Analisa Pembentukan Portofolio Optimal Berbasis Risk dan Return pada Sukuk Korporasi di Indonesia

Rosid, Wahyu (2020) Analisa Pembentukan Portofolio Optimal Berbasis Risk dan Return pada Sukuk Korporasi di Indonesia. Masters thesis, IPB University.

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The concept of sharia-based finance is currently growing rapidly with a variety of supporting instruments. One of the Islamic financial instruments that has contributed to the growth of Islamic financial assets in Indonesia is sukuk or Islamic bonds. Each sukuk structure or contract has a different risk and return profile. This difference in risk and return profiles has an impact on the emergence of advantages and disadvantages of each instrument. The objective of this research was to analyze the optimal portfolio of corporate sukuk in Indonesia using the Markowitz risk return analysis approach and the CML (Capital Market Line) model in order to foster investor interest in investing in corporate sukuk instruments. The research was conducted by using data during 2014-2018 and divided into three measurement periods, namely (1) 2014- 2016 (2) 2016-2018 and (3) 2014-2018, each period representing the conditions of the Indonesian and global economies. The data in this study are secondary data obtained from Bloomberg and the Indonesia Bond Pricing Agency (IBPA), namely data on the rate of return of corporate sukuk throughout 2014 - 2018. The results show that during the crisis period, sukuk with an ijarah contract was superior both in terms of risk and return compared to the sukuk mudharabah, so that the optimal portfolio composition is to maximize the sukuk ijarah composition. However, in the post-crisis period (improvement in economic conditions) and long-term measurements, the portfolio composition is more varied depending on the objectives of each investor, either to maximize returns or to minimize risks. The optimal portfolio combination (referring to the benchmark rate) between sukuk mudharabah and sukuk ijarah is as follows: (1) 0% mudharabah: 100% ijarah for the period 2014 - 2016 with a yield rate of 3.9 and a risk of 0.49, (2) 81% mudharabah: 19% ijarah for the period 2016 - 2018 with a return of 2.71 and a risk of 0.65, and (3) 85% mudharabah: 15% of ijarah for the period 2014 - 2018 with a return of 2.77 and a risk of 0.79. With this combination, investors can form an efficient frontier that provides a comparison of the same level of return and risk.

Item Type: Thesis (Masters)
Uncontrolled Keywords: optimal portfolio, risk-return, sukuk korporasi corporate sukuk, optimal portfolio, risk-return
Subjects: Manajemen Keuangan
Depositing User: SB-IPB Library
Date Deposited: 01 Aug 2022 04:27
Last Modified: 01 Aug 2022 04:27

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