Stock Portfolio Optimization Strategy Using The Hierarchical Risk Parity Method In Idx Sharia Growth (Idxshagrow)

Kaputra, Andi Julio (2024) Stock Portfolio Optimization Strategy Using The Hierarchical Risk Parity Method In Idx Sharia Growth (Idxshagrow). Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Investasi di pasar modal syariah Indonesia menunjukkan pertumbuhan yang signifikan, ditandai dengan peningkatan jumlah saham syariah mencapai 69% dari total 931 saham yang tercatat di Bursa Efek Indonesia (BEI) dan pertumbuhan investor syariah sebesar 211% dalam lima tahun terakhir. Di antara lima indeks saham syariah yang ada, IDX Sharia Growth (IDXSHAGROW) menunjukkan tren kenaikan yang paling konsisten. Namun, tingginya risiko dalam investasi saham memerlukan strategi optimalisasi portofolio yang efektif. Penelitian ini bertujuan untuk mengembangkan strategi optimalisasi portofolio saham menggunakan metode Hierarchical Risk Parity (HRP) pada IDXSHAGROW, yang mencakup 30 saham syariah dengan tren pertumbuhan laba bersih dan pendapatan yang baik. Metode HRP dipilih karena kemampuannya dalam mengurangi risiko melalui distribusi bobot portofolio berdasarkan nilai korelasi, serta mengatasi keterbatasan metode Markowitz dengan tidak menghubungkan antara korelasi antar saham dengan matriks kovariansi. Kinerja portofolio optimal yang terbentuk menjadi dua portofolio, diantaranya yaitu portofolio A yang hanya menggunakan eliminasi menggunakan Risk Free dan portofolio B yang menggunakan eliminasi Risk Free serta eliminasi menggunakan expected Return terbaik pada setiap sektornya. Kemudian kedua portofolio tersebut diukur menggunakan Indeks Sharpe untuk mengevaluasi performa terkait risiko yang diambil. Data penelitian bersumber dari Bursa Efek Indonesia, Indo Premier Sekuritas, Stockbit, Yahoo Finance, dan Investing, meliputi data harga saham. Berdasarkan penelitian ini, peroleh hasil analisis portofolio optimum terbaik menggunakan Sharpe Ratio yaitu portofolio A lebih unggul dari segi efisiensi kinerja risiko dibandingkan dengan Portofolio B, dengan hasil Sharpe Ratio portofolio A sebesar 45,99% dan portofolio B sebesar 35,27%."
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"Investment in the Indonesian sharia capital market showed significant growth, marked by increase in the number of sharia shares reaching 69% of the total 931 shares listed on the Indonesia Stock Exchange (IDX) and a growth of sharia investors by 211% in the last five years. Among the five existing sharia stock indices, IDX Sharia Growth (IDXSHAGROW) shows the most consistent uptrend. However, the high Risk in stock investments requires an effective portfolio optimization strategy. This study aims to develop a stock portfolio optimization strategy using the Hierarchical Risk Parity (HRP) method on IDXSHAGROW, which includes 30 sharia stocks with good net profit and revenue growth trends. The HRP method was chosen because of its ability to reduce Risk through the distribution of portfolio weights based on correlation values, as well as overcoming the limitations of the Markowitz method by not linking the correlation between stocks with the covariance matrix. The optimal portfolio performance is formed into two portfolios, including portfolio A which only uses Risk-free elimination and portfolio B which uses Risk-free elimination and elimination using the best expected Return in each sector. Then the two portfolios are measured using the Sharpe Index to evaluate the performance related to the Risks taken. The research data sourced from the Indonesia Stock Exchange, Indo Premier Sekuritas, Stockbit, Yahoo Finance, and Investing, includes stock price data. Based on this study, the best optimal portfolio analysis results using the Sharpe Ratio were obtained, namely portfolio A was superior in terms of Risk performance efficiency compared to Portfolio B, with the Sharpe Ratio of portfolio A of 45.99% and portfolio B of 35.27%.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	IDX Sharia Growth (IDXSHAGROW), Hierarchical Risk Parity, Indeks Sharpe.
Subjects:	Q Science > QA Mathematics > QA278.55 Cluster analysis
Divisions:	Faculty of Vocational > 49501-Business Statistics
Depositing User:	Andi Julio Kaputra
Date Deposited:	22 Jul 2025 08:15
Last Modified:	22 Jul 2025 08:15
URI:	http://repository.its.ac.id/id/eprint/120546

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