An Empirical Implementation of Markowitz Modern Portfolio Theory on Indonesia Sharia Equity Fund: A Case of Bahana Icon Syariah Mutual Fund

Bahana Icon Syariah, one of Bahana TCW’s mutual fund products, is less preferred by investors due to historical poor performance over the last five years compared to the reference index of Indonesia Sharia Stock Index (ISSI). Therefore, this study will evaluate and determine the optimal portfolio using the Markowitz’s Modern Portfolio Theory in four different market conditions – overall in the last five years, sideways, bullish, and bearish – with two variables, active and semi-active investment strategy. Data input refers to stocks that have always been recorded at least 80% in the Jakarta Islamic Index 30 (JII 30) and Jakarta Islamic Index 70 (JII 70) from October 2015 to October 2020. The findings reveal that active investment strategy is always superior to the semi-active under any form of market conditions. The results showed that there were 8 stocks worthy of being included in the portfolio, 4 stocks worthy of consideration, and 9 stocks worthy of being removed from the portfolio. The results are expected to be used and developed as one of the company's tools to obtain optimal portfolio returns.