Comparison of an Optimal Portfolio Performance on the Jakarta Islamic Index 70 and IDX Basic Materials

Andi Marwah ()
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Andi Marwah: Hasanuddin University

A chapter in Proceedings of the 10th International Conference on Accounting, Management, and Economics (10th ICAME 2025), 2026, pp 606-616 from Springer

Abstract: Abstract This study aims to measure portfolio performance reviewed from three approaches based on the Sharpe method, Treynor method, and Jensen method. This study examines whether the Single Index Model can produce an optimal portfolio on the Jakarta Islamic Index 70 (JII70) and IDX Basic Materials (IDX IC-B) to determine the better stock portfolio for the period 2019–2024. The selection of this research sample was used based on the purposive random sampling technique that meet the sample selection criteria. The data analysis technique used in this study is descriptive with a quantitative approach, and the analysis tool used is Microsoft Excel. The test results based on the performance measurement of the stock portfolio in the JII70 using the Sharpe method is 0,1793, the Treynor method is -0,1474, and the Jensen method is 0,2443. Meanwhile, for the IDX IC-B using the Sharpe is 0,0030, the Treynor is 0,1181, and the Jensen is 0,2151. Based on these results, it can be concluded that the performance of the JII70 portfolio is better than the IDX IC-B, as the values of the three indices calculated show that the JII70 has higher values compared to the IDX IC-B.

Keywords: Jakarta Islamic Index 70 (JII70); IDX Basic Materials (IDX IC-B); Optimal Portfolio; Single Index Model; Sharpe; Treynor; Jensen (search for similar items in EconPapers)
Date: 2026
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DOI: 10.2991/978-94-6239-709-5_42

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