ANALISIS PORTOFOLIO OPTIMAL DENGAN MEAN VARIANCE DAN MEAN ABSOLUTED DEVIATION PADA SAHAM SYARIAH DI INDONESIA (STUDI KASUS : HARGA PENUTUPAN SAHAM JAKARTA ISLAMIC INDEX (JII) PERIODE JANUARI 2020 SAMPAI MARET 2022)

The investment world is currently experiencing a significant increase because many people are aware of the importance of investing in order to support a prosperous life in the future. Every investment certainly has a risk that is not known for sure, therefore an investor needs to conduct an analysis to reduce this risk by forming a portfolio. Portfolio is a collection of assets owned by individuals or groups. From this portfolio, the most optimal portfolio will be selected. This study discusses portfolio analysis using the Mean Variance and Mean Absoluted Deviation which will be compared using the portfolio performance of the Sharpe Index. The population used is the monthly stock price listed in the Jakarta Islamic Index (JII) for the period January 2020 to March 2022. The sample is taken based on purposive random sampling technique with the criteria of stocks that are consistently incorporated in JII and obtained 20 stocks. Then the next criteria are choosing stocks that have the largest positive mean return, the largest Sharpe index, and stocks that are normally distributed, so that 10 stocks are obtained, namely INCO, PTBA, UNTR, TPIA, TLKM, JPFA, KLBF, PTPP, PGAS, and EXCL. The Mean Variance portfolio yields a return of 2.5%, a risk of 7.13%, and the Sharpe index value of 0.3052. The Mean Absoluted Deviation portfolio yields a return of 1.18%, a risk of 0.54%, and a Sharpe index value of 1.7542. So that the optimal portfolio that has the best performance is the Mean Absoluted Deviation portfolio which has the largest Sharpe index value compared to Mean Variance