INTERNATIONAL JOURNAL OF RESEARCH IN BUSINESS AND SOCIAL SCIENCE 10(8)(2021) 189-199 * Corresponding author. ORCID ID: 0000-0001-9036-8869 © 2021by the authors. Hosting by SSBFNET. Peer review under responsibility of Center for Strategic Studies in Business and Finance. https://doi.org/10.20525/ijrbs.v10i8.1506 Citation: Najamuddin, Y., Meidawati, N., Putri, N. S., Nustini, Y., & Kholid, M. N. (2021). Optimal portfolio analysis of manufacturing entities in the Indonesia Sharia Stock Index . International Journal of Research in Business and Social Science (2147- 4478), 10(8). Optimal portfolio analysis of manufacturing entities in the Indonesia Sharia Stock Index Yunan Najamuddin (a) Neni Meidawati (b) Nahar Savira Putri (c) Yuni Nustini (d) Muamar Nur Kholid (e) * (a,b,c,d,e) Department of Accounting, Faculty of Business and Economics, Universitas Islam Indonesia, Yogyakarta, Indonesia A R T I C L E I N F O Article history: Received 22 November 2021 Received in rev. form 18 Dec. 2021 Accepted 23 December 2021 Keywords: Risk, Return, Optimal Portfolio, Indonesian Sharia Stock Index. JEL Classification: M10, G11 A B S T R A C T The purpose of this research is to determine the optimal portfolio for manufacturing entities listed on the Indonesian Sharia Stock Index based on a single index model test. The population of this research is manufacturing entities that have been listed in the Indonesian Sharia Stock Index on the Indonesia Stock Exchange for the Period 2019-2020. This study uses a purposive sampling technique using several criteria. Based on this technique, 31 entities meet the criteria. The results showed that the expected return was 5.65%, and the possible risk was 0.22% for 15 (fifteen) stocks included in the optimal portfolio category. © 2021 by the authors. Licensee SSBFNET, Istanbul, Turkey. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/). Introduction Investment is growing because of the support from public awareness in investing as the needs for future anticipation and the ease of service for growing investments. Tumewu (2019) stated that the desire of Indonesians to invest is relatively low compared to people in other countries. However, Indonesia has experienced a relatively better investment development viewed from the increasing public awareness to invest from various backgrounds and ages. Movanita (2019) reported 1.9 million investors in the capital market as of May. It proves that public interest in delaying consumption and utilizing their funds for investment in the capital market is relatively high compared to the previous year. Investors have difficulty in making decisions to invest funds in the stock market. Investments can be conducted in shares that have sharia-compliant concessions listed on the Indonesian Sharia Stock Index, which Entity's activities are in line with sharia principles. The index is a performance indicator of the Islamic stock market in Indonesia (Bursa Efek Indonesia, 2020a). Stock buyers favor Islamic stocks in the industrial sector. Manufacturing entities can continue to maintain the development trend better because it is considered promising compared to other entities (Sholihah et al., 2017). For example, a business entity that produces consumer goods continues to grow because it produces products that are always in demand by consumers, especially women. Investors expect return from the invested funds. However, possible risks always arise from the invested funds. To minimize the risk and uncertainty of returns, investors must use accurate methods in making investment decisions by conducting investment analysis. All investors experienced unsystematic and systematic risk (Mulyati & Murni, 2018). To obtain an optimal portfolio, stock selection can be analyzed using the Markowitz model or a single index based on the level of investor desire to get the expected return and the risk that will be borne by each portfolio choice (Tandelilin, 2001). Optimal portfolio selection by utilizing a single index model is Research in Business & Social Science IJRBS VOL 10 NO 8 ISSN: 2147-4478 Available online at www.ssbfnet.com Journal homepage: https://www.ssbfnet.com/ojs/index.php/ijrbs