Comparison of the Optimal Portfolio Performance of Islamic Stock Issuers in Malaysia and Indonesia

Two countries have the best Islamic finance and the largest Islamic capital market, namely Malaysia and Indonesia, in the Southeast Asia region. Due to differences in each country in determining the criteria for Islamic stocks, the performance produced by the capital markets of the two countries is also different. The benchmark Islamic stock in Indonesia is the Jakarta Islamic Index, and the DSN-MUI carries out the screening process. Meanwhile, in Malaysia, it is called the FTSE Bursa Malaysia HijrahShariah Index, whose selection is determined by the Shariah Advisory Council (SAC) and Yassar Ltd. The purpose of this study to find out a better rate of return and risk between FTSE BM HijrahShariah Index and Jakarta Islamic Index by using the Single Index Model and comparing the optimal portfolio performance of the FTSE BM HijrahShariah Index and JII issuer's shares by using the Sharpe Index, Treynor Index, and Jensen's Alpha Index. All research results were calculated with formulas and the help of Microsoft Excel. The research object used is the issuer's Islamic stocks. It consistently includes in the FTSE BM HijrahShariah Index and the Jakarta Islamic Index in the period January 2013 to December 2017 which is 10 Islamic stocks issuer of FTSE BM HijrahShariah Index and 14 Islamic stocks issuer of Jakarta Islamic Index. The results of this study indicate that the optimal portfolio of return and risk of the FTSE BM HijrahShariah Index is smaller than the Jakarta Islamic Index. The optimal portfolio performance of the FTSE BM HijrahShariah Index from the calculation of the Sharpe index and the Treynor index is more excellent than JII but from the results of the Jensen's alpha index calculation is smaller than JII. It shows that Malaysia's optimal portfolio performance is better than Indonesia based on the calculation of two methods of three methods.