of return”. Jack Clark Francis, in his book 

Investment : Analysis and Management, defined that: “an investment is a 

commitment of money that is expected to generate of additional money” 

Investment is a process of managing assets which are able to provide results in 

the future. So it can be concluded, investment is a commitment in allocating an 

asset in the form of money or other resources with the expectation an 

consideration to obtain a positive result in the future. The investment activity if 

observed from the object is divided into two objects, which are investment in 

real assets (assets in physical form such as land, buildings and the like) and 

investment in monetary assets (assets in the form of securities (effects) such as 

syariah bonds, syariah stock and other securities), 

Syariah Stock 

Stock is a proof of the company assets that issue the stock. While in the 

syariah principle, the addition of capital is implemented in companies that do 

not follow the syariah principle such as gambling, usury, producing forbidden 

goods. Generally according to the bill right there are two types of stock, 

common stock and preferred stock. Common stock are the most plentiful 



AFEBI Islamic Finance and Economic Review (AIFER) 

Vol.03 No.01, June 2018 

31 

 

securities and are spreaded in the trade. While what is named as preferred stock 

is because the holder has special rights above usual stockholders, in certain 

matters that are agreed in the stock emission. This privilege is different between 

one emmitance and other emmitances which are the agreement results between 

investors or stockholders with emmitance. 

Return Stock  

Basically there are 2 results (returns) in stock investment among others: 

a. Divident 

A divident is profit sharing that companies provide to investors and is from 

the profit that the company produces. 

b. Capital Gain 

Capital Gain is the difference between the selling price and buying price of 

stock and cash divident which is obtained from emmitance because companies 

obtain profit, this  gain is formed with the presence of stock trade activities in 

the secondary market.l 

Stock Risk  

Risk is also defined as a probability of the occurrence of loss which 

investors will experience or an uncertainity of the return which will be obtained 

in the future. So, risk is defined as a chance that  an unwanted occasion will 

occur. In the stock investment context in the capital market, risk can be divided 

into two types which are: 

a. Systematic risk 

A systematic risk as a risk which cannot be eliminated by diversification, 

because the fluctuation of this risk is influenced by macroeconomic factors 

which are able to be influenced by macroeconomic factors that can influence 

the market as a whole. Such as the change of interest levels, foreign exchange 

rates, government policies and others.( 

b. Unsystematic risk 

An unsystematic risk is a risk that can be eliminated by diversification, 

because this risk is only present in one company or certain industries such as 

the capital structure factor, Asset structure, liquidity levels, profit levels and 

others. 

Single Index Model Portfolio 

The single index model portfolio is a simplification of the index model 

developed by Markowitz. Developed by William F. Sharpe in 1963, it explains 

the relation between returns from each asset in the market index return. The 

single index model divides the return from an effect into two primary 

components which are: 

1. The ereturn component related with company uniqueness: symbolized with 

αi; 

2. The return component related with the market; symbolized with βi . Rm. 

Primarily, the steps implemented for forming a portfolio are 

a. Counting the stock return level (Ri) and expected return (E(Ri)); 



AN OPTIMAL PORTFOLIO COMPARISON OF SYARIAH STOCKS BEFORE AND 

AFTER THE WEAKENING OF THE 2015 INDONESIAN ECONOMY 

32 

 

b. Counting the market return index (Rm), alpha (αi) and beta (βi); 

c. Counting the deviation standard and residual variant (unsystematic risk); 

d. Counting the excess return to beta (ERB) 

e. Counting the cut-offpoint (C*) 

f. Counting the portion of each stock 

g. Counting the expected return portfolio 

h. Counting the portfolio risk by determining the variant size of the portfolio. 

The forming of the optimal portfolio using the single index model is 

determined from the excess return to beta (ERB) from a positive effect then 

compared with the cut-offpoint value (C*) the effect that has an ERB is larger 

or the same with C* so it will be in the optimal portfolio candidate with the 

single index method. 

Risk Adjusted Performance  

This concept is based on the Capital Market Theory which is  a portfolio 

performance measurment concept pioneered by William Sharpe, Treynor, and 

Michael Jensen with the term of composite (risk-adjusted) meeasure of 

portofolio performance. 

Treynor Index  

The Treynor Index is a measure of portfolio performance developed by 

Jack Treynor (1965) and this index is often also called the reward to volatility 

ratio (RVOR). The portfolio performance in the Treynor Index is observed by 

connecting the return portfolio level with the risk size from the portfolio. The 

assumption is that the portfolio is already diversified well so the risk considered 

relevant is the systematic risk (market risk) measured with beta. 

Treynor (Tp) = Rp-Rf (1) 

βp 

 

Previous Research 

Some previous research which support and even almost similar, from the 

methodical and the research object, for becoming reference materials as sources 

of reference and a comparison in this research. Some of the previous research 

are among others: 

1. Agustin Sulistyorini (2009) in her thesis titled “Analisis Kinerja Portofolio 
Saham dengan Metode Sharpe, Treynor, dan Jensen (Saham LQ45 di Bursa 

Efek Indonesia Tahun 2003-2007)”, stated that there is no significant 

difference between testing with the sharpe, treynor and jensen methods. 

Where H0 in this research is accepted, which is in the absence of a difference 

of LQ45 stock portfolio which was evaluated by usingthe Sharpe, Treynor 

and Jensen methods. In this research the writer implemented research in the 

form of comparing evaluation results from the three methods by a difference 

testing method using the one way of variance by rank with Kruskal-Wallish. 

The result formed a value of =1.906 with a probability of 0.386. So that 

result is known from the test probability which is ≥ 0.05 and a count of 

<table 5.99. 

2. Ratna Utami and Maha Putra Kusuma in their research titled “Analisis 
Kinerja Saham Syariah dan Pengaruhnya Terhadap Respon Pasar Pada 



AFEBI Islamic Finance and Economic Review (AIFER) 

Vol.03 No.01, June 2018 

33 

 

Perusahaan yang Tercatat di           JII” showed counting results of the 

Jakarta Islamic Index market parameter in the December 2008 – November 

2010 period, the JII index provided a market return rate (Rm) positively 

valued at 0.108% and larger than the return rate of the risk free investment 

as large as 0.625%. 

3. Imam Edi Subekhi (2012) in his thesis “Analisis Perbandingan Kinerja 
Portofolio Saham Syariah Sebelum dan Sesudah Listing di Jakarta Islamic 

Index (Studi pada saham-saham di JII periode 5 Desember 2008-8 Juni 

2011)” studied about the optimal portfolio performance of syariah stock 

formed based on a time period, which is before, in, and after the JII listing 

in the period of 2008-2011. With the Treynor Index assessment method, the 

result of the assessment of the three portfolios is compared with by 

implementing the two direction difference test (paired sample T test). The 

result showed that the comparison between portfolios when listing with 3 

months before listing provided a tcount as large as 76.805 with a 0.000 

probability. So H0 is rejected and H2 is accepted, which there is a significant 

difference between in the listing with 3 months after the JII listing. And 

lastly the portfolio performance comparison of 3 months before listing with 

the portfolio of 3 months after listing of JII, it provides a value as large as 

3.560 with a probability of 0.003. So H0 is rejected and H3 is accepted. This 

research tested 3 portfolios based on 3 different time periods as a cause of 

an evaluation event and listing in JII. 

Framework 

The primary problem of this research is observing the influence of the 

Indonesian economic condition in 2015 to the significance of a difference of an 

optimal portfolio of syariah stock formed from syariah stock issued in JII in the 

years before economic growth weakening (2014), in the economic growth 

weakening (2015) and after the economic growth weakening (2016). By using 

the portfolio performance assessment of risk adjusted performance (Treynor 

Index). The optimal portfolio is formed from shares listed in JII and 

corresponding to the sample criteria before tne years of the Indonesian 

economic growth weakening in 2015 is named as the 2014 Portfolio. While the 

one that is formed in the year of the Indonesian economic growth weakening in 

2015 is named as the 2015 Portfolio. And the one that is formed after the year 

of the Indonesian economic growth weakening is named as the 2016 portfolio. 

Based on the assumption and explanation above, the following framework is 

formed. 

 

 

 

 

 

 

 

 

 

 

 

 



AN OPTIMAL PORTFOLIO COMPARISON OF SYARIAH STOCKS BEFORE AND 

AFTER THE WEAKENING OF THE 2015 INDONESIAN ECONOMY 

34 

 

Portfolio 

Performance 2014 

 

  

(Difference Test) H1                                H2 (Difference Test) 

   

 

 

 

   

H3 (Difference Test) 

Figure 4 Theoretical Framework 

Hypothesis 

From the framework model, this research proposed 3 hypotheses 

(H1,H2,H3) about the syariah stock performance which are: 

H0:There is no portfolio performance difference between the years of 2014 

      (before), 2015 (at the time) and 2016 (after). 

H1:There is a portfolio performance difference between the years of 2014 

      (before) with 2015 (at the time). 

H2:There is a portfolio performance difference between the years of 2015 (at 

      the time), with 2016 (after). 

H3:There is a portfolio performance difference between the years of 2014 

      (before), with 2016 (after). 

 

3. RESEARCH METHODOLOGY 
This research is a qualitative research which analyzes the optimal portfolio 

performance comparison which is formed from listed syariah stock in JII. The 

forming of this portfolio uses the single index method developed bytw William 

Sharpe. Because that method is more suitable for this research, it is observed 

that the primary problem in this research is the macroeconomic condition that 

influenced the index performance. The formed portfolio is also evaluated per 

semester or every 6 months corresponding with the JII issuance schedule. Such 

as what is known is that the portfolio strategy is an investment strategy with a 

short term analysis. The data used is the daily secondary data which is obtained 

from research documentation results to form a portfolio. 

The comparison of portfolio performance is measured by comparing the 

average daily return per week between portfolios using the risk adjusted 

performance method developed by Treynor (Treynor Index). So in processing 

data by comparing the performance index between portfolios per period, 51 

samples of data in the form of  treynor index values are obtained each day per 

week in the observation period. As a cause of avoiding performance fluctuations 

of each stock which is too high, the the portfolio analysis is a short term analysis 

and the weekly total is stable in one year, where it is not influenced by stock 

exchange results. In this research the writer is assisted by the computer assistant 

Portofolio 

Performance 2015 

 Portofolio 

Performance 2016 



AFEBI Islamic Finance and Economic Review (AIFER) 

Vol.03 No.01, June 2018 

35 

 

program (software) microsoft excel for forming portfolios and counting the 

portfolio performance index with the risk adjusted performance method, and the 

SPSS computer program (software) for implementing the T-test difference test. 

Data Type and Source  

In this research, the data used is the secondary data, which is primary data 

that is continously processed and presented well by the collecting party of the 

primary data or other parties. Where what becomes the data is the daily closing 

price of stock per day which goes into the research sample for the research 

period, the JII closing index per day in the research period, and the BI rate for 

the research period. 

Data for this research was collected and obtained from the Indonesia Stock 

Exchange Investment Gallery, Faculty of Economics and Business Walisongo 

Islamic University Semarang, Data collected for this research are: 

a. Emmitance list data included in the Jakarta Islamic Index (JII) in the 2013-
2016 period 

b. Transaction data of syariah stock prices in the closing per day included in 
the Jakarta Islamic Index (JII) in the 2013-2016 period included in the 

sample criteria for counting the stock return; 

c. Jakarta Islamic Index (JII) price data in the closing per day in the 2013-2016 
period for measuring market return; 

d. BI rate data for the 2013-2016 period for counting risk free return; 
e. And other related data which supports this research process. 

These data are obtained from the sites: http://www.idx.co.id,  

http://www.ojk.go.id, http://www.bi.go.id,  http://www.finance.yahoo.com, 

http://www.sahamok.com, and other supporting data obtained from internet 

articles or libraries in the form of bulletins, journals, and other research related 

and relevant to this research. 

Population and Data Sample  

Population is the whole research object, which consist of visible objects, 

abstracts, events and causes which are the data sources which have certain and 

same characteristics. Basically the object in this research are the stocks in the 

JII listing before and after the Indonesian economic weakening of 2015. 

Because of that the population in this research are the issuers which entered JII 

in the January 2013 period until the December 2016 period in a row. The 

determination of that period is based on the Indonesian economy weakening 

phenomenon in 2015 so it is fine if the syariah stock performance is assessed 

after the weakening. Besides that, there is a decrease of index performance mid 

2015 where before the performance decrease occurred the JII index showed a 

good performance. 

Samples are part of a population where the characteristics will be explored 

and considered capable of representing the whole population. For avoiding a 

bias, the purposive sampling method is used, which is a sample selection 

method with certain criteria. The criteria used in this research are: 

1. Stock in the JII category in the December 2013 – May 2014 period for the 
1st semester 2014 portfolio period, June – November 2014 period for the 

2nd semester 2014 portfolio period, December 2014 – May 2015 period for 

the 1st semester 2015 portfolio period, June – November 2015 period for 

the 2nd semester 2015 portfolio period, December 2015 – May 2015 period 

for the 1st semester 2016 portfolio period, , June – November 2016 period 

for the 2nd semester 2016 portfolio period. 

http://www.idx.co.id/
http://www.ojk.go.id/
http://www.bi.go.id/
http://www.finance.yahoo.com/
http://www.sahamok.com/


AN OPTIMAL PORTFOLIO COMPARISON OF SYARIAH STOCKS BEFORE AND 

AFTER THE WEAKENING OF THE 2015 INDONESIAN ECONOMY 

36 

 

2. Does not implement corporate action (stock split, stock dividend, and right 
issue) in the portfolio observation period. The reason is for avoiding biased 

data analysis results so an increase of the stock price is expected or the stock 

price decrease is genuine because the transaction volume factor is by 

investors and is not a cause of corporate action. 

Operational and Variable Definition  

                         Table 2 Portfolio Research Variables 

No Variable Remarks Indicator 

Forming the Single Index Method Optimal Portfolio 

1 Ri Counting return stock i in the t 

period 
Ri =

𝑃𝑡− 𝑃𝑡−1+𝐷𝑡

𝑃𝑡−1
         (2) 

2 E(Ri) Counting the expected return 

stock i 
E(Ri) =

∑ 𝑅𝑖𝑡
𝑛
𝑡=1

𝑛
            (3) 

3 SDi Counting the stock i deviation 

standard SDi =
∑ [𝑅𝑖𝑡−𝐸(𝑅𝑖)]

2𝑛
𝑡=1

𝑛
  (4) 

4 𝜎𝑖
2 Counting the stock i variant 

𝜎𝑖
2 = SD2 = [

∑ [𝑅𝑖𝑡−𝐸(𝑅𝑖)]
2𝑛

𝑡=1

𝑛
]2(5) 

5 Rm Counting the JII market return 

index period t 
Rm =

𝐽𝐼𝐼𝑡− 𝐽𝐼𝐼𝑡−1

𝐽𝐼𝐼𝑡−1
          (6) 

6 E(Rm) Counting the expected JII 

market return index 
E(Ri) =

∑ 𝑅𝑖𝑡
𝑛
𝑡=1

𝑛
            (7) 

7 SDm Counting the JII market 

deviation standard index SDm =
∑ [𝑅𝑚𝑡−𝐸(𝑅𝑚)]

2𝑛
𝑡=1

𝑛
 (8) 

8 𝜎𝑚
2  Counting the JII market variant 

index 𝜎𝑚
2  = [

∑ [𝑅𝑚𝑡−𝐸(𝑅𝑚)]
2𝑛

𝑡=1

𝑛
]2(9) 

9 σim Counting the stock i covariant 

with the JII market index σim=
∑ [(𝑅𝑖𝑡−𝐸(𝑅𝑖)).(𝑅𝑚𝑡− 𝐸(𝑅𝑚𝑡))]

𝑛

𝑡=1

𝑛
(10

) 

10 βi Counting the stock i beta value βi =
𝜎𝑖𝑚

𝜎𝑚
2

                       (11) 

11 αi Counting the stock i alpha value αi =𝐸(𝑅𝑖 ) −  𝛽𝑖  . 𝐸(𝑅𝑚) (12) 
12 𝑅𝑓  Counting the risk free return 

Rf =
∑ 𝐵𝐼𝑅𝑎𝑡𝑒 

𝑛
𝑡=1

𝑛
     (13) 

13 𝐸𝑅𝐵𝑖 Counting the excess return to 
beta 

𝐸𝑅𝐵𝑖=
𝐸(𝑅𝑖)−𝑅𝐵𝑅

𝛽𝑖
    (14) 

14 Ci Counting the C value for 

determining the cut-off value. 

Usually the cut-off value is the 

stock with the largest C value 

Ci =

𝜎
𝑚 ∑ 𝐴𝑗

𝑖
𝑗=1

2

1+ 𝜎
𝑚 ∑ 𝐵𝑗

𝑖
𝑗=1

2
   (15) 

15 Wi Counting the portfolio 

composition proportion 

(procentage) 

Wi =
𝑍𝑖

∑ 𝑍𝑖
𝑘
𝑗=1

    (16) 

Zi = 
𝛽𝑖

𝜎𝑒𝑖
2  (𝐸𝑅𝐵𝑖 −  𝐶

∗) (17) 

 

16 Rp Counting the return portfolio Rp =
𝑅𝑝𝑡− 𝑅𝑝𝑡−1

𝑅𝑝𝑡−1
      (18) 

17 𝐸(𝑅𝑝) Counting the expected return 
portfolio 

E(Rp) =
∑ 𝑅𝑝𝑡

𝑛
𝑡=1

𝑛
  (19) 



AFEBI Islamic Finance and Economic Review (AIFER) 

Vol.03 No.01, June 2018 

37 

 

18 σpm Counting the portfolio covariant 

with the JII market index σpm=
∑ [(𝑅𝑝𝑡−𝐸(𝑅𝑝)).(𝑅𝑚𝑡− 𝐸(𝑅𝑚𝑡))]

𝑛

𝑡=1

𝑛

(20) 

19 𝛽𝑝 Counting the portfolio beta 
value 

𝛽𝑝 = 
𝜎𝑝𝑚

𝜎𝑚
2

      (21) 

Portfolio Performance Assessment with the Risk Adjusted Performance Method 

20 𝑇𝑝 Counting the Treynor Index 𝑇𝑝= 
𝑅𝑝̅̅ ̅̅ − 𝑅𝑓̅̅ ̅̅

𝛽𝑝
  (22) 

 

4. RESULTS AND DISCUSSION 
Jakarta Islamic Index  

The Jakarta Islamic Index in an index created by PT. Bursa Efek Indonesia 

(BEI) with PT. Danareksa Investment Management (DIM) based on Islamic 

syariah in the frame of developing the syariah capital market. This index is 

meant to be used as a measurement (benchmark) for measuring performance of 

an investment that enters the JII index, it is implemented with the following 

order: 

1) Selecting stock groups with the primary business of not being against the 
syariah principle and already recorded for more than 3 months (except being 

included in the 10 big capitalizations) 

2) Selecting stock based on yearly financial reports or the last annual middle 
which have an obligation to assets as large as 90% maximum 

3) Selecting 60 stocks from the above stock composition based on the average 
market capitalization order for the last year. 

4) Selecting 30 stocks with the composition based on average regular 
liquidation levels for the last year. 

Portfolio 2014 

Semester I 

In the portfolio period of semester I 2014 there are 4 stocks included in 

the portfolio. 

Table 3 2014 Portfolio Semester I 

No. 
Stock 

Code 
Company Name Industrial Sector Percentage 

1 ADRO Adaro Energy Tbk. Mining (Coal Mining) 33.72% 

2 AALI Astra Agro Lestari Tbk. 
Agriculture 

(Plantation) 
41.63% 

3 LSIP 
PP London Sumatera Indonesia 

Tbk. 

Agriculture 

(Plantation) 
3.17% 

4 UNTR United Tractors Tbk. 

Trade, Services and 

Investment 

(Wholesale(Durable 

&Non-Durable 

Goods) 

21.48% 

Source: Processed Secondary Data 

 



AN OPTIMAL PORTFOLIO COMPARISON OF SYARIAH STOCKS BEFORE AND 

AFTER THE WEAKENING OF THE 2015 INDONESIAN ECONOMY 

38 

 

 
Figure 5 Semester 1 2014 Portfolio Percentage 

Semester II 

In the portfolio period of semester II there are 5 stocks included in the 

portfolio. 

Table 4 2014 Portfolio Semester II 

No. Stock 

Code 

Company Name  Industrial Sector Percentage 

1 SMGR Semen Indonesia (Persero) 

Tbk. 

Basic Industry and Chemicals 

(Cement) 

13.46% 

2 INCO Vale Indonesia Tbk. Mining (Metal and Mineral 

Mining) 

40.72% 

3 MPPA Matahari Putra Prima Tbk. Trade, Services and Investment 

(Retail Trade) 

23.94% 

4 LSIP PP London Sumatera Indonesia 

Tbk. 

Agriculture (Plantation) 10.51% 

5 AALI Astra Agro Lestari Tbk. Agriculture (Plantation) 11.36% 
Source: Processed Secondary Data 

 

 
Figure 6 Semester 2 2014 Portfolio Percentage 

2015 Portfolio 

Semester I 

In the portfolio period of semester I 2015 there are 4 stocks included in 

the portfolio. 

 

Table 52015 Portfolio Semester I 

Source: Processed Secondary Data 

No. 
Stock 

Code 
Company Name Industrial Sector Percentage 

1 PGAS 
Perusahaan Gas Negara 

(Persero) Tbk. 

Infrastructure, Utilities and 

Transportation (Energy) 
12.96% 

2 PTPP 
Pembangunan Perumahan 

(Persero) Tbk. 

Property, Real Estate and 

Building Construction 

(Building Construction) 

56.67% 

3 WIKA Wijaya Karya Tbk. 

Property, Real Estate and 

Building Construction 

(Building Construction) 

24.62% 

4 SSMS 
Sawit Sumbermas Sarana 

Tbk. 
Agriculture (Plantation) 5.75% 



AFEBI Islamic Finance and Economic Review (AIFER) 

Vol.03 No.01, June 2018 

39 

 

 

 
Figure 7 Semester 1 2015 Portfolio Percentage 

 

Semester II 

In the portfolio period of semester II 2015 there are 11 stocks included in 

the portfolio. 

 

Table 6 2015 Portfolio Semester II 

Source: Processed Secondary Data 

 

 

PGAS
Infrastructure, Utilities 

and Transportation 
(Energy)…

PTPP Property, Real 
Estate and Building 

Construction (Building 
Construction), 56,67%

WIKA
Property, Real Estate 

and Building 
Construction (Building …

SSMS Agriculture 
(Plantation), 5.75%

No. 
Stock 

Code 
Company Name Industrial Sector Percentage 

1 AKRA 
AKR Corporindo 

Tbk. 

Trade, Services and Investment 

(Wholesale(Durable &Non-Durable 

Goods) 

8.72% 

2 SSMS 
Sawit Sumbermas 

Sarana Tbk. 
Agriculture (Plantation) 24.56% 

3 WSKT 
Waskita Karya 

(Persero) Tbk. 

Property, Real Estate and Building 

Construction (Building Construction) 
22.04% 

4 PTPP 

Pembangunan 

Perumahan (Persero) 

Tbk. 

Property, Real Estate and Building 

Construction (Building Construction) 
9.87% 

5 SMRA 
Summarecon Agung 

Tbk. 

Property, Real Estate and Building 

Construction (Property and Real 

Estate) 

7.08% 

6 MPPA 
Matahari Putra Prima 

Tbk. 

Trade, Services and Investment 

(Retail Trade) 
2.27% 

7 UNTR United Tractor Tbk. 

Trade, Services and Investment 

(Wholesale(Durable &Non-Durable 

Goods) 

1.40% 

8 UNVR 
Unilever Indonesia 

Tbk. 

Consumer Goods Industry (Cosmetic 

Household) 
13.14% 

9 ICBP Indofood CBP Tbk. 
Consumer Goods Indutry (Food and 

Beverages) 
7.67% 

10 LPPF 
Matahari Department 

Store Tbk. 

Trade, Service and Investment (Retail 

Trade) 
1.30% 

11 SILO 
Siloam International 

Hospitals Tbk. 

Trade, Services and Investment 

(Healthcare) 
0.31% 



AN OPTIMAL PORTFOLIO COMPARISON OF SYARIAH STOCKS BEFORE AND 

AFTER THE WEAKENING OF THE 2015 INDONESIAN ECONOMY 

40 

 

 
Figure 8 Semester 2 2015 Portfolio Percentage 

2016 Portfolio 

Semester I 

In the portfolio period of semester I 2016 there are 2 stocks included in 

the portfolio. 

Table 5 2016 Portfolio Semester I 

No. Stock Code Company 

Name 

Industrial Sector Percentage 

1 AKRA AKR 

Corporindo Tbk. 

Trade, Services and Investment 

(Wholesale(Durable &Non-Durable 

Goods) 

80.22% 

2 PWON 
Pakuwon Jati 

Tbk. 

Property, Real Estate and Building 

Construction (Property and Real 

Estate) 

19.78% 

Source: Processed Secondary Data  

 

 
Figure 9 Semester 1 2016 Portfolio Percentage 

Semester II 

In the portfolio period of semester II 2016 there are 11 stocks included in 

the portfolio. 

Table 8 2016 Portfolio Semester II 

No. 
Stock 

Code 
Company Name Industrial Sector Percentage 

1 WSKT 
Waskita Karya 

(Persero) Tbk. 

Property, Real Estate and Building 

Construction (Building Construction) 
48.56% 

2 SILO 
Siloam International 

Hospitals Tbk. 

Trade, Services and Investment 

(Healthcare) 
2.65% 

3 SSMS 
Sawit Sumbermas 

Sarana Tbk. 
Agriculture (Plantation) 4.40% 

4 INDF 
Indofood Sukses 

Makmur Tbk. 

Consumer Goods Indutry (Food and 

Beverages) 
15.24% 

5 ADRO Adaro Energy Tbk. Mining (Coal Mining) 4.04% 

AKRA Trade, Services 
and Investment 

(Wholesale(Durable 
&Non-Durable Goods), 

8.72%

SSMS Agriculture 
(Plantation), 24.56%

WSKT Property, 
Real Estate and 

Building 
Construction 

(Building …

PTPP Property, Real 
Estate and Building 

Construction (Building 
Construction), 9.87%

SMRA Property, Real 
Estate and Building 

Construction (Property 
and Real Estate), 7.08%

MPPA Trade, 
Services and 

Investment (Retail …

UNTR Trade, 
Services and 
Investment 

(Wholesale(Durabl
e &Non-Durable …

UNVR 
Consumer 

Goods 
Industry …

ICBP Consumer Goods 
Indutry (Food and 
Beverages), 7.67%

LPPF Trade, Service and 
Investment (Retail 

Trade), 1.30%

SILO Trade, 
Services and 
Investment 

(Healthcare…

AKRA Trade, Services and 
Investment 

(Wholesale(Durable &Non-
Durable Goods), 80.22%

PWON Property, Real 
Estate and Building 

Construction (Property 
and Real Estate), 19.78%



AFEBI Islamic Finance and Economic Review (AIFER) 

Vol.03 No.01, June 2018 

41 

 

6 LSIP 

PP London 

Sumatera Indonesia 

Tbk. 

Agriculture (Plantation) 3.90% 

7 TLKM 

Telekomunikasi 

Indonesia (Persero) 

Tbk. 

Infrastructure, Utilities and 

Transportation (Telecommunication) 
12.78% 

8 PWON Pakuwon Jati Tbk. 

Property, Real Estate and Building 

Construction (Property and Real 

Estate) 

4.38% 

9 JSMR 
Jasa Marga 

(Persero) Tbk. 

Infrastructure, Utilities and 

Transportation (Toll Road, Airport, 

Harbour and Allied Products) 

3.23% 

10 AKRA 
AKR Corporindo 

Tbk. 

Trade, Services and Investment 

(Wholesale(Durable &Non-Durable 

Goods) 

0.33% 

11 PTBA 
Tambang Batubara 

Bukit Asam Tbk. 
Mining (Coal Mining) 0.50% 

            Source: Processed Secondary Data 
 

 
Figure 10 Semester 2 2016 Portfolio Percentage 

Statistical Data Analysis  

Based on the statistical count and analysis to each portfolio, a performance 

growth graph is obtained which shows the daily performance growth of each 

week as shown in the following: 

 Figure 11 Average Weekly Return Performance between Portfolios 

It is seen graphically that the performance of each portfolio provides 

different results, yet the numbers are not significant. If observed from the global 

WSKT Property, Real 
Estate and Building 

Construction (Building 
Construction), 48.56%

SILO Trade, Services and 
Investment 

(Healthcare), 2.65%SSMS Agriculture 
(Plantation), 4.40%

INDF Consumer Goods 
Indutry (Food and 
Beverages), 15%

ADRO Mining (Coal …

LSIP Agriculture …

TLKM 
Infrastructure, 
Utilities and …

PWON 
Property, 

Real …

JSMR 
Infrastructure, 

Utilities and 
Transportatio…

AKRA Trade, 
Services and 
Investment …

PTBA Mining (Coal 
Mining), 0.50%

-3.000%

-2.000%

-1.000%

0.000%

1.000%

2.000%

3.000%

Mg
1

Mg
4

Mg
7

Mg
10

Mg
13

Mg
16

Mg
19

Mg
22

Mg
25

Mg
28

Mg
31

Mg
34

Mg
37

Mg
40

Mg
43

Mg
46

Mg
49

2014

2015

2016



AN OPTIMAL PORTFOLIO COMPARISON OF SYARIAH STOCKS BEFORE AND 

AFTER THE WEAKENING OF THE 2015 INDONESIAN ECONOMY 

42 

 

economy issue, the weakening occured in mid 2015, where the 2015 portfolio 

was observed with a deeply negative trend. Yet the numbers do not reach the -

3% average. 

        Table 9 Return Portofolio Descriptive Data Analysis Results 

 
Lowest 

Return 

Highest 

Return 

Average 

Return 

Deviation 

Standard 

Total 

Return 

Portofolio 2014 I -2.01% 1.43% 0.12% 1.61% 11.40% 

JII 2014 I -0.76% 0.94% 0.09% 1.17% 9.87% 

Portofolio 2014 II -1.49% 1.26% 0.01% 1.36% -1.80% 

JII 2014 II -0.84% 0.62% 0.07% 0.90% 5.29% 

Portofolio 2015 I -2.54% 1.03% -0.04% 1.41% -13.88% 

JII 2015 I -2.07% 1.01% -0.03% 1.05% -5.40% 

Portofolio 2015 II -0.98% 1.92% -0.07% 1.57% 5.07% 

JII 2015 II -1.45% 2.14% -0.09% 1.72% -7.86% 

Portofolio 2016 I -1.87% 2.25% -0.04% 2.10% -4.17% 

JII 2016 I -0.89% 1.13% 0.13% 1.05% 17.27% 

Portofolio 2016 II -1.23% 2.14% 0.07% 1.54% 5.02% 

JII 2016 II -1.12% 1.74% 0.08% 1.19% 1.06% 
Source: Processed Secondary Data 

Yet when observed based on statistical counts shown on table 9, it is seen 

that the portfolio condition has a higher value compared with .the JII index. Yet 

there are some conditions where the portfolio value is lower than the JII index. 

In semester 1 2015 and semester 1 2016 there is a change of the portfolio habit, 

caused by the presence of the market trend which is caused by investor 

expectations which change following government expectations. While observed 

from the risk value, all portfolios have a higher risk value compared with the JII 

index. This is considered normal, although portfolio forming has a purpose for 

maximizing returns, with a risk value as minimal as possible, yet for obtaining 

the maximum return, the risk level will increase.  

So in can be concluded that the global and regional economic condition 

influences the stock price index performance which causes the portfolio 

performance which is formed by the single index method. Where the portfolio 

with the single index method is very dependent on value, and the trends and risk 

values of the stock price. While the average performance value of weekly return 

portfolios, beta values, variance values, average weekly return index 

performance and the risk free rate are obtained from the average weekly BI rate 

which produces values as shown in the following table 10. 

Table 10 Average Return. Beta, Variance Portfolio, Average Index, and 

Average Risk Free Return 

 Avg. Return 
Beta Portofolio 

(βp) 
Variance JII (Rm) 

BI Rate 

(Rf) 

2014 I 0.12% 0.596097 0.0002586 0.09% 0.14% 

2014 II 0.01% 0.721693 0.0001844 0.07% 0.14% 

2015 I -0.04% 0.577479 0.0001977 -0.03% 0.14% 

2015 II 0.07% 0.721047 0.0002473 -0.09% 0.14% 



AFEBI Islamic Finance and Economic Review (AIFER) 

Vol.03 No.01, June 2018 

43 

 

2016 I -0.04% 0.561066 0.0004416 0.13% 0.13% 

2016 II 0.07% 0.922251 0.0002357 0.02% 0.13% 
Source: Processed Secondary Databes 

Based on the data shown in table 10, each year based portfolio can be 

measured and compared to the weekly Treynor index performance in each 

portfolio so it provides a hypothesis test result in the first, second and third 

hypotheises. The T test result between the portfolio Treynor index provides the 

same result, which is the rejection of hypothesis 1 (H1), hypotheisis 2 (H2), and 

hypotheisis 3 (H3). and the acceptance of hypotheisis 0 (H0) which illustrates 

that there is no difference between the average weekly performance from every 

performance measure index. 

Table 11 Test Results of the First- Third Hypotheises (2014-2016) 

 T Count T Table  Significant Value Significant Level Result 

First Hypothesis Test (2014-2015) 

Treynor Index 0.388 2.0086 0.699 0.05 H0 accepted 

Second Hypothesis Test (2015-2016) 

Treynor Index -0.113 -2.0086 0.910 0.05 H0 accepted 

Third Hypothesis Test  (2014-2016) 

Treynor Index 0.259 2.0086 0.797 0.05 H0 accepted 
Source: Processed Secondary Data 

Based on table 11, every t test value and significance value in every 

performance measure index of each hypothesis test period, there is not one that 

fulfills the criteria of the hypothesis 0 (H0) rejection and accepts the alternative 

hypothesises (H1, H2, H3) which explains that performance wise the weekly 

portfolio does not provide a significant difference. So it can be concluded, that 

the purpose of forming portfolios for searching for the lowest risk with the 

maximum return can be said as accomplished, with the proof of the inter-year 

weekly portfolio before, at the time, and after the Indonesian economic 

weakening which does not have a significant difference, Which means, the 

weakening condition of the Indonesian economy in 2015 which is a 

macroeconomic condition ot can be said as a part of the Beta value (systematic 

risk) does not influence the average weekly portfolio performance which is 

formed significantly compared with the years before and after 2015 where the 

Indonesian macroeconomic condition does not experience growth weakening. 

Table 12 Portofolio Return,  JII Return and Beta Portofolio 

  Portofolio Return (Rp)  JII Return (Rm)  Beta Portofolio (Bp) 

Portofolio 2014 I 11.40% 9.87% 59.61% 

Portofolio 2014 II -1.80% 5.29% 72.17% 

Portofolio 2015 I -13.88% -5.40% 57.75% 

Portofolio 2015 II 5.07% -7.86% 72.10% 

Portofolio 2016 I -4.17% 17.27% 56.11% 

Portofolio 2016 II 5.02% 1.06% 92.23% 
Source: Processed Secondary Data 



AN OPTIMAL PORTFOLIO COMPARISON OF SYARIAH STOCKS BEFORE AND 

AFTER THE WEAKENING OF THE 2015 INDONESIAN ECONOMY 

44 

 

Yet, when observed and compared with the portfolio return, JII return, and 

Beta portfolio per semester, it illustrates a different performance with the 

average weekly performance, there is even something that is not symetrical with 

the JII market performance index. It is seen from the first semester of 2014 until 

the first semester of 2015, the semesterly portfolio return is symetrical with the 

Beta portfolio value. Even though performance wise the average weekly 

portfolio provided results that there is no significant performance difference. So 

what becomes the attention is that the analysis of portfolio forming and 

performance is a short term analysis for adapting to the purpose in forming the 

portfolio. Based on the result, a rational investor needs to pay attention t the 

implemented investment process specifically in the portfolio forming phase, 

portfolio revision, portfolio assessment and evaluation and the right timing in 

making decisions, as the writer explains for maximizing the investment results. 

 

5. CONCLUSION 
Based on the analysis results implemented for finding the portfolio 

performance difference of the optimal syariah stock which us arranged by 

considering the factors before, at the time, and after the weakening of the 

Indonesian economic growth in 2015, the conclusion is as the following: 

1. There is no significant difference in the average weekly Treynor Index in 
the syariah stock optimal portfolio which is formed from the Jakarta Islamic 

Index before and at the time of the economic growth weakening in 2015. In 

other words, there is no difference of average weekly portfolio performance 

between the 2014 and 2015 portfolios. This result is proven with the 

insignificant t count value, because the statistical count shows a t count 

value as large as 0.388 below the 2.0086 t table with a probability value 

(Sig-t) as large as 0.699 which the value is above the 0.05 significance level. 

2.  There is no significant difference in the average weekly Treynor Index in 
the syariah stock optimal portfolio which is formed from the Jakarta Islamic 

Index before and at the time of the economic growth weakening in 2015. In 

other words, there is no difference of average weekly portfolio performance 

between the 2014 and 2016 portfolios. This result is proven with the 

insignificant t count value, because the statistical count shows a t count 

value as large as -0.113 below the 2.0086 t table with a probability value 

(Sig-t) as large as 0.910 which the value is above the 0.05 significance level. 

3. There is no significant difference in the average weekly Treynor Index in 
the syariah stock optimal portfolio which is formed from the Jakarta Islamic 

Index before and at the time of the economic growth weakening in 2015. In 

other words, there is no difference of average weekly portfolio performance 

between the 2014 and 2016 portfolios. This result is proven with the 

insignificant t count value, because the statistical count shows a t count 

value as large as 0.259 below the 2.0086 t table with a probability value 

(Sig-t) as large as 0.797 which the value is above the 0.05 significance level. 

4. The conclusion from the three tested hypotheises provides an illustratio of 
the portfolio forming strategy in investment in the years 2014, 2015 and 

2016, with the presence of an economic growth weakening in the year 2015 

as a systematic risk variable which can be minimalized. This shows the 

portfolio strategy to be in the reach of the goal of portfolio forming. 

 

 



AFEBI Islamic Finance and Economic Review (AIFER) 

Vol.03 No.01, June 2018 

45 

 

References 

Ahmad, K. (2004). Dasar-Dasar Manajemen Investasi dan Portofolio. Jakarta: 

PT. Rineka Cipta. p. 2. 

Brigham, E. F., & Houston, J. (2009). Fundamentals of Finance Management. 

Terj. Ali Akbar Yulianto. Jakarta: Salemba Empat. p. 216. 

Hartono, J. (2014). Teori dan Praktik Portofolio dengan Excel. Jakarta: 

Salemba Empat. p. 7-8. 

Hartono, J. (2007). Teori Portofolio dan Analisis Investasi. Yogyakarta: BPFE 

Yogyakarta. p. 207. 

PT Bursa Efek Indonesia. Sekolah Pasar Modal Syariah Tahun 2011. p.3. 

Samsul, M. (2006). Pasar Modal dan Manajemen Portofolio. Jakarta: Erlangga. 

p. 35. 

Subekhi, I. (2011). Analisis Perbandingan Kinerja Portofolio Saham Syariah 

Sebelum dan Sesudah Listing di Jakarta Islamic Index (Studi pada saham-

saham di JII periode 5 Desember 2008 - 8 Juni 2011. [Theisis]. Semarang:  

Walisongo Public Islamic University. p. 111-114. 

Sudandarumini. (2002). Metedologi Penelitian Petunjuk Praktis Untuk 

Penelitian Pemula. Yogakarta:  Gajah Mada University Press. p. 47. 

Sulistyorini, A. (2009). Analisis Kinerja Portofolio Saham dengan Metode 

Sharpe, Treynor, dan Jensen (Saham LQ45 di Bursa Efek Indonesia 

Tahun 2003-2007). [Tesis]. Semarang: Diponegoro University. p. 62-63. 

Tandelilin, E. (2001). Analisis Investasi dan Manajemen Portofolio. 

Yogyakarta: BPFE Yogyakarta. p. 17. 

Tandelilin, E. (2001). Analisis Investasi dan Manajemen Portofolio. 

Yogyakarta: BPFE Yogyakarta. p. 327 

Tuerah, C. (2013). Perbandingan Kinerja Saham LQ45 Tahun 2012 

Menggunakan Metode Jensen, Sharpe dan Treynor.  EMBA Journal.                               

1 (4). p. 1447 

Umar, H. (2000).  Research Methods in Finance and Banking. Jakarta: PT 

Gramedia Pustaka Utama. Print. II. p. 82 

Utami, R. dan Nugraha, M. (2011). Analisis Kinerja Saham Syariah dan 

Pengaruhnya Terhadap Respon Pasar pada Perusahaan yang Tercatat di 

JII. Jurnal Reviu Akuntansi dan Keuangan. 1 (2). p. 169-170.