Pengelolaan dana haji menghadapi berbagai tantangan, seperti meningkatnya Biaya Penyelenggaraan Ibadah Haji (BPIH), lamanya antrean jemaah, serta keputusan ijtima ulama yang melarang penggunaan nilai manfaat jemaah tunggu untuk jemaah lain. Badan Pengelola Keuangan Haji (BPKH) perlu mengoptimalkan strategi investasinya sesuai dengan Peraturan Pemerintah Nomor 5 Tahun 2018 yang mengatur alokasi dana pada berbagai instrumen syariah. Saat ini, portofolio BPKH masih didominasi oleh penempatan dana di bank syariah dan sukuk, meskipun regulasi juga membuka peluang investasi pada emas, saham syariah, dan reksa dana syariah. Penelitian ini bertujuan untuk membandingkan komposisi dan kinerja portofolio investasi optimal bagi BPKH antara pendekatan investasi aktif dan pasif. Metode yang digunakan adalah Modern Portfolio Theory (MPT) dengan nonlinear programming dalam menentukan alokasi portofolio yang optimal. Data yang dianalisis mencakup imbal hasil historis dari penempatan pada bank syariah, emas, saham syariah, reksa dana syariah, sukuk korporasi, dan SBSN, serta mempertimbangkan target nilai manfaat BPKH tahun 2025 dan kebutuhan riil nilai manfaat per jemaah. Hasil penelitian menunjukkan bahwa strategi manajemen portofolio aktif lebih mampu memenuhi target imbal hasil bulanan dibandingkan strategi pasif, dengan proporsi alokasi pada target imbal hasil bulanan minimum 0,61% yaitu saham syariah 1,64%, penempatan pada bank syariah 26,23%, sukuk korporasi 30,07%, SBSN 37,62%, dan reksa dana syariah 4,45%, sedangkan pada target imbal hasil minimum 0,82% proporsinya menjadi saham syariah 27,75%, penempatan pada bank syariah 26,23%, sukuk korporasi 30,07%, SBSN 11,50%, dan reksa dana syariah 4,45%. Dengan demikian, pendekatan aktif direkomendasikan sebagai strategi investasi yang lebih optimal guna menjaga keberlanjutan dan manfaat dana haji.

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The management of Hajj funds faces various challenges, such as the rising cost of Hajj operations (BPIH), the lengthy waiting period for prospective pilgrims, and the ijtima’ ulama ruling prohibiting the use of returns from waiting-list pilgrims for the benefit of current ones. The Hajj Financial Management Agency (BPKH) needs to optimize its investment strategy in accordance with Government Regulation No. 5 of 2018, which governs fund allocation across various sharia-compliant instruments. Currently, BPKH’s portfolio is still dominated by placements in Islamic banks and sukuk, even though the regulation also allows for investments in gold, sharia stocks, and sharia mutual funds. This study aims to compare the composition and performance of BPKH’s optimal investment portfolio between active and passive investment strategies. The method used is Modern Portfolio Theory (MPT) with nonlinear programming to determine the optimal portfolio allocation. The data analyzed include historical returns from placements in Islamic banks, gold, sharia stocks, sharia mutual funds, corporate sukuk, and Sovereign Sharia Securities (SBSN) while also considering BPKH’s 2025 return targets and the real value needed per pilgrim. The results show that the active portfolio management strategy is more capable of meeting the monthly return target compared to the passive strategy. At a minimum monthly return target of 0.61%, the optimal allocation consists of 1.64% in sharia stocks, 26.23% in Islamic bank placements, 30.07% in corporate sukuk, 37.62% in SBSN, and 4.45% in sharia mutual funds. At a higher target of 0.82%, the allocation shifts to 27.75% in sharia stocks, 26.23% in Islamic bank placements, 30.07% in corporate sukuk, 11.50% in SBSN, and 4.45% in sharia mutual funds. Therefore, the active approach is recommended as a more optimal investment strategy to ensure the sustainability and benefits of Hajj funds.