Comparative Analysis of Return on Sukuk and Conventional Bonds

This study aims to analyze the ratio between yields on sukuk and conventional bonds using model calculations Yield to Maturity (YTM) and portfolio optimization model (Markowitz Model and Single Index Model). Testing is done by using the average, standard deviation, coefficient of correlation, covariance of the portfolio, as well as the statistical test t. The samples used were sukuk and conventional bonds are actively traded and listed on the Indonesia Stock Exchange (IDX) and the Indonesia Bond Pricing Agents (IBPA) in October 2011. Of the total sample, the researchers divided into 10 groups of comparison so that comparisons can be done in a balanced and proportionate. The results showed that the average of the sukuk and conventional bonds differ significantly overall. From the tenth group comparisons, group 3, 6, and 10 had significant differences, namely sukuk average YTM is greater than conventional bonds. This study recommends that the following research more attention to the rules of sharia compliance.