Proceedings of the 10th International Conference on Accounting, Management, and Economics (10th ICAME 2025)

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

Authors
Andi Marwah1, *
1Hasanuddin University, Makassar, Indonesia
*Corresponding author. Email: marwaha24a@student.unhas.ac.id
Corresponding Author
Andi Marwah
Available Online 20 June 2026.
DOI
10.2991/978-94-6239-709-5_42How to use a DOI?
Keywords
Jakarta Islamic Index 70 (JII70); IDX Basic Materials (IDX IC-B); Optimal Portfolio; Single Index Model; Sharpe; Treynor; Jensen
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.

Copyright
© 2026 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 10th International Conference on Accounting, Management, and Economics (10th ICAME 2025)
Series
Advances in Economics, Business and Management Research
Publication Date
20 June 2026
ISBN
978-94-6239-709-5
ISSN
2352-5428
DOI
10.2991/978-94-6239-709-5_42How to use a DOI?
Copyright
© 2026 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Andi Marwah
PY  - 2026
DA  - 2026/06/20
TI  - Comparison of an Optimal Portfolio Performance on the Jakarta Islamic Index 70 and IDX Basic Materials
BT  - Proceedings of the 10th International Conference on Accounting, Management, and Economics (10th ICAME 2025)
PB  - Atlantis Press
SP  - 606
EP  - 616
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6239-709-5_42
DO  - 10.2991/978-94-6239-709-5_42
ID  - Marwah2026
ER  -