Performance Evaluation of Shariah-Compliant Portfolios Using Grey Relational Clustering and Markowiz Model

Stock performance serves as a critical indicator for investors to assist them in the decision-making process. The main objective of this study is to utilize Grey Relational Analysis and Agglomerative Hierarchical Clustering methods to conduct a comparative performance of Shariah-compliant portfolios...

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Bibliographic Details
Published in:	2024 5th International Conference on Artificial Intelligence and Data Sciences (AiDAS) pp. 175 - 179
Main Authors:	Mohd Amin, Farah Azaliney, Udin, Md Nizam, Binti Zulkefli, Huda Nabilah, Binti Che Halim, Izzah Nursyafiqah, Ahmad Shafie, Siti Norsyahilda Binti, Zainol Abidin, Siti Nazifah
Format:	Conference Proceeding
Language:	English
Published:	IEEE 03-09-2024
Subjects:	Artificial intelligence Clustering methods Consumer products Data models Decision making Distance measurement Finance Grey Relational Clustering Investment Markowitz model Performance evaluation Portfolios Shariah-compliant stocks
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Summary:	Stock performance serves as a critical indicator for investors to assist them in the decision-making process. The main objective of this study is to utilize Grey Relational Analysis and Agglomerative Hierarchical Clustering methods to conduct a comparative performance of Shariah-compliant portfolios across three main sectors in Bursa Malaysia: Industrial products and services, Consumer products and services and Property. The Grey Relational Clustering method is employed to categorize similar stocks within each sector from 2013 to 2022 based on financial ratios and minimum distance measurements. Meanwhile the Markowitz model is used to construct an optimal portfolio. Results indicate that diversification within the same sector enhances portfolio performance. Furthermore, the Markowitz model highlighted that the Consumer Products and Services sector was the best performing sector. Future research could extend this methodology to additional sectors to provide broader insights into optimal investment strategies within the Shariah-compliant market.
DOI:	10.1109/AiDAS63860.2024.10730113