Portfolio Optimization of Sharia-Based Assets: Indonesian Old Age Security Fund
Miftah Ilmi, Rahmatina Awaliah Kasri

Faculty of Economic and Business, Universitas Indonesia
Jl. Prof. Dr. Sumitro Djojohadikusumo
UI Depok 16424, Indonesia

Abstract

Indonesia as the country with the highest Muslim population in the world through its BPJS Ketenagakerjaan will launch its sharia program with the Old Age Security Fund as known as Jaminan Hari Tua (JHT). Thus, there are no regulations or research discussing specifically each assets allocation in JHT funds so it is feared that it will have an impact on its performance. This research aims to find optimal allocations in each asset class in JHT sharia portfolio by using methods that follow contemporary regulatory standards and professional best practices that evolved from investment theory. This study will also compare its performance whether the portfolio is globally or domestically allocated while respecting sharia. The results showed that performance in portfolios considering global assets had a 7% higher accumulated yield with a 7% lower risk characteristic (standard deviation) compared to that only considered domestic assets. This study is providing insight for regulators and professionals in applying sharia in portfolio optimization.

Keywords: Social Security- Islamic Assets Allocation- Portfolio Optimization, Sharia-compliant Portfolio

Topic: Corporate Finance