Current Science Research Bulletin

The number of investors in the Indonesian capital market continues to grow, underscoring the need for investment strategies that deliver optimal returns with controlled risk. Since investors prioritize downside risk over profit fluctuations, this study applies a downside-risk approach to portfolio formation. Stocks in the IDX Sharia Growth (IDXSHAGROW) index are grouped using K-Medoids Clustering based on Return on Assets (ROA) and Return on Equity (ROE). From each cluster, one stock with the highest expected return is selected to construct a Mean–Semivariance portfolio. Portfolio performance is evaluated using the Sharpe Ratio, while risk is measured using the Historical Simulation Value-at-Risk method. The results show that four optimal clusters were formed. The Mean–Semivariance portfolio consists of EMTK (25.16%), RAJA (2.47%), SSIA (9.72%), and TAPG (62.66%), with an expected return of 0.003446. A positive Sharpe Index value of 0.144198 indicates that the portfolio outperforms the risk-free return. VaR risk measurement at a 95% confidence level with a 1-day holding period of IDR 301,801.4, assuming investment capital of IDR 10,000,000.

IDX Sharia Growth; K-Medoids Clustering; Profitability Ratios; Mean-Semivariance; Sharpe Ratio; VaR Historical Simulation

1. Bursa Efek Indonesia. (2025). Indeks Saham Syariah. https://www.idx.co.id/id/idx-syariah/indeks-saham-syariah
2. Desiyanti, R. (2017). Teori Investasi Dan Portofolio. Bung Hatta University Press.
3. Entrisnasari, F. V. (2015). Analisis Portofolio Optimum Saham Syariah Menggunakan Mean Semivarian. Jurnal Fourier, 4(1), 41–57.
4. Estrada, J. (2008). Mean-Semivariance Optimization: A  Heuristic Approach. Journal Of Applied Finance, 57–72.
5. Gubu, L., Rosadi, D., & Abdurakhman. (2021). Pembentukan Portofolio Saham Menggunakan Klastering Time Series K-Medoid Dengan Ukuran Jarak Dynamic Time Warping. Jurnal Aplikasi Statistika & Komputasi Statistik, 13(2), 35–46.
6. Han, J., Kamber, M., & Pei, J. (2012). Data Mining: Concepts and Techniques (3rd Edition). Morgan Kaufmann.
7. Kustodian Sentral Efek Indonesia. (2025). Statistik Pasar Modal Indonesia: September 2025. https://web.ksei.co.id/files/Statistik_Publik_September_2025_final.pdf
8. Markowitz, H. (1959). Portofolio Selection: Efficient Diversification Of Investments. John Wiley & Sons, Inc.
9. Markowitz, H., Todd, P., Xu, G., & Yamane, Y. (1993). Computation of Mean-Semivariance Efficient Sets by the  Critical Line Algorithm. Annals of Operations Research, 45, 307–317.
10. Maruddani, D. A. I. (2019). Value at Risk Untuk Pengukuran Risiko Investasi Saham: Aplikasi dengan Program R. Wade Group.
11. Struyf, A., Hubert, M., & Rousseeuw, P. J. (1997). Integrating Robust Clustering Techniques in S-PLUS. Computational Statistics & Data Analysis, 26, 17–37.
12. Tandelilin, E. (2017). Pasar Modal: Manajemen Portofolio & Investasi. Kanisius.