{"title":"Analysis of determining optimal portfolio in BPKH’s portfolios using Tangency Portfolio model","authors":"Agam Maulana Ardi, Darwanto Darwanto","doi":"10.20885/jeki.vol9.iss2.art3","DOIUrl":null,"url":null,"abstract":"Purpose – This study aims to analyze the actual portfolio of BPKH from the hajj fund investment and examine the optimization investment portfolio for BPKH based on PP No.5 Tahun 2018.Methodology – The data used in this study was quarterly in the form of price and coupon for Sukuk instruments and the equivalent of yield rate for Sharia deposits. This study uses the Markowitz Diversification method with the Tangency Portfolio model as a model to determine optimal portfolio. Findings – The result of this study showed that BPKH’s actual portfolios in 2018 and 2019 can’t be determined as efficient portfolios and the optimal portfolio. Meanwhile, BPKH’s actual portfolios in 2020 and 2021 are included as efficient portfolios but not optimal portfolio. The result of an optimal portfolio in this study has a composition as follows: 30% of Sharia deposits, 5,60% of SBSN, and 64,40% of SDHI.Implication – The finding of an optimal portfolio can recommend BPKH to allocate most of the hajj fund in SDHI than SBSN because the SBSN has high risk and still to allocate in Sharia deposits as worth maximum based on regulation in PP No.5 Tahun 2018. BPKH needs to diversify hajj fund investment wider such as Lembaga Tabung Haji (LTH) has done in Malaysia.Originality – This study contributes to evaluate of whether BPKH’s actual portfolios in the first third years since BPKH operation and after the first third years of BPKH operation are efficient and optimal or not. Furthermore, this study provides a combination of instruments in the scenario optimal portfolio.","PeriodicalId":34834,"journal":{"name":"Jurnal Ekonomi dan Keuangan Islam","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2023-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Jurnal Ekonomi dan Keuangan Islam","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.20885/jeki.vol9.iss2.art3","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
Purpose – This study aims to analyze the actual portfolio of BPKH from the hajj fund investment and examine the optimization investment portfolio for BPKH based on PP No.5 Tahun 2018.Methodology – The data used in this study was quarterly in the form of price and coupon for Sukuk instruments and the equivalent of yield rate for Sharia deposits. This study uses the Markowitz Diversification method with the Tangency Portfolio model as a model to determine optimal portfolio. Findings – The result of this study showed that BPKH’s actual portfolios in 2018 and 2019 can’t be determined as efficient portfolios and the optimal portfolio. Meanwhile, BPKH’s actual portfolios in 2020 and 2021 are included as efficient portfolios but not optimal portfolio. The result of an optimal portfolio in this study has a composition as follows: 30% of Sharia deposits, 5,60% of SBSN, and 64,40% of SDHI.Implication – The finding of an optimal portfolio can recommend BPKH to allocate most of the hajj fund in SDHI than SBSN because the SBSN has high risk and still to allocate in Sharia deposits as worth maximum based on regulation in PP No.5 Tahun 2018. BPKH needs to diversify hajj fund investment wider such as Lembaga Tabung Haji (LTH) has done in Malaysia.Originality – This study contributes to evaluate of whether BPKH’s actual portfolios in the first third years since BPKH operation and after the first third years of BPKH operation are efficient and optimal or not. Furthermore, this study provides a combination of instruments in the scenario optimal portfolio.
目的:本研究旨在从朝觐基金投资的角度分析BPKH的实际投资组合,并基于PP No.5 Tahun 2018检验BPKH的优化投资组合。方法-本研究中使用的数据是以伊斯兰债券工具的价格和息票以及伊斯兰教存款的等效收益率的形式进行的季度数据。本研究采用马科维茨分散投资方法,以切线投资组合模型为模型确定最优投资组合。研究结果-本研究结果表明,BPKH在2018年和2019年的实际投资组合不能确定为有效投资组合和最优投资组合。同时,BPKH在2020年和2021年的实际投资组合被纳入有效投资组合,而不是最优投资组合。本研究的最优投资组合的组成为:Sharia矿床占30%,SBSN占5.60%,SDHI占64.40%。含义-最佳投资组合的发现可以建议BPKH将大部分朝觐基金分配给SDHI而不是SBSN,因为SBSN具有高风险,并且根据PP No.5 Tahun 2018的规定,仍然将伊斯兰教存款分配为最大价值。BPKH需要扩大朝觐基金投资的多元化,就像Lembaga Tabung Haji (LTH)在马来西亚所做的那样。原创性-本研究有助于评估BPKH在运营后的前三年和运营后的前三年的实际投资组合是否有效和最佳。此外,本研究还提供了情景最优投资组合中的工具组合。