Yuliananda, Alfina Zakiya (2026) Analisis Perbandingan Model Black-Litterman Berbasis SCAPM Dan CAPM Dalam Optimasi Portofolio Syariah Dengan Penyesuaian Zakat, Sukuk, Dan Purification. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Penelitian ini bertujuan untuk membandingkan kinerja optimasi portofolio saham syariah menggunakan pendekatan Black–Litterman Capital Asset Pricing Model (BL-CAPM) dan Black–Litterman Shariah Compliant Asset Pricing Model (BL-SCAPM) dengan penyesuaian zakat, sukuk, dan pemurnian (purification). Objek penelitian adalah saham-saham syariah yang tergabung dalam Jakarta Islamic Index (JII) dengan data bulanan periode 2022–2025. Model BL-CAPM menggunakan suku bunga bebas risiko sebagai acuan penentuan expected return, sedangkan BL-SCAPM menggunakan return sukuk serta memasukkan penyesuaian zakat dan pemurnian pendapatan non-halal agar sesuai dengan prinsip syariah. Hasil penelitian menunjukkan bahwa portofolio optimal BL-CAPM terdiri atas delapan saham, yaitu UNVR, CPIN, INDF, BRIS, KLBF, EXCL, ICBP, dan AKRA, sedangkan portofolio optimal BL-SCAPM terdiri atas sembilan saham, yaitu UNVR, CPIN, INDF, BRIS, KLBF, EXCL, ICBP, AKRA, dan PGAS. Hasil purification menunjukkan bahwa seluruh saham sampel masih memenuhi kriteria saham syariah karena proporsi pendapatan non-halal berada di bawah batas maksimal 10%. Pengujian out-of-sample menunjukkan bahwa portofolio BL-SCAPM menghasilkan realized return sebesar 1,5357%, lebih tinggi dibandingkan BL-CAPM sebesar 1,4788%, namun disertai tingkat risiko yang lebih tinggi yaitu 9,6204% dibandingkan 9,4459%. Selain itu, BL-SCAPM menghasilkan cumulative return sebesar 12,9750%, lebih tinggi dibandingkan BL-CAPM sebesar 12,4612%. Evaluasi kinerja menggunakan Sharpe ratio, Treynor ratio, dan Jensen ratio menunjukkan bahwa BL-SCAPM memiliki performa yang lebih baik dibandingkan BL-CAPM.
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This study aims to compare the performance of Sharia stock portfolio optimization using the Black–Litterman Capital Asset Pricing Model (BL-CAPM) and the Black–Litterman Shariah Compliant Asset Pricing Model (BL-SCAPM) approaches with adjustments for zakat, sukuk, and purification. The research objects consist of Sharia-compliant stocks listed in the Jakarta Islamic Index (JII) using monthly data for the period 2022–2025. The BL-CAPM model employs the risk-free interest rate as the basis for determining expected return, while the BL-SCAPM model uses sukuk return and incorporates zakat and non-halal income purification adjustments to ensure compliance with Islamic principles. The results indicate that the optimal BL-CAPM portfolio consists of eight selected stocks, namely UNVR, CPIN, INDF, BRIS, KLBF, EXCL, ICBP, and AKRA, whereas the optimal BL-SCAPM portfolio consists of nine selected stocks, namely UNVR, CPIN, INDF, BRIS, KLBF, EXCL, ICBP, AKRA, and PGAS. The purification results reveal that all sample stocks remain compliant with Sharia criteria, as the proportion of non-halal income is below the maximum threshold of 10%. Out-of-sample testing shows that the BL-SCAPM portfolio generates a higher realized return of 1.5357% compared to 1.4788% for BL-CAPM, although it is accompanied by a higher portfolio risk of 9.6204% compared to 9.4459%. Furthermore, BL-SCAPM achieves a higher cumulative return of 12.9750% compared to 12.4612% for BL-CAPM. Performance evaluation using the Sharpe ratio, Treynor ratio, and Jensen ratio demonstrates that BL-SCAPM outperforms BL-CAPM.
| Item Type: | Thesis (Other) |
|---|---|
| Uncontrolled Keywords: | Black–Litterman, CAPM, Optimasi Portofolio, Portofolio Saham Syariah, SCAPM, Black–Litterman, CAPM, Portfolio Optimization, SCAPM, Shariah Stock Portfolio. |
| Subjects: | H Social Sciences > HG Finance > HG4529 Investment analysis Q Science Q Science > QA Mathematics Q Science > QA Mathematics > QA279.5 Bayesian statistical decision theory. Q Science > QA Mathematics > QA401 Mathematical models. |
| Divisions: | Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis |
| Depositing User: | Alfina Zakiya Yuliananda |
| Date Deposited: | 16 Jul 2026 07:58 |
| Last Modified: | 16 Jul 2026 07:58 |
| URI: | http://repository.its.ac.id/id/eprint/135130 |
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