PERBANDINGAN KINERJA PORTOFOLIO OPTIMAL ANTARA SHARIA DAN NON-SHARIA ASSET PRICING MODEL (STUDI PADA JAKARTA ISLAMIC INDEX (JII) DAN IDX30)

This study aims to compare the optimal portfolios of the four models that have been developed by economists, namely the Tomkins and Karim (1987) model, Ashker (1987) model, Shaikh's (2010) model, and Hanif's (2011) model, and, at the same time, to investigate whether the performance of the four optimal portfolio models based on Sharia-Compliant Asset Pricing Models (SCAPM) is better than the capital asset pricing model (CAPM). From the population of the public companies listed in the Jakarta Islamic Indeks (JII) and the IDX30 Index from 2015 to 2019, the sample was taken using purposive sampling method, and a sample of nine companies was obtained for the Jakarta Islamic Indeks (JII) and twelve companies for the IDX30 index. Based on analysis and discussion, this study shows that the optimal portfolio formed by Hanif's (2011) model is the optimal portfolio model with the best performance, and produces the best portfolio return and portfolio risk expectations among the other three SCAPM models. Furthermore, after comparing between SCAPM and CAPM, the results show that the CAPM model is the optimal portfolio model with the best performance and has the best return on portfolio expectations and risk compared to the SCAPM model. Henceforth, from the analysis and discussion in this study, the results show that the sharia optimal portfolio (SCAPM) has a performance that is not better than (just the same as) the non-sharia optimal portfolio (CAPM)